分析集中風(fēng)險(xiǎn)【外文翻譯】

1、<p><b>　　外文翻譯</b></p><p><b>　　原文</b></p><p>　　Analyzing Concentration Risk</p><p>　　Material Source: Algorithmic January 2009

2、 Author: Diane Reynolds</p><p>　　Concentration risks, particularly concentrations in credit risk, have played a key role in the financial instability of the banking sector in 2008. This paper examines diff

3、erent objectives in managing credit concentration risk. The suitability of different measures and presentation techniques is discussed and illustrated in the context of a case study. We also look deeper into “measures”,

4、examining the contributions and interactions of migration, name and sector concentration risk on the portfol</p><p>　　The historic experience indicated that the loan concentration degree risk causes one of b

5、ank crisis's primary causes. Loan concentration degree risk both with single pen large quantity credit exposition related, and is closely related with the Commercial bank each kind of loan's between relevance, wi

6、ll have the important influence to the bank credit risk as well as the economical capital. Because the loan is the bank most important property, usually in the situation loans the concentration degre</p><p>

7、　　Deals with the loan concentration degree risk. Although credit concentration degree risk's destructiveness has been widely approved by the field, but because the loan concentration degree risk's Measurement Tec

8、hnique is not very mature, therefore the new capital agreement has not set the explicit capital request and the gauging device to the loan concentration degree risk. Under first prop frame, credit risks capital request g

9、auging device including standards act and internal rating law (IRB). I</p><p>　　In internal rating law frame, credit risks capital request formula establishment in “combination invariability” above foundatio

10、n. “The combination invariability” is refers to the loan the capital in cash request to be decided by this loan risk, but is not decided by this loan in the asset portfolio. In order to satisfy (draws close at least in)

11、“the combination invariability” the request, discusses the foundation as the IRB legal principle theory of law approach single risk factor pattern (ASRF)</p><p>　　The new capital framework agreement will loa

12、n the centralism risk to place the second prop: Control inspection; Performs to consider. When second prop frame, bank appraisal capital sufficiency of capital should consider fully line of business the credit risks cent

13、ralism degree, the comprehensive consideration bank possibly faces each kind of loan centralism risk, including: Single transaction match or a group of incident cross-correlation transaction match main risk; To identic

14、al economical pr</p><p>　　May divide into the following three levels to the above each kind of loan centralism risk's control inspection. First, the bank own should have the effective internal policy, th

15、e system and the control, with the aim of distinguishing, the survey, the monitor and the control line of business loan centralized risk; The banking management credit risk centralized policy and the procedure must reali

16、ze the documents, including the loan concentration degree risk the definition, risk centralized and rel</p><p>　　The massive research indicated that the loan concentration degree risk has the material effect

17、 to the economical capital. If neglects this kind of influence, calculates the capital request possibly has the misleading result.</p><p>　　In different profession customer concentration degree risk performa

18、nce. In view of the fact that the different profession's technical feature, the economies of scale existence remarkable difference, the profession is affects in this profession an enterprise movement very important f

19、actor, in the different profession's borrower loans the concentration degree risk also to have the very wide difference. The Federal Reserve carries on the comparison to certain concentration degree loan combination&

20、#39;s</p><p>　　The multi-dimensions supervise the side Commercial bank to loan want the concentration degree risk. The loan concentration degree risk displays in the customer concentration degree, the profes

21、sion concentration degree, the region concentration degree as well as three between intercross and so on many dimensions, but the present non-scene supervision system can only provide the large quantity risk exposition t

22、he data, is unable to reflect the commercial bank lending concentration degree risk accu</p><p>　　The supervision Commercial bank establishes the multi-level risks to roll the moderate quota system and the l

23、abor principle system. The regulatory authority is the Commercial bank manages the loan concentration degree to the loan concentration degree quota or the proportion limit's stipulation the lowest standard, the Comm

24、ercial bank should act according to line of business the capital strength, the customer community's characteristic, risk management ability and so on, regulatory authority 's </p><p><b>　　譯文<

25、;/b></p><p><b>　　分析集中風(fēng)險(xiǎn)</b></p><p>　　資料來(lái)源: Algorithmic January 2009</p><p>　　作者：Diane Reynolds</p><p>　　集中風(fēng)險(xiǎn)，特別是信貸風(fēng)險(xiǎn)集中，都在2008年銀行業(yè)金融動(dòng)蕩發(fā)揮了關(guān)鍵作用。本文探討在管理信貸風(fēng)

