More attention should be paid to market risk management. In recent years, after the interest rate marketization reform, the spread fluctuation of commercial banks has increased; Under the background of economic transformation and development, the debt repayment pressure of some enterprises has intensified, and the market debt default has increased; The financing structure is optimized and adjusted, but commercial banks are still the most important investors in direct financing of enterprises, and the market price fluctuation of debt financing products increases the market risk of commercial banks; With the increase of financial complexity and risk interweaving, the fluctuation of RMB exchange rate has increased under the market-oriented reform. All these factors lead to the expansion of market risk exposure of commercial banks and the difficulty of management. Therefore, the importance of market risk management in overall risk management is increasing.
New changes in the requirements of Basel Accord for market risk management of commercial banks. First, the importance of credit risk assessment continues to increase, involving impairment and valuation, further improving the accuracy and precision of risk measurement; Secondly, the requirements for time limit for a project management ability are improved. On the one hand, the sensitivity of capital to duration has been improved; On the other hand, the duration of assets such as investment funds and asset management plans tends to penetrate the measurement requirements, and the duration measurement of assets under them should be considered; Third, the promotion of exchange rate risk capital weight requires more detailed currency mismatch management, and foreign exchange swap transactions and other businesses will probably increase capital occupation.
Chen Zhongyang, a professor at the School of Finance and Finance of Renmin University of China, pointed out at the meeting that the most important symbol of modern risk management is risk measurement. Risk measurement plays a direct and indirect role in supervision: on the one hand, risk measurement can help the supervision department to better calculate the risks of banks, and then more accurately measure the capital that banks should hold, so that the amount of capital can better reflect and absorb the risks of banks, which is its direct role; On the other hand, the regulatory authorities urge banks to improve the risk management process system, risk management system, risk management culture and risk management strategy. Through the requirements of bank risk measurement, it is an indirect function to promote banks to strengthen the construction of comprehensive risk management system. However, quantifying risks cannot solve the problem comprehensively. Quantification is only the starting point, and the ultimate goal is to establish a comprehensive risk management system. The vast majority of classic market risk management cases are not purely quantitative issues, and basically involve risk concept issues, institutional issues and governance issues. Therefore, in market risk management, qualitative risk management and quantitative risk management should cooperate with each other.
Finally, the meeting put forward three suggestions on the management standard of risk measurement in China:
First of all, we should strengthen the concept of financial security and attach importance to the importance of financial security. The concept of financial security includes macro and micro levels. First, in the macro dimension, both the financial risk supervision department of our country and financial institutions such as commercial banks must realize that finance is not only a small problem related to their own business development, but also a big problem related to the national economy and people's livelihood and the overall national security concept; Second, from the perspective of micro-operation, financial institutions and financial practitioners should strive to master the important financial systems, financial data and financial information held by entities in China and China.
Secondly, the principle of "self-control" should be strongly advocated when selecting market risk measurement management service providers. At present, most of the service providers that provide risk supervision technical services for commercial banks and relevant authorities in China are foreign-funded enterprises, which will affect China's financial security to a certain extent and have immeasurable potential risks. In the future, regulators and financial institutions should adhere to the principle of "independent control" when choosing service providers, and actively promote "import substitution" in the field of market risk measurement management. In short, we should actively cultivate the development of domestic enterprises in this field and provide corresponding policy support. Only in this way can we build an adequate, high-quality, dynamic and internationally competitive service provider system and talent team for the huge risk management system of commercial banks in China, and fundamentally improve the risk management ability and international competition level of commercial banks in China.
Third, actively guide and support professional innovative financial risk measurement and management enterprises to stand out. The market risk measurement management of commercial banks is not only a very professional and complicated "niche field", but also a "special field" related to national security and the competitiveness of commercial banks. For the huge domestic financial institutions, it is a "new field" that most people don't know much about. Therefore, by giving full play to the policy support of "specialized and innovative" enterprises, guiding domestic market risk measurement and management enterprises to be better and stronger, giving full play to the function of Beijing Stock Exchange to find and support "specialized and innovative" enterprises, mobilizing the innovation and creativity of related enterprises, and guiding more talents and resources into this field, we can accelerate the improvement of China's market risk measurement and management level as a whole, and escort the improvement of China's financial supervision ability and the strength of financial institutions.
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