Advancing Risk Management
by Financial Institutions
The Case of Japanese Banks
推进金融机构风险管理： 日本银行业的经验
Tsuyoshi Oyama
Bank of Japan
日本银行
Workshop on Risk Management in Banking Sector
商业银行风险管理 培训班
Shanghai, December 21, 2005
2005年12月21日，上海
1
Agenda 内容安排
Background of Banks’ Efforts to Enhance Risk Management and the
BOJ’s Initiatives to Encourage These Efforts
银行业推进风险管理及日本银行支持举措的背景
Topics from the Sound Practices Papers and Discussions in the
Seminars
金融机构整合风险管理研讨会发布的相关报告
“Advancing Credit Risk Management through Internal Rating Systems”
以内部评级制度为基础强化信用风险管理
“Advancing Operational Risk Management”
强化操作风险管理
“Advancing Integrated Risk Management”
强化整合风险管理
2
Background of Banks’ Efforts银行措施的背景
The experience of overcoming NPL problems since the 1990s…
90年代以来，克服不良贷款问题的经验
Enhance the risk management of Japanese financial institutions particularly in the area
of credit risk management
推进日本金融机构风险管理，特别强化信用风险管理
Entail stability of financial system, which led to the lifting of blanket deposit insurance in
April, 2005
金融体系稳定性，这导致2005年4月存款保险的整体上调。
In this new environment, financial institutions are expected to develop further
creative business services that meet the needs of customers through…
在新情况下，金融机构预计可通过提供下列创新服务来满足消费者需求：
Assessing various risks not only in a conservative way but also in an accurate way.
稳健而准确地进行风险评估。
In other words, financial institutions are expected to grasp effectively the various risks
inherent in their business (. economic value and its volatility of all the assets they
possess and transactions they engage in), and also to establish a framework that
manages these risks in an integrated way.
换句话说，金融机构预计能有效把握业务中存在的各种风险（例如，其拥有和参与交易的
全部资产价值及波动)，并建立风险综合管理机制
In addition, Basel II implementation surely pressures banks to intensify the above efforts.
此外，巴塞尔Ⅱ 的出台迫使银行强化上述措施。
3
Advancing Risk Management---Means What?
强化风险管理意味着什么？
Our understanding of “advancing risk management”
对“强化风险管理”的理解
Enhancing the communication tools among stakeholders (senior managers, risk managers, shareholders,
regulators, etc.) to reach a consensus view of risk profile and amounts.
促进利益各方（高级经理，风险管理经理，股东，监管者等）的交流,以就风险预测及总量达成一致意见。
Not necessarily indicating a more use of Greek letters and math formula
无需多用希腊字母和数学公式
What banks need is more objective and more persuasive tools to assess risks
银行业需要更客观、更有说服力的风险评估工具
Objective and persuasive risk assessments lead to higher transparency of risk management process and
thereby clarify the responsibility associated with risk taking activities help ensure the direction toward
improving risk management.
客观而有说服力的风险评估将增强风险管理过程透明性，进而明确风险活动各方的责任有助于确保改善风险管理
There are no best practices of banks’ risk management, which could differ depending on their facing
environments need to establish the incentive mechanism to ensure the direction toward improving risk
management.
并不存在能随市场环境变化而变化的银行风险管理最佳方案需要建立激励机制，以确保改善风险管理
4
BOJ’s Initiative (1) -- Publication of Sound Practices Papers
日本银行的动作（1）--公布金融机构整合风险管理报告
5
The Bank of Japan established the Center for Advanced Financial Technology
in July, 2005.
日本银行于2001年7月设立高级金融技术中心。
One major mission of this new organization is to develop the third channel,
besides on-site examinations and off-site monitoring, to communicate with
banks about the risk management framework and methods.
这一新机构的主要任务之一是发展除实地考查和非实地监管之外的第三种渠道，
以就风险管理体制和方式与各家银行进行沟通。
Using the three sound practice papers as the main subjects, the Center has
already hosted: 以三份报告为主题，该中心已成功主办：
2 seminars for the large number of financial institutions focusing on overall risk
management issues that are dealt with by three papers, and
2期有众多金融机构参与的研讨会，全面讨论三份报告涉及的风险管理问题，以及
12 seminars for regional banks (20—30 banks for each) focusing on the issues that
are dealt with by one paper for each seminar.
