毕博上海银行咨询simebankmarketrisktreasuryreport.docx

SIME BANK BERHAD Report on Market Risk - Treasury 10 October 1997 Prepared bykpmgAsia Pacific Co nsult ing Table of Content TOC \o 1-5 \h \z EXECUTIVE SUMMARY 1 INTRODUCTION 5 PURPOSE OF PAPER 5 M ETHODOLOGY 5 2.3 FORMAT OF THIS REPORT 6 2.4 THE RISK ENVIRONMENT IN WHICH SIME BANK OPERATES 7 PRINCIPAL MARKET RISKS AND KPMG RECOMMENDATIONS 9 I SSUES FROM MAJOR RISKS 9 3.2 RISK: M ARKET RISK STRATEGY RISK TOLERANCE LEVEL 10 Recommendation: Treasury workshop for senior management 10 Benefits 10 3.3 RISK: ORGANISATION STRUCTURE 11 Recommendation: suggested market risk organisation model 12 Benefits 14 3.4 RISK: HUMAN RESOURCES 14 Recommendation: skill acquisition and knowledge transfer 15 The benefits 15 3.5 M ANAGEMENT INFORMATION SYSTEMS (MIS) 15 Recommendation: improved management information 16 Benefits 16 3.6 RISK: TREASURY PROCESSES AND IT 16 Recommendation: automated processes and systems integration 18 Benefits 19 3.7 RISK: PRICE RISK RISK MEASUREMENT 19 Recommendation: improved risk measurement methods 20 Benefits 20 3.8 RISK: D OCUMENTED POLICIES AND PROCEDURES 21 Recommendation: develop a comprehensive policy, procedures and limits manual 21 Benefits 22 3.9 RISK: CREDIT RISKS 22 Recommendation: clarify accountabilities for market related credit risk 22 Benefits 23 3.10 RISK : I NCREASED COMPETITION 23 Recommendation: improved customer service 24 Benefits 24 ACTION PLANS 25 APPENDIX 1 - RISK REGISTER 37 APPENDIX 2 - PROCESS DIAGRAM 50 APPENDIX 3 - COMPARISON WITH INTERNATIONAL STANDARDS 51 kpmg Executive Summary INTRODUCTION We have produced two reports on market risk, focusing on “ Treasury and “ Asseand 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 disti nctio n betwee n the price risk aris ing from the trading activities of the B