摘要
随着现代商业银行业务种类的多样化、复杂化,以及各种业务的交叉,其所面临的风险也不再是单一风险,而是一种集信用、市场、操作等多种风险于一身的整体风险。这些风险相互交织,彼此具有很强的相关性。在传统风险管理模式下,商业银行的风险管理部门对于各种风险管理的方式往往是分离的,这种管理方式必然会造成风险之间相互作用的忽视,而简单地将风险相加会导致整体风险的高估,造成人力、物力上的浪费,不能达到资源的有效配置。因此,从自身风险管理需要的角度来看,商业银行的风险管理应该充分考虑各种风险的相关性,从整体上对风险进行管理,整体风险管理将是未来商业银行风险管理的发展趋势。
2004年4月和6月《巴塞尔新资本协议》和COSO(全国虚假财务报告下属的发起人委员会)《全面风险管理框架》先后出台,对于现代商业银行提出要将信用风险、市场风险、操作风险及包括这些风险的资产或资产组合纳入统一体系中,依据统一标准对风险进行测量,同时依据全部业务的相关性对风险进行控制和管理。本文就是从现代商业银行整体风险的理论与现实背景出发,提出了构建我国商业银行整体风险管理体系的设想。
根据文章结构,本文的研究具体由绪论与正文的三大部分组成：
在绪论部分先交代了论文的研究背景、研究目的与意义,并且对国内外学术界关于商业银行整体风险的研究成果及文献进行了梳理,在此基础上指出了本文的研究方法、研究基本框架,以及本文的主要创新之处与难点。
正文的第一部分就是本文的第2章,主要是从商业银行整体风险管理的概念、理论基础及商业银行风险管理模式转变的内容入手,概述商业银行整体风险管理的内涵。首先本文通过对商业银行整体风险与其他相关概念的比较,以及运用不确定性经济学的分析框架,提出了商业银行整体风险的概念及基础理论。另外,在本部分还主要阐述了商业银行从传统的单一风险管理到整体风险管理的发展趋势,并论述了商业银行进行整体风险管理的必要性。
第二部分由文章的第3、4、5、6章构成,主要从商业银行整体风险管理的具体流程入手,提出了基于整体风险识别、度量、预警及防范的整体风险管理框架。在整体风险识别上,提出了风险图识别法,以及如何利用风险图对整体风险进行初步评估；对于商业银行整体风险的度量,本文提出运用连接函数(Copula函数)的方法,将商业银行面临的市场风险、信用风险及操作风险进行整合,并就我国某商业银行进行了实证分析,由于数据有限,以及技术的限制本文仅进行了商业银行面临的市场风险及信用风险的整合。在各风险边际分布描述过程中,利用t-GARCH(1,1)拟合市场风险的边际分布函数,利用三参数Weibull分布函数拟合信用风险的边际分布函数,并通过Gaussian Copula函数和Gumbel Copula函数求出了我国商业银行整体风险的VaR值,实证结果明显印证了如果商业银行对各种风险进行简单相加,其结果必然会导致风险的高估,这也充分说明了风险之间是具有相关性的。
在整体风险预警部分,主要利用模糊综合评价模型(fuzzy comprehensive appraisal)构建了商业银行整体风险预警体系,在筛选代表各风险的相关性指标过程中,采用聚类分析,剔除了相关性较强的指标,建立整体风险隶属度矩阵,在确定各风险权重时,本文应用更为客观的主成分分析赋值法,得到商业银行整体风险预警因子,并对我国部分商业银行进行了整体风险预警的实证分析,实证结果表明,随着近年来市场化与股份制改革的不断推进,我国商业银行的风险管理意识在逐渐提高,尤其是《巴塞尔新资本协议》的出台,使得我国商业银行更加重视风险管理过程中定量方法,改革的成效总体上来看比较明显,目前各家商业银行整体风险均处在轻风险状态。在本部分的最后,通过对于整体风险内部控制与外部防范手段的阐述,提出了商业银行整体风险防范与化解的途径。
第三部分是本文的第7、8章,在上述整体风险识别、度量、预警及防范的基础上,在第7章进一步提出构建我国商业银行整体风险管理的体系。具体来说,我国商业银行整体风险管理就是要以《巴塞尔新资本协议》倡导的风险管理理念为前提,以培育健康的整体风险管理文化为基础,尽快改善商业银行信息系统,建立更加全面的风险数据库,提高数据的公开透明度,提升整体风险量化管理的技术水平；将商业银行的整体风险管理与技术创新和人才素质提升同步推进,加强我国商业银行风险管理人才的培养；同时,继续巩固与深化商业银行股份制改造的成果,推进其治理结构的完善,建立有效的整体风险管理激励机制、内控机制以及整体风险信息处理和定期报告机制,并且要完善整体风险管理的监督机制,进而形成一个有力的商业银行整体风险管理的制度保障。最后在第8章,进行了全文的总结与展望。
Along with the development of modern commercial banks, the business types of bank become more and more diversified and complex. Various businesses of commercial banks go cross each other. Commercial banks are not faced with one kind of risk, but a collection of credit risk, market risk, operational risk and so on. These risks have a strong pertinence relation. Under the traditional risk management mode, the risk management department of commercial banks will manage above risks separately. This kind of risk management mode will ignore the pertinence relation of the risks. Risk added up simply will cause the overvaluation of whole risk and the waste of human and material resources. The efficient allocation of resourses will not be achieved. Therefore, the commercial banks should carry out integrated risk management considering the pertinence relation of these risks.