12期由区域银行参与的研讨会（每次20－30家银行），每期就一份报告涉及的相关问题
展开讨论。
BOJ’s Initiative (2) -- Hosting a Series of Seminars for Banks
日本银行的动作（2）--主办一系列银行业发展研讨会
6
BOJ’s Organizational Changes and Setting up the Center
for Advanced Financial Technology
日本银行的机构调整和高级金融技术中心的设立
＜之前＞
＜ 7月18日之后＞
Financial Systems Dept.
金融体系部
Policy Planning
政策制订
International Issues
国际事务
Bank Examination and Surveillance Dept.
银行检查与监督部
Policy Implementation
政策执行
On-site Examination
实地考查
Off-site Monitoring
非实地监管
Financial Systems and Bank
Examination Dept.
金融体系和银行管理部
Center for Advanced Financial
Technology (Newly Established)
高级金融技术中心（新设立）
Planning and Implementation
制订和执行
International Issues
国际事务
On-site Examination
实地考查
Off-site Monitoring
非实地监管
7
Advancing Risk Management---Its Relation with Basel II
强化风险管理－－与巴塞尔Ⅱ 的关系
The concept of “advancing risk management” is in line with “successfully implementing
Basel II”
“强化风险管理”与“成功实施巴塞尔Ⅱ”理念一致
The concept of Basel II that strongly pushes banks toward the direction of assessing risks
“more precisely” and “transparently” in a “self-disciplined” manner is completely shared by us
when advocating for the need of advancing risk management.
巴塞尔Ⅱ的理念是通过“自律”方式进一步增强风险评估的“准确”与“透明”，我们所提倡
的强化风险管理与其一致。
Our strategy is to capitalize on, to the maximum, the implementation of Basel II and its
accompanying momentum of advancing risk management among banks.
我们的战略是最大限度的利用巴塞尔Ⅱ及其附随文件中关于强化银行风险管理的规定。
The greatest challenge for us is how to convince banks of the need and usefulness of
advancing risk management “by themselves” in “a flexible manner” and thereby avoid
the case where banks seek for an excessively detailed “one-size-fits-all” type guidance.
我们面临的最大挑战是如何说服各银行 “按自身情况自行采取灵活方式”强化风险管理
的必要性和有效性，从而避免各银行寻求一套通用风险管理体系的情况。
8
I. “Advancing Credit Risk Management
through Internal Rating Systems”
以内部评级制度为基础强化信用风险管理
9
SPP-I: “Advancing Credit Risk Management
through Internal Rating Systems”
报告－I：以内部评级制度为基础强化信用风险管理
Contents内容
Architecture of internal rating system
内部评级制度体系
Rating process and rating models
评级实施程序和评级模型
Estimation of risk components
风险要素推算
Uses of internal rating systems
内部评级制度的灵活运用
Validation of internal rating systems
内部评级制度的验证
Quantification of credit risk
信用风险的计量化
The paper tries to show our thinking of sound practices, being compared with current
practices of major banks and thereby facilitate small banks to consider them as the real
world cases.
该报告介绍整合风险管理的方法， 并与各大银行目前做法比较，有助于指导小型银行实际
操作 10
Framework of Advancing Credit Risk Management
强化信用风险管理设想
(Major discussion points in the seminars) Definition of default, consistent treatment of
counterparty risks of market transactions, data integrity required for estimating risk
components, concentration risk control measures using UL outcome, etc .