26、險(xiǎn)集中，不同目標(biāo)，不同措施和編制方法的適用性進(jìn)行了討論和研究。我們也期待更深入地“措施”研究的貢獻(xiàn)和遷移，姓名和對(duì)投資組合的行業(yè)集中度風(fēng)險(xiǎn)的互動(dòng)。</p><p>　　歷史經(jīng)驗(yàn)表明,貸款集中度風(fēng)險(xiǎn)是導(dǎo)致銀行危機(jī)的主要原因之一。貸款集中度風(fēng)險(xiǎn)既與單筆大額信貸暴露有關(guān)，又與商業(yè)銀行各類貸款之間的相關(guān)性密切相關(guān),對(duì)銀行的信貸風(fēng)險(xiǎn)以及經(jīng)濟(jì)資本會(huì)產(chǎn)生重要的影響。由于貸款是銀行最重要的資產(chǎn)，通常情況下貸款集中度風(fēng)險(xiǎn)是銀行面臨

27、的最大風(fēng)險(xiǎn)集中,貸款集中度風(fēng)險(xiǎn)主要源于三方面原因:一是大額單一風(fēng)險(xiǎn)暴露(客戶集中)；二是對(duì)特定行業(yè)過(guò)于集中(行業(yè)集中)；三是借款者之間直接商業(yè)聯(lián)系或間接通過(guò)信用風(fēng)險(xiǎn)緩釋導(dǎo)致的潛在損失的相互依賴。</p><p>　　應(yīng)對(duì)貸款集中度風(fēng)險(xiǎn)。雖然信貸集中度風(fēng)險(xiǎn)的破壞性已被業(yè)界廣泛認(rèn)同，但由于貸款集中度風(fēng)險(xiǎn)的計(jì)量技術(shù)還很不成熟，因此新資本協(xié)議未對(duì)貸款集中度風(fēng)險(xiǎn)提出明確的資本要求和計(jì)量方法。在第一支柱框架下，信用風(fēng)險(xiǎn)的資本

28、要求計(jì)量方法包括標(biāo)準(zhǔn)法和內(nèi)部評(píng)級(jí)法（IRB）。若商業(yè)銀行使用標(biāo)準(zhǔn)法,單筆貸款的資本要求取決于借款人的外部評(píng)級(jí)，貸款組合的資本要求等于所有貸款資本要求的簡(jiǎn)單加總，與該組合的構(gòu)成和特征沒(méi)有關(guān)系。</p><p>　　在內(nèi)部評(píng)級(jí)法框架中，信用風(fēng)險(xiǎn)資本要求的計(jì)算公式建立在“組合不變性”</p><p>　　的基礎(chǔ)之上。“組合不變性” 是指貸款的資本金要求取決于該貸款的風(fēng)險(xiǎn)，而不是取決于該貸款所在資

29、產(chǎn)組合。為滿足(至少趨近于)“組合不變性”的要求,作為IRB 法理論基礎(chǔ)的漸近單風(fēng)險(xiǎn)因子模型(ASRF)有以下兩條關(guān)鍵假設(shè):(1)資產(chǎn)組合充分分散；(2)只存在惟一的系統(tǒng)風(fēng)險(xiǎn)因子。在(ASRF)中，這個(gè)惟一的系統(tǒng)風(fēng)險(xiǎn)因子就是宏觀經(jīng)濟(jì)運(yùn)行狀況。嚴(yán)格地說(shuō)，第二條假設(shè)從一個(gè)經(jīng)濟(jì)整體而不是單個(gè)銀行資產(chǎn)組合的角度來(lái)分析信用風(fēng)險(xiǎn)來(lái)源，任何行業(yè)、地區(qū)風(fēng)險(xiǎn)都與宏觀經(jīng)濟(jì)風(fēng)險(xiǎn)保持一致。寬泛理解，若銀行資產(chǎn)組合在行業(yè)和地區(qū)間已得到充分分散,惟一留下的系統(tǒng)風(fēng)險(xiǎn)

