毕博-上海银行Risk Mgmt Capabilities DiagProp.docVIP

PROPOSAL TO SUPPORT BANORTE IN THE DIAGNOSIS OF RISK MANAGEMENT AND MEASUREMENT CAPABILITIES AND NEEDS October, 1996  CONTENTS I. Current Situation Project Objectives and Workplan III. Timing and Staffing IV. Oliver, Wyman Co. Methodology V. Experience Statement I. CURRENT SITUATION Banorte has identified the need to establish a robust framework for measuring and monitoring the overall risk and capital profile of the institution. Such a framework will serve to reinforce sound capital management and protection principles at Banorte. Furthermore, as Banorte pursues various strategic growth initiatives this framework will serve to inform capital deployment decisions. To this end, Banorte seeks to improve its current business and product risk measurement through the development and implementation of a methodology for measuring risk in a comparative manner across all business types and attributing economic or risk capital to each of its principal activities. Our risk measurement and capitalization methodology is based upon an elemental approach to translating default probabilities to economic capital at all levels and across all activities of the institution. As such it will provide meaningful input to the evaluation of the prospective consequences of specific business development initiatives and enable Banorte to achieve significantly higher levels of capital productivity. However, before embarking on such an initiative, Banorte has expressed interest in obtaining a perspective of its current risk measurement and management capabilities relative to the frontier of risk capabilities found in the most advanced institutions. Further, Banorte would like to gain an understanding of its current systems capabilities as required to support such a broad-reaching risk initiative. II. PROJECT OBJECTIVES AND WORKPLAN As discussed, the first phase of our efforts at Banorte will be designed with the objective of assessing the status of each line of business rela