（研讨会的讨论要点） 违约的定义，市场交易伙伴风险的协调处理，风险因素评估所需要
的资料整合，利用UL成果集中风险管理措施。
Migration matrix
Probability of default
(PD)
Internal use
Risk
Components
Loss given default
(LGD)
Exposure at default
(EAD)
Correlation
Calculation
of credit risk
amount
Expected
loss (EL)
Unexpected
loss (UL)
Stress testing Portfolio monitoring
Provisioning
Pricing
Profit management
Capital allocation
Quantification of credit risk
Reporting to
the Board
Internal ratingQuantitative
evaluation
Financial data
Qualitative
evaluation
<Internal rating systems>
11
Process of internal Ratings
1. Model estimating PDs of obligors (Logit or Probit
model）债务人PD推算模型
2. Model estimating external ratings 外部评级推算模型
3. Hybrid model of 1. and 2.模型1、2的结合
0%
20%
40%
60%
80%
100%
-5 -4 -3 -2 -1 0 1 2 3 4 5
Score based on
financial information
Assessing Ratings
Quantitativ
e rating
model
Borrower’s
financial data
１
２
３
４
５
６
７
８
９
１０
１
２
３
４
５
６
７
８
９
１０
１
２
３
４
５
６
７
８
９
１０
Final
Rating
Rating mitigation
after 1 year
PD per rating
grade
Initial evaluation
(tentative)
・
・
・
・
・
・
・
・
Estimation of PD
Needs
attention
Bankrupt
default
Quantitative evaluation Qualitative evaluation
Borrower’s
qualitative
information
Normal
<Statistical model> PD
Score based on
financial information
12
Quantitative and Qualitative Information Used for Rating Assignment
评级需要的定量要素和定性要素
Examples of Quantitative Factors
定量要素事例
Examples of Qualitative Factors
定性要素事例
Examples of Factors Determining Facility Ratings
项目评级的要素事例
Type of factor Example
Size of operation Amount of capital and net assets
Safety Current ratio, capital adequacy ratio,
and current account balance ratio
Profitability Return on assets, operating profit on
sales, years required to pay back
interest-bearing liabilities, and interest
-coverage ratio
Others Rate of growth in sales and profits
Type of factor Example
Industry Growth potential, size of market
fluctuation, and entry barriers
Firm Relationship with parent
companies or firms with capital
tie-ups, management ability, and
existence of external audit
Type of factor Real estate finance Project finance
Quantitative
factors
Credit-extension period,
LTV, and DSCR
Credit-extension period
and DSCR
Qualitative
factors
Characteristics of real
estates (., locational
conditions), adequacy of
cash flow schedule, and
risks attached to the
sponsor of the project
Risk attached to the project
(., risks attached to the
sponsor and operator of
the project, and the risk of
being unable to complete
the project) and transfer
risk
13
What Factors Determine the Ratings?
决定评级的因素
(Major discussion points in the seminars) The need and usefulness of facility rating given
the widespread use of unique pledge system in lending, . “pooled collateral system”
where each collateral is not linked to each transactions but to each borrower.
（研讨会的讨论要点）：市场普遍使用独特贷款抵押制度，即抵押融资与债务人而非交易相
关联的“集资抵押体系”下，进行能力评估的必要性和有效性。
One dimensional system bases facility
ratings on borrower ratings and makes
upward or downward adjustments to the
grades as necessary to reflect the
characteristics of the loan transaction
concerned.
A two‑dimensional system combines
borrower ratings with evaluation of the
features of individual loan transactions
independent of borrowers (., ratings
based on LGD).
Grade
1
2
3
…
…
9
10
Grade
1
2
3
…
…
9
10
Grade
A
B
C
…
…
I
J
Borrower ratings (1 to 10) Facility ratings (A to J)
(One-dimensional system)
Borrower
ratings
Facility ratings (A to J)
(Two‑dimensional system) Ratings based on LGD
Borrower
ratings
14
How to Validate Rating Model?
评级模型的修正
Many banks including major
ones are still seeking for the
appropriate validation methods
of internal rating systems and
risk components.
包括主要银行在内的许多银行仍
在寻求的内部评级制度和风险因
素恰当的修正方法。
0
100
CAP curve of a
perfect model
CAP curve of random model
(no discriminatory power)
CAP curve of a model
being evaluated
(%)
A
B
A model has more
accuracy as the curve
moves to the upper left
Ratio of
cumulative
number of
defaulted
firms
100 (%)
Score
Non-defaulted
firmsDefaulted
firms
Number
of firms
Area (B)
Area (A) + Area (B)AR ＝
Rating at the end of the year
Rating at
the
beginning
of the year
Check the order of migration
rate from rating 1 to other
ratings
Check the order
of default rates
Check the order of migration
rate to rating 7 from other
ratings
Default
(Example 2)
15
Use of Internal Rating Systems内部评级制度的灵活运用
Use of Internal rating systems内部评级制度的灵活运用
(Loan Origination) （授信执行阶段）
Setting upper credit limits based on rating grades设定各个评级的授信限额。
Setting authority ranks for loan approval by rating grade设定各个评级的授信决定权限。
Simplifying the loan review process for higher‑graded borrowers简化优良评级企业的审查程序。
(Monitoring) （中间管理）
Monitoring individual borrowers based on rating grades针对不同的评级对授信企业的管理
Monitoring the overall loan portfolio把握授信资产组合整体的信用状况。
Uses of PD for each rating grade 各个评级PD的运用
Quantification of credit risk and allocation of capital信用风险的计量和资本配置
Pricing of loan rates reflecting credit risk考虑信用风险定价（设定贷款基准利率）
Evaluating the economic value of loans把握贷款的经济价值
Many banks have already used the internal rating systems as indicated
in the above with some exceptions such as facility rating.