30、就是經(jīng)濟(jì)的運(yùn)行狀況。從這一點(diǎn)上，第二條假設(shè)可理解為是對(duì)銀行資產(chǎn)組合的一種要求。然而，模型的具體假設(shè)在實(shí)際組合中不可能得到完全滿足。這是因?yàn)榧僭O(shè)資產(chǎn)組合充分分散，憊味著組合中不存在客戶集中風(fēng)險(xiǎn), 假設(shè)只存在惟一的系統(tǒng)因子：宏觀經(jīng)濟(jì)；則意味著行業(yè)集中風(fēng)險(xiǎn)也不存在。而實(shí)踐中這兩種集中風(fēng)險(xiǎn)相當(dāng)普遍，對(duì)于那些規(guī)模較小或相對(duì)專業(yè)性的機(jī)構(gòu)來(lái)說(shuō)更是如此。也就是說(shuō)，基于ASRF模型的假設(shè)可以看出，新資本協(xié)議第一支柱對(duì)信用風(fēng)險(xiǎn)的資本要求，并沒(méi)有覆蓋貸款集中

31、風(fēng)險(xiǎn)。</p><p>　　新資本協(xié)議框架將貸款集中風(fēng)險(xiǎn)放在了第二支柱:監(jiān)督檢查;中加以考慮。在第二支柱框架下，銀行評(píng)估資本充足率時(shí)應(yīng)充分考慮本行的信用風(fēng)險(xiǎn)集中程度，全面考慮銀行可能面臨的各種貸款集中風(fēng)險(xiǎn),包括：?jiǎn)蝹€(gè)交易對(duì)手或一組相互關(guān)聯(lián)的交易對(duì)手的主要風(fēng)險(xiǎn)；對(duì)同一經(jīng)濟(jì)行業(yè)或地域的交易對(duì)手的貸款風(fēng)險(xiǎn)；對(duì)財(cái)務(wù)狀況依賴于同類業(yè)務(wù)或商品的交易對(duì)手的貸款風(fēng)險(xiǎn)；因銀行信用風(fēng)險(xiǎn)緩釋業(yè)務(wù)產(chǎn)生的不直接的貸款風(fēng)險(xiǎn)(例如,單一化的抵

32、押品產(chǎn)生的風(fēng)險(xiǎn)或單個(gè)交易對(duì)手提供貸款保護(hù)產(chǎn)生的風(fēng)險(xiǎn))。</p><p>　　對(duì)上述各類貸款集中風(fēng)險(xiǎn)的監(jiān)督檢查可分為以下三個(gè)層次。首先，銀行自身應(yīng)具備有效的內(nèi)部政策、系統(tǒng)和控制，以便識(shí)別、測(cè)量、監(jiān)測(cè)和控制本行的貸款集中風(fēng)險(xiǎn)；銀行管理貸款風(fēng)險(xiǎn)集中的政策和程序必須實(shí)現(xiàn)文檔化，其中包括貸款集中度風(fēng)險(xiǎn)的定義，風(fēng)險(xiǎn)集中和相關(guān)限額的計(jì)算方法等。其次，銀行管理層應(yīng)定期進(jìn)行主要貸款風(fēng)險(xiǎn)集中的壓力測(cè)試，檢查測(cè)試的結(jié)果，以便識(shí)別可能對(duì)

33、銀行運(yùn)營(yíng)狀況產(chǎn)生負(fù)面影響的市場(chǎng)條件的潛在變化，并做出反應(yīng)。最后，在監(jiān)管過(guò)程中，監(jiān)管當(dāng)局應(yīng)評(píng)估銀行貸款風(fēng)險(xiǎn)集中的程度、銀行管理水平和根據(jù)第二支柱要求銀行資本充足率內(nèi)部評(píng)估水平，評(píng)估還應(yīng)包括對(duì)銀行壓力測(cè)試結(jié)果的檢查。如銀行不能有效管理貸款集中度風(fēng)險(xiǎn)，監(jiān)管當(dāng)局應(yīng)采取相應(yīng)的措施。</p><p>　　大量研究表明，貸款集中度風(fēng)險(xiǎn)對(duì)經(jīng)濟(jì)資本存在著重要影響。如果忽視這種影響，計(jì)算出來(lái)的資本要求可能產(chǎn)生誤導(dǎo)性結(jié)果。</p

