第十章风险管理与银行治理(对外经济贸易大学何自云)资料.pptVIP

*/18 Copyright ? 2004 何自云? 商业银行世界（Http://） */18 Copyright ? 2004 何自云? 商业银行世界（Http://） */18 Copyright ? 2004 何自云? 商业银行世界（Http://） 第十章 风险管理与银行治理 对外经济贸易大学 金融学院 何自云 第十章 风险管理与银行治理 Banking Risks and Returns 银行风险管理 我国商业银行风险管理的发展方向 商业银行内部控制指引 股份制商业银行公司治理指引 商业银行信息披露暂行办法 Banking Risks and Returns …The Profitability, liquidity, and solvency trade-off The fundamental objective of bank management is to maximize shareholders’ wealth, i.e., to maximize the market value of the bank’s common stock. Wealth maximization requires the manager to evaluate and balance the trade-offs between the opportunity for higher returns, the probability of not realizing those returns, and the possibility that the bank might fail. Risk management is the process by which managers identify, assess, monitor, and control risks associated with a financial institution’s activities. Fundamental risks Credit risk Liquidity risk Market risk Operational risk Reputational risk Legal risk Capital or solvency risk Credit risk The potential variation in net income and market value of equity resulting from nonpayment or delayed payment. Three Question need to be addressed: What is the historical loss rate on loans and investment? What are expected losses in the future? How is the bank prepared to weather the losses? A large allowance may indicate both good and bad performance. Three other sources of credit risk Lack of diversification High loan growth Country risk Liquidity risk…the variation in net income and market value of equity caused by a banks difficulty in obtaining cash at a reasonable cost from either the sale of assets or new borrowings. Banks can acquire liquidity in two distinct ways: By liquidation of assets Composition of investments Maturity of investments By borrowing Core deposits Volatile deposits Market risk…the risk to a financial institution’s condition resulting from adverse movements in interest rates, foreign exchange rates, and equity and security prices. Value at Risk （在险价值、临险价