许多家银行已经建立了除设备评估外的上述内部评级制度。 16
II. Advancing Operational Risk
强化操作风险管理
17
SPP-II: “Advancing Operational Risk Management ”
报告－2：强化操作风险管理
Contents 内容
Characteristics of op risk and the need to advance op risk management
操作风险特征和强化操作风险管理的必要性
Overview of efforts to advance op risk management and the establishment of an op
risk management section
强化操作风险管理机制的概要和操作风险总括部门设置
Quantifying op risk
操作风险的计量
Approaches to identifying and assessing op risk other than quantification
计量以外的操作风险的把握、评估手法
The paper tries to strike the right balance between the importance of advancing
op risk management using . risk quantification methods and the need to
maintain the conventional op risk management by emphasizing their
complementary characteristics.
该报告试图探索新旧两种操作风险管理的合理安排，既突出运用风险计量方法等
手段强化管理的重要性，又考虑到维持传统操作风险管理，发挥其补充作用的必
要性。
18
Advancing Op. Risk --- Why Now？
目前强化操作风险管理的原因何在？
Changes in the environment surrounding FIs’ operations
围绕FIs’operations的外部环境变化
Business diversification, more sophisticated financial technologies, widely used IT and
outsourcing.
业务多元化、金融技术高端化，业务处理的IT化、外包规模的扩大等局面
The introduction of Basel II（allocation of capital for op. risk)
引入巴塞尔Ⅱ （操作风险也必须计提自有资本 ）
Major disaster such as earthquakes, terrorist attacks and uncovering of serious corporate
scandals (society is increasingly aware of the need for the firms’ management of op. risk).
最近发生的地震、恐怖事件等大规模灾害，以及国内外企业重大违规事件的攀升（社会整体对
操作风险的关心程度越来越高 ）
New challenges面临的新挑战
Need to manage op. risk more efficiently by identifying op. risk profile in a firm-wide manner
and thereby putting some priority on their management.金融机构继续增强内在的综合把握、
评估操作风险的基础上，进一步执行有张有弛的风险管理
Need to establish structures that can quickly detect heightened risk and respond
appropriately before the risk materializes.提高操作风险增大的预期能力，完善在操作风险发生
前采取稳妥措施的体制
Need to create mechanisms for autonomous risk management in all sections of their
operations.各个现场建立能够自律应对操作风险管理的机制
19
Characteristic of Op. Risk操作风险特征
Forms of risk materialization风险显现形态
Direct loss, indirect loss or impact incurred to third parties
直接损失、间接损失以及对第三方带来的损失
High frequency and low severity or low frequency and high severity
“发生频率高，损失规模小” 或 “发生频率低但损失规模大”
Causes of risk materialization风险发生的主要原因
It is normally difficult to narrow down the factors causing such risk to materialize,
and quite often, it only emerges when several factors come into play
simultaneously.操作风险通常很难找出特定的风险显现的原因，而且多个原因共同作
用风险才体现出来的情况也不在少数。
Small‑scale problems
occurring at relatively high
frequency
Problems that do not occur
often but have severe
consequences when they do
occur
[Distribution of Losses Arising from the
Materialization of Op. Risk]
Frequency
Amount of loss of
losses
Frequency
[Distribution of Profits/Losses (Losses/Gains)
Arising from the Materialization of Market
Risk]
Amount of profits/losses
Profits/losses are distributed more
or less symmetrically around the
mean (close to zero)
20
Conventional Operational Risk Management Methods
以前我国金融机构的操作风险管理手法
Category 项 目 Method 方 法
Multilevel checks and balances system
多层次的牵制体制
Reexamination and multiple signatory system
再次鉴定、检印制度
Segregation of duties 权限分离
In‑house inspections 部门、店内检查
Insistence on record‑keeping 保存记录
Standardization and streamlining of
business procedures
事务内容的标准化和效率化
Establishment of P&P
完善事务规程、指南等
Institution‑wide guidance on business operations
本部进行事务指导
Strengthening systems support
强化系统支持
Discipline and motivation
规律、动机
Human resource (HR) management and performance
evaluations
人事层面的管理、业绩评估
Response to accidents and other
problems
事件、事故对策
Implementation of measures to prevent recurrences
实施防止再次发生措施
Internal audits
内部监察
Auditor section audits
内部审核部门独立审核
21
Considerations of Op. Risk Management
操作风险管理时考虑的因素
The need to cover a wide range of events and activities
需要管理各种各样的事情
It is difficult to break down risk into the categories of exposure and risk factors.
