Risk Appetite Framework Challenges - GARP - Global ：风险偏好框架GARP全球挑战.pdf

Risk Appetite Framework Challenges Tsuyoshi Oyama Deloitte Touche Tohmatsu Global Association of Risk Professionals December 2013 This paper does not include the official view of Deloitte Touche Tohmatsu LLC but only reflects the lecturer’s own opinion. What is risk appetite? Risk appetite “Level and type of risk a firm is able and willing to assume in its exposures and business activities, given its business objectives and obligations to stakeholders” Senior Supervisors Group, “Observation on Development in Risk Appetite Frameworks and IT infrastructure, 2010 ⇒ Risks that the firm, or the management, decides to take in order to meet business objectives ⇒ Significant difference from the conventional risk management is that “the management” is the subject and “to meet business objectives” is the object Risk capacity “The maximum level of risk the firm can assume before it breaches regulatory constraints (e.g., capital, liquidity) or other stakeholders’ constraints (e.g., dividend pay-out)” Financial Stability Board, “Thematic Review on Risk Governance – Peer Review Report” 2013 Approved risk appetite, risk limit “Risk level that when actually breached will require immediate remedial action” Financial Stability Board, “Thematic Review on Risk Governance – Peer Review Report” 2013 2 | © 2012 Global Association of Risk Professionals. All rights reserved. Pulling factors of risk appetite Risk limits that major stakeholders expect financial institutions to keep ⇒ risk capacity From a viewpoint of... • Regulators ─ Stability of financial system, mitigation of moral hazard • Rating agencies ─ Preventing abuse of asymmetric information regarding creditworthiness • Bond holders ─ Concerns over risk transfer from stakeholders • Public ─ Concerns over risk of damaging social justice • Stakeholders ─ Conc