34、><p>　　不同行業(yè)中客戶集中度風(fēng)險(xiǎn)的表現(xiàn)。鑒于不同行業(yè)的技術(shù)特征、規(guī)模經(jīng)濟(jì)存在顯著的差別，行業(yè)是影響該行業(yè)中企業(yè)運(yùn)行的一個(gè)非常重要的因素，不同行業(yè)中的借款人貸款集中度風(fēng)險(xiǎn)也存在很大差別。美聯(lián)儲(chǔ)對(duì)一定集中度貸款組合的信用風(fēng)險(xiǎn)VAR與標(biāo)準(zhǔn)貸款組合的VAR進(jìn)行比較來(lái)衡量貸款行業(yè)集中的相對(duì)風(fēng)險(xiǎn)。美聯(lián)儲(chǔ)的實(shí)證分析表明，隨著貸款集中度的增加，不同行業(yè)貸款風(fēng)險(xiǎn)變化方向和程度是不同的。大部分行業(yè)隨著貸款集中度提高風(fēng)險(xiǎn)有所上升，個(gè)

35、別行業(yè)表現(xiàn)出很高的相關(guān)度，如汽車行業(yè)隨著集中度的提高，貸款風(fēng)險(xiǎn)顯著增加；而有些行業(yè)隨著集中度提高，風(fēng)險(xiǎn)卻趨于下降，如家具行業(yè)，這說(shuō)明該行業(yè)集中度較低，平均資產(chǎn)相關(guān)性也較低。總體上來(lái)看，貸款集中度與貸款風(fēng)險(xiǎn)關(guān)系比較復(fù)雜，取決于借款人評(píng)級(jí)、行業(yè)集中度、行業(yè)/企業(yè)資產(chǎn)波動(dòng)性、行業(yè)/ 企業(yè)資產(chǎn)相關(guān)性、期限等許多因素。在借款人評(píng)級(jí)和期限相同的情況下，一些行業(yè)中客戶集中度對(duì)信用風(fēng)險(xiǎn)VAR存在著顯著影響，如汽車、電信等行業(yè)。</p>&

36、lt;p>　　多維度監(jiān)側(cè)商業(yè)銀行貸欲集中度風(fēng)險(xiǎn)。貸款集中度風(fēng)險(xiǎn)表現(xiàn)在客戶集中度、行業(yè)集中度、區(qū)域集中度以及三者之間相互交叉等多個(gè)維度，而現(xiàn)行的非現(xiàn)場(chǎng)監(jiān)管系統(tǒng)僅能提供大額風(fēng)險(xiǎn)暴露的數(shù)據(jù)，無(wú)法準(zhǔn)確反映商業(yè)銀行貸款集中度風(fēng)險(xiǎn)的全貌。因此，監(jiān)管當(dāng)局應(yīng)改進(jìn)非現(xiàn)場(chǎng)監(jiān)測(cè)報(bào)告體系，提供多維度的貸款風(fēng)險(xiǎn)集中度信息，以此為基礎(chǔ)，分析貸款集中度風(fēng)險(xiǎn)，如對(duì)計(jì)算不同維度貸款集中度風(fēng)險(xiǎn)的行業(yè)平均水平，確定相應(yīng)的觸發(fā)比例，要求未滿足觸發(fā)比例商業(yè)銀行對(duì)貸款集中度

37、風(fēng)險(xiǎn)計(jì)提資本。</p><p>　　督促商業(yè)銀行建立多層次的風(fēng)險(xiǎn)滾中度限額體系和工理體系。監(jiān)管當(dāng)局對(duì)貸款集中度限額或比例限制的規(guī)定是商業(yè)銀行管理貸款集中度的最低標(biāo)準(zhǔn)，商業(yè)銀行應(yīng)根據(jù)本行的資本實(shí)力、客戶群體的特點(diǎn)、風(fēng)險(xiǎn)管理能力等，將監(jiān)管當(dāng)局的貸款集中度要求分解到具體的行業(yè)、區(qū)域和客戶群，建立一整套風(fēng)險(xiǎn)限額體系，以及行之有效的限額管理組織框架和制度安排，包括限額設(shè)定和審批、超限額情形的審批、限額執(zhí)行情況的監(jiān)測(cè)和報(bào)告體