对于操作风险，抽选出与「风险暴露」及「风险要素」相当的项目是非常困难的
The need for risk control in all sections within the institution管理组织内所有部门的必要性
Op. risk exists in all sections throughout the institution.
操作风险存在于组织内任何一个部门
The importance of risk management based on qualitative information定性手法的重要性
It is not always easy to manage them in a quantitative manner.
采用定量手法进行风险管理并不容易
Reputational and systemic risk 声望风险、系统风险
It is necessary to take into consideration of the indirect loss and the effect on financial system.
必须考虑非直接因素造成的损失及其对金融系统的影响。
(Major discussion points in the seminars) The need and merits of advancing op.
risk management with risk quantification for regional banks, degree of
independence of op risk control function, how to quantify op risk when facing
lack of internal data and no external data, level of granularity of operational
processes to be examined by CSA.
（研讨会的讨论要点）：通过对区域银行风险计量加强操作风险管理的必要性和价值，操作
风险控制功能的独立性，缺乏充足内部和外部数据时如何计量操作风险，CSA评估计量单位
的确定。
22
Establishment of an Operational Management Section
操作风险总括部门设置
Functions of Operational Management Section操作风险总括部门的作用
① Plan the op. risk management framework for the entire institution.
制定组织整体的操作风险管理框架。
② Collect and analyze information on accidents and other problems, computer system malfunctions,
and clerical errors arising in each section, then report to the management.
收集并分析各个部门发生的事件、事故，电脑系统故障、事务操作失误等资料，向经营者进行报告。
③ Examine the adequacy and consistency of processes and procedures (P&P).
审查业务规程和手续的合理性、连续性。
④ Evaluate and guide the operational risk management situation.
评估并指导各个部门的操作风险管理状况
Structure of Operational Management Section部门结构
Integrated Risk
Management Section
（system risk）
IT System Planning
Section
System Risk Management
Section
Operational
Management Section
Compliance Management
Section
（operational ） （compliance）
Computer Center
Head Office, Branch Office
①②
①②④
①②③
④
①④
○number: function
weak relationship
Operations Planning
Section
23
Quantification of Op. Risk操作风险的计量
Considerations考虑因素
Appropriate collection, classification and update of loss data. 合理进行数据搜集、分类和
遗失数据的更新
Selection of model which is able to identify cases of losses with low frequency but high
severity. 选择能捕捉“发生频率低但是损失规模大”事件的计量模型
Setting group units for quantification. 为量化分析设立单位组
Introducing hypothetical data based on external data or scenario analyses into
quantitative models. 将据外部信息和想象分析得到的假定数据引入计量模型
Using qualitative data to revise the quantification results. 用定性资料修订定量分析得到的
结果
Loss amount per loss event
Number of loss events
occurring per year
Frequency
Frequency distribution of loss events (per
year). Poisson distribution
Op. risk amount ((%VaR)
Op. risk amount (%VaR)
Annual cumulative loss amount
③ Cumulative loss amount
distribution for one year
④
①
②
Frequency
Frequency
Distribution of loss amount per loss
. log‑normal distribution
24
Control of Self-Assessments and Key Risk Indicators
风险管理自我评估和重要风险管理指标
Control of Self-Assessments风险管理自我评估
Individual sections or business lines within a financial institution evaluate inherent risk
and internal control conditions on their own
金融机构内的各个部门或者是业务团队自行评估内在风险和内部管理机制
⇒ Results are coordinated and shared within the entire organization
结果由组织整体进行归纳总结
Selecting multiple indicators that contribute to early detection of heightened risk
选定能够及早预期操作风险增大的多个指标
⇒ Monitoring of their movements, and reacting preemptively as necessary
跟踪考察其变化情况，根据需要尽早制定修正措施的机制
▽Example of indicator重要风险管理指标的例子
Operations ：Business volumes, customers’ waiting time, number of clerical errors,
number of complaints received, etc.
