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

SIME BANK BERHAD Report on Market Risk - Treasury 10 October 1997 Prepared by kpmgAsia Pacific Consulting Table of Content 1. Executive Summary 1 2. Introduction 5 2.1 Purpose of paper 5 2.2 Methodology 5 2.3 Format of this report 6 2.4 The risk environment in which Sime Bank operates 7 3. Principal Market Risks and KPMG Recommendations 9 3.1 Issues from major risks 9 3.2 Risk: Market risk strategy risk tolerance level 10 3.2.1 Recommendation: Treasury workshop for senior management 10 3.2.2 Benefits 10 3.3 Risk: Organisation Structure 11 3.3.1 Recommendation: suggested market risk organisation model 12 3.3.2 Benefits 14 3.4 Risk: Human Resources 14 3.4.1 Recommendation: skill acquisition and knowledge transfer 15 3.4.2 The benefits 15 3.5 Management Information Systems (MIS) 15 3.5.1 Recommendation: improved management information 16 3.5.2 Benefits 16 3.6 Risk: Treasury processes and IT 17 3.6.1 Recommendation: automated processes and systems integration 18 3.6.2 Benefits 19 3.7 Risk: Price Risk Risk Measurement 19 3.7.1 Recommendation: improved risk measurement methods 20 3.7.2 Benefits 20 3.8 Risk: Documented Policies and Procedures 21 3.8.1 Recommendation: develop a comprehensive policy, procedures and limits manual 21 3.8.2 Benefits 22 3.9 Risk: Credit Risks 22 3.9.1 Recommendation: clarify accountabilities for market related credit risk 22 3.9.2 Benefits 23 3.10 Risk: Increased Competition 23 3.10.1 Recommendation: improved customer service 24 3.10.2 Benefits 24 4. Action Plans 25 APPENDIX 1 – RISK REGISTER 33 APPENDIX 2 – PROCESS DIAGRAM 33 APPENDIX 3 - COMPARISON WITH INTERNATIONAL STANDARDS 33  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 required to strengthen the Bank’s management of market risks. We have produced two separate reports to draw a distinction between the price risk arising