BaselⅡcoming into force in April 2004 and Enterprise Risk Management-Integrated Framework issued by COSO in July 2004 proposed to manage credit risk, market risk and operational risk together for the modern commercial banks. Commercial banks should value the whole risks of assets or portfolio with a uniform standard and control the whole risks considering the pertinence relations between them. Based on the theoretical and realistic background of modern commercial banks this dissertation put forward the conception of integrated risk management for Chinese commercial banks.
According to the structure, this dissertation is composed of the preface and three main sections of the dissertation.
In the preface, the dissertation first illustrates the background, purpose and significance of this research. Meanwhile, the dissertation also reviews and remarks the domestic and international academic researches in this field. Based on the above research, the dissertation further introduce the research methods, basic framework as well as the main innovations of this dissertation and difficulties I come across.
Chapter 2 of the dissertation is the first section. The dissertation defines the connotation and foundational theory of integrated risk management of commercial banks, and emphasizes the transform of risk management mode in this section. First, the dissertation gives the definition of integrated risk in an uncertainty economics analysis framework through a comparison of integrated risk and other interrelated concepts. In addition, the dissertation also expounds the development trend of commercial banks from traditional single risk management to the modern integrated risk management in this section. In the end of this section, the dissertation discusses the necessity of integrated risk management for commercial banks.
The second section of the dissertation is composed of Chapter 3,4,5,6. The dissertation mainly illustrate the specific flow of integrated risk for commercial banks and put forward the integrated risk management framework based on the recognition, measurement, warning and prevention of integrated risk in this section. In the integrated risk recognition, the dissertation uses risk graph to assess preliminary integrated risk. For the measurement of the integrated risk, this dissertation holds that we should use the connecting fuction (Copula function) integrating the credit risk, market risk and operational risk. The dissertation also does some empirical analysis on one Chinese commercial bank. Due to the limitation of the data and the non-availibility of the relative technology, the dissertation only integrates the market risk and credit risk of commercial banks. I use t-GARCH (1,1) model to describe the marginal distribution of market risk and Weibull distribution function with three parameters to describe the marginal distribution of credit risk. The VaR of this commercial bank's integrated risk is calculated by Gaussian Copula function and Gumbel Copula function. This result obviously indicates the integrated risk will be overestimated if these risks are added together simply. This result illustrate sufficiently that these risks have pertinence relation.
In the warning section, the dissertation mainly use fuzzy comprehensive appraisal model to construct a warning system of integrated risk for commercial banks. In the course of filtering the pertinent risk indexes, the dissertation uses clustering analysis to eliminate those indexes with strong pertinency and establish the matrix of integrated risk membership. The dissertation also uses objective principal component analysis method to fix the weights of all risks and gets the risk warning factors for commercial banks. Then this model is applied to some Chinese commercial banks and the result shows that the risk management consciousness of Chinese commercial banks is improving gradually. Chinese commercial banks have paid more attention to the quantitative approach during risk management especially after BaselⅡ. The achievements of the reform are obvious and the integrated risk of these commercial banks is light. In the end of this section, based on the setting forth of the measures of integreted risk internal control and external prevention, this dissertation puts forward some ways for commercial banks to prevent and solve the integreted risk.
The third section of this dissertation is composed of Chapter 7 and 8. The integrated risk management system of Chinese commercial banks is built through the integrated risk recognition, warning, measurement and prevention in Chapter 7. In detail, the integrated risk management of commercial banks in China should set risk management concept proposed by BaselⅡas precondition and be based on the healthy integrated risk management culture. Commercial banks should improve the information system as soon as possible, establish a more comprehensive and open risk database, and improve the technology level of measuring integrated risk. The integrated risk management of commercial banks should be expanded with technological innovation and person dispositional promotion. Chinese commercial banks should strengthen the training of risk management talents. At the same time, we should continue to consolidate and deepen the achievement of commercial banking system reforms, promote the improvement of governance structure, and establish effective incentive and internal control mechanism of integrated risk management. Commercial banks should establish the mechanism of integrated risk information handling and periodical reports, improve the supervision mechanism of the integrated risk management, and then form a strong institutional guarantee of commercial banks integrated risk management. At last Chapter 8 draws the conclusion on the research and discusses about further study.
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