事 务 层 面：事务量、柜台等待的时间、事务失误次数、投诉受理次数
Computer systems：Number of malfunctions, number of steps in developing programs,
utilization ratio of system devices such as CPUs, storages, network
traffics, etc.
电脑系统层面：故障次数、程序开发等级、CPU及磁盘等的资源剩余程度（比率）
Key Risk Indicators重要风险管理指标
25
III. Advancing Integrated Risk Management
强化整合风险管理
26
SPP-III: “Advancing Integrated Risk Management”
报告－3：强化整合风险管理
• Contents 内容
– Overview of integrated risk management at financial institutions
我国金融机构整合风险管理概要
– Integrated risk management for use: Issues to be addressed with high priority
整合风险管理当前的课题
– Other issues to be discussed for further enhancing the effectiveness of integrated
risk management
强化整合风险管理的论点
– Use of integrated risk management in corporate management
整合风险管理在经营当中的运用
• Some risks are very important for Japanese banks to address, but the methods for
identifying them have not yet been established, and thus they are managed differently
from one banks to another. The paper emphasizes the importance of incorporating these
risks into banks’ integrated risk management framework as well as other traditionally well
identified risks.
某些风险急需日本各银行应对，但还未建立有效识别的方法，因此各家银行对其处理方式
各异。本报告强调将这些风险与其他已识别的风险一起引入银行的整合风险管理框架中。
• Some good examples of the unique risks to Japanese banks are risk associated with
preferred stock, risk associated with deferred tax assets and risk associated with loans to
borrowers with strong relationship.
日本银行业面临的特殊风险包括：优先股引起的风险、延税资产引起的风险、由与银行关
系密切的债务人引起的风险。
27
Framework of Integrated Risk Management整合风险管理框架
Risk is quantified using the statistical method based on the past data such
as VaR.
风险的计量多采用关注资产价值变动的Value at Risk（VaR）手法。
Allocating hypothetical capital for internal control purposes to each section
within the scope of total capital. Each section then manages the risk so that
it does not exceed the allocated capital.
在总资本量内，将内部风险控制预期资本额摊入各部门。各部门在摊入风险资
本限额内进行管理。
The profitability of each section is assessed in terms of return against risk.
信用风险扣除后利润当作各部门业绩的评估指标。
･
･
･---
･
･
･--
-
Risk capital Quantified risk
Allocation of
risk capital
Risk capital commensurate with credit risk
Regulatory
capital
Credit risk
Market risk
Op. risk
Profits made by
department each
section
Securing adequate capital relative
to risk Assessing profitability of each department section in terms of
return against risk
Risk taking within
the scope of risk capital
Risk capital commensurate with op. risk
Risk capital commensurate with market risk
28
Organizational Frameworks
组织体制
Risk management section and treasury section have co-jurisdiction over integrated risk
management.
风险管理部门和财务部门来共同负责整合风险管理
It is desirable that risk management section is independent from the front line.
最好将风险管理部门与第一线的业务部门独立开来
If difficult, it is essential to ensure that such risk management functions in the front line
are subject to proper checks and balances through regular assessments by third-party,
that is, internal audits.
若无法实现， 则必须对一线业务部门进行适当必要的牵制，一般通过内部审计，从第三者
的角度进行检查。
＜Example of an Integrated Risk Management System Using Cross‑Organizational Forums＞
Executive committee, integrated risk management committee, etc.
Secretariat: Integrated risk management section, planning & finance section
Integrated risk management
section
- Manages quantified risk
aggregates
- Manages overall market risk
- Quantifies op. risk
Credit policy and
planning section
- Manages overall credit
risk
Operations & systems policy
and planning section
- Manages overall op. risk
excluding quantification
Compliance section
- Overall Compliance
---・・・
29
Identifying Risk 风险的把握手法
When identifying risk and risk amounts, it is important to consider the scope of risks to
be covered, holding period, confidence interval, correlation between risks, and stress
testing.
