毕博上海银行咨询Sime Bank Market Risk ALM Report.docVIP

SIME BANK BERHAD Report on Market Risk: Asset and Liability Management 21 October 1997 Prepared by kpmgAsia Pacific Consulting Table of Content 1. Executive Summary 1 2. Introduction 2 2.1 Format of this report 2 2.2 Methodology 2 2.3 Overview of ALM process environment at Sime Bank 2 3. Principal ALM Risks and KPMG Recommendations 2 3.1 Major risks 2 3.2 Risk: ALM strategy, risk tolerance level and accountability 2 3.2.1 Recommendation: ALM strategy workshop 2 3.2.2 Benefits 2 3.3 Risk: Organisation Structure framework 2 3.3.1 Recommendation: Organisation structure and framework 2 3.3.2 Benefits 2 3.4 Risk: Human Resources 2 3.4.1 Recommendation: skill acquisition and knowledge transfer 2 3.4.2 Benefits 2 3.5 Risk: Management Information Systems (MIS) 2 3.5.1 Recommendation: improved management information 2 3.5.2 Benefits 2 3.6 Risk: Liquidity Risk 2 3.6.1 Recommendation: extended analysis and monitoring 2 3.6.2 Benefits 2 3.7 Risk: Structural Interest Rate Management 2 3.7.1 Recommendation: extended analysis and monitoring 2 3.7.2 Benefits 2 3.8 Risk: Foreign Exchange (FX) Risk 2 3.8.1 Recommendations: establish a formal policy and FX exposure limits 2 3.8.2 Benefit 2 3.9 Risk: Documented Policy and Procedures 2 3.9.1 Recommendation: develop policy, procedures and limits appropriate to ALM 2 3.9.2 Benefits 2 3.10 Risk: ALM Processes IT 2 3.10.1 Recommendation: automated processes and systems integration 2 3.10.2 Benefits 2 3.11 Risk: Capital Management 2 3.11.1 Recommendation: implement a transfer pricing mechanism 2 3.11.2 Benefits 2 4. Action Plans 2 APPENDIX 1 - RISK REGISTER 2 APPENDIX 2 - ASSET AND LIABILITY MANAGEMENT PROCESS DIAGRAM 2 APPENDIX 3 - COMPARISON WITH INTERNATIONAL STANDARDS 2 APPENDIX 4 - SAMPLE MANAGEMENT INFORMATION REPORTS 2  1. Executive Summary INTRODUCTION We have produced two reports on market risk, focusing on “Treasury” and “Asset and Liability Management” (ALM). Both reports highlight a number of key areas in which action is re