在把握风险种类和程度时，必需要考虑风险对象的范围、持有期限、信赖水平、各风险
之间的关系和压力测试理念。
①Targeting risk: credit risk, market risk, interest risk associated with bonds, op. risk, etc. ：
④Correlation between risks ⇒ Needs of verifying the stability of the correlation
frequency
amount of loss
Stress testing
・ Complementing the limit of VaR
・ Focus of objectivity vs focus of flexibility
↑
Non-targeting risk
⇒ Needs of considering how to deal with these risks in the integrated risk management framework
③Confidence intervals (. 99%, %, %)
⇒ Directly linked to management judgment
②Holding period: consistency with investment policies of assets
（. credit risk and interest risk for 1 year and market risk for
3 months)
⑤Stress
30
Comparing Allocated Capital and Risk
摊入资本和风险的比较
Reaction to the situation where the risk taken exceeds allocated risk capital is a litmus test of
effectiveness of integrated risk management system
风险超过摊入资本时的应对措施，是对整合风险管理机制的有效检验。
(Possible reactions)可能的应对措施
• Simply reducing risk, or 直接降低风险，或
• Identifying the extent of capital inadequacy to be corrected, and drawing up (and implementing)
a concrete plan to eliminate it.准确把握自有资本缺口程度，确立消除该风险的具体计划，并执
行下去
When the capital adequacy ratio falls to the regulatory minimum level, it is important to compare the
part which exceeds minimum level and risk, and thereby identify statistically the probability of capital
falling below 8%.
当自有资本比率低于管制水准时，应对低于管制水平部分进行分析比较，进而统计资本降至低于
8％的可能性。
<Sample Comparisons of Capital
and Risk>
Risk Tier 1
capital
Tier 2
capital
Risk
Risk predicated
on a 99%
confidence level
Risk predicated on an X%
confidence level
⇒Possibility that the capital adequacy
ratio will fall below the 8% level with a
probability of (100-X)%.
Capital equivalent to
the 8% capital
adequacy ratio
Total capital minus
capital equivalent to the
8% ratio
31
How to Identify the Risk Associated with
Loans to Borrowers with Strong Relationship
对关系密切的债务人，如何识别风险？
The issue is how to assess the risk of loan shifting from non-main to
main bank at the time of the borrowers’ default due to special
relationships between financial institutions and borrowers.
问题在于如何评估由于银行和企业密切关系而导致的授信向主力银行
集中所带来的风险。
Ｘ
非メイン先への返済が滞る
→Ｘ年後にメイン寄せの傾向
▽Timing of occurring risk associated with loans to
borrowers with strong relationship (Image chart)
Credit exposure at
non-main bank
Credit exposure at
main bank
（credit exposure）
With X years’ experience of some
delay in repayment to banks, non-
main banks tend to withdraw their
loans, which has to be replaced by
the main bank loans.
(Time)
▽Seniority and timing of repayment
Seniority Ｂ/S at credit bank
Borrowers’
rating status
which triggers
the repayment of
each liability
high
Under
normal
Trade
payable（custome
r）
Cooperate bond
(investors)
Needs
attention
assets
Bank borrowing
(non-main bank)
Needs
attention--
In danger of
bankruptcy
Bank borrowing
(main bank)
equity
low
32
Use of Integrated Risk Management for Business Strategy
整合风险管理在经营当中的运用
Objective identification of risk-return 风险与回报的客观把握
• Estimating and monitoring risk-adjusted profit indicators at major banks.
估计并监测主要银行的风险调整后收益指标
• Using the profit ratios after credit costs as a part of evaluating performance.
将信用成本扣除后收益率作为业绩评估项目的一部分
Japanese banks including major ones have not yet reached the stage where they
can use the profit after capital cost proactively to assess the performance (risk
versus profitability) of individual sections or the efficiency of use of capital for the
overall bank for several reasons.
包括主力银行在内的日本各家银行由于种种原因，并未能达到主动运用资本成本扣除后收益，来
进行各部门的业绩（风险VS盈利）评估或对整个银行的资本有效使用情况评估。
(Major discussion points in the seminars) The need and merits of economic capital
allocation for regional banks, factors to be considered when setting the confidence
interval for risk quantification, difficulty of using risk/return based performance
evaluation when business lines lack the means of proactively controlling risk of loan
portfolio, degree of independence of integrated risk control function for regional
banks.
（研讨会的讨论要点）：区域银行资本摊入的必要性和意义，设立风险估算可信度时应考虑的因
素，缺乏有效信贷风险控制机制时以风险/受益为基础进行业绩评估有难度，区域银行整合风险
管理的独立程度。
Risk-adjusted profit indicators
Profit after credit cost = net operating profit - credit cost.
Profit ratio after credit cost = profits after credit cost ÷ risk capital.
Profit after capital cost = profit after credit cost - risk capital x capital cost ratio.
33
