The risk problems faced by commercial banks can be divided into three basic aspects. They have credit risks, such as potential bad debts; They also face liquidity risk, which will involve the mismatch between assets and liabilities; In addition, they must also deal with operational risks, such as false personal consumption loans, fraudulent loans from affiliated companies, bill fraud and so on.
The operational risk management of banks involves not only the internal procedures and processes of banks, but also the organizational structure, policies and operational risk management processes of banks. For institutions, there should be appropriate policies to deal with operational risks. First of all, we must determine these policies and inform the employees of the whole bank. In this process, we should consider several aspects: first, we should have a clear governance structure and know who to report to under what circumstances. In a typical bank case, there should be a separate credit risk management organization, and different business departments should be responsible for the daily business management, that is, there are two reporting mechanisms to report the daily business situation to the managers of such business departments respectively; As for credit, it must be reported to the relevant credit manager. There is also a very important point in the information involved in banks, that is, the people who get the information and the details of different levels of information. For example, what the board of directors needs is a common information, and it is impossible to give everyone the same information. In addition, information should be flexible and flexible methods of collecting information are needed.
It is an effective means to strengthen the risk identification, evaluation and early warning of commercial banks and prevent financial risks to formulate the core indicators of risk supervision of commercial banks. On June 65438+February 3, 2005, China Banking Regulatory Commission promulgated the "Core Indicators for Risk Supervision of Commercial Banks" (for Trial Implementation) system, and systematically put forward measures to control the operational risks of commercial banks.
The core indicators are divided into three levels, namely, risk level, risk migration and risk offset.
(1) Risk level indicators include liquidity risk indicators, credit risk indicators, market risk indicators and operational risk indicators, which are static indicators based on time data.
1. Liquidity risk indicators measure the liquidity status and volatility of commercial banks, including liquidity ratio, core debt ratio and liquidity gap ratio, which are calculated in local currency and foreign currency respectively.
Liquidity ratio 1. 1 refers to the ratio of current assets balance to current liabilities balance, which should be no less than 25% to measure the overall level of liquidity of commercial banks.
1.2 The ratio of core liabilities is the ratio of core liabilities to total liabilities and should not be lower than 60%.
1.3 The liquidity gap ratio is the ratio of the on-balance sheet liquidity gap within 90 days to the on-balance sheet liquidity assets due within 90 days, and should not be less than-10%.
2. Credit risk indicators include the ratio of non-performing assets, the credit concentration of a single group customer and the total correlation.
2. 1 The ratio of non-performing assets is the ratio of non-performing assets to total assets and should not be higher than 4%. This indicator is a first-class indicator, including a second-class indicator of non-performing loan ratio; The non-performing loan ratio is the ratio of non-performing loans to total loans and should not be higher than 5%.
2.2 The credit concentration of single group customers is the largest. The ratio of total credit to net capital of group customers should not be higher than 15%. This indicator is a first-level indicator, including a second-level indicator of the loan concentration of a single customer; The loan concentration of a single customer is the ratio of the total loan of the largest customer to the net capital, which should not be higher than 10%.
2.3 The total relevancy is the ratio of all relevant credits to net capital, which should not be higher than 50%.
3. Market risk indicators measure the risks faced by commercial banks due to changes in exchange rates and interest rates, including the proportion of accumulated foreign exchange exposure positions and interest rate risk sensitivity.
3. 1 cumulative foreign exchange exposure position ratio is the ratio of cumulative foreign exchange exposure position to net capital and should not be higher than 20%. Conditional commercial banks can also use other methods (such as value-at-risk method and basis point present value method) to measure foreign exchange risk.
3.2 Interest rate risk sensitivity refers to the ratio of the impact of interest rate rise of 200 basis points on the bank's net worth to the net capital, and this index value will be formulated separately according to the actual needs of risk supervision after the introduction of relevant policies.
4. Operational risk indicators measure risks caused by imperfect internal procedures, operator errors or frauds, and external events, and are expressed as operational risk loss rate, that is, the ratio of losses caused by operations to the average of net interest income plus non-interest income in the first three periods.
(2) Risk migration index measures the degree of risk change of commercial banks, which is characterized by the ratio of asset quality change in the previous period and the current period, and belongs to dynamic indicators. Risk migration indicators include normal loan mobility and non-performing loan mobility.
1. The mobility of normal loans is the ratio of the amount of non-performing loans to normal loans. Normal loans include normal loans and concern loans. This indicator is a first-level indicator, including two second-level indicators: normal loan mobility and concerned loan mobility. The mobility of normal loans is the ratio of the amount that becomes the last four in normal loans to normal loans, and the mobility of concern loans is the ratio of the amount that becomes non-performing loans to concern loans.
2. The mobility of non-performing loans includes the mobility of subprime loans and the mobility of doubtful loans. The mobility of subprime loans is the ratio of the amount converted into suspicious loans and loss loans to subprime loans, and the mobility of suspicious loans is the ratio of loans converted into loss loans to suspicious loans.
(3) Risk compensation indicators measure the ability of commercial banks to compensate for risk losses, including profitability, reserve adequacy and capital adequacy.
1. Profitability indicators include cost-income ratio, asset profit rate and capital profit rate. The cost-income ratio is the ratio of operating expenses plus depreciation to operating income, which should not be higher than 45%; The profit rate of assets is the ratio of after-tax net profit to average total assets, which should not be less than 0.6%; Capital profit rate is the ratio of after-tax net profit to average net assets, which should not be less than 1 1%.
2. Reserve adequacy ratio indicators include asset loss reserve adequacy ratio and loan loss reserve adequacy ratio. The asset loss reserve adequacy ratio is the first-class indicator, and the ratio of actual provision to provision of credit risk assets shall not be less than100%; The loan loss reserve adequacy ratio is the ratio of actual loan provision to required loan provision, which should not be less than 100%, and is a secondary indicator.
3. Capital adequacy ratio indicators include core capital adequacy ratio and capital adequacy ratio, and the core capital adequacy ratio is the ratio of core capital to risk-weighted assets, which shall not be less than 4%; Capital adequacy ratio is the ratio of core capital plus secondary capital to risk-weighted assets, which should not be less than 8%.
The setting of core indicators is essentially a method to quantify risks, and at the same time, through continuous monitoring, we can measure which practices are feasible and which are not, so as to gradually reduce risks and minimize risks. The first stage of risk quantification is mainly measurement and tracking. Knowing how to quantify data is a very challenging job. Most European and American banks are currently going through such a stage. This information should be collected in a systematic way and must be quantified. The second stage is the evaluation stage. After the bank quantifies the relevant information, it still needs to calculate, so the second stage needs a lot of related technology development. Banks can establish internal and external risk loss event databases and fit the distribution of risk losses from the data. By setting a confidence interval, such as 95%, banks can calculate risk losses and allocate capital to them. The biggest advantage of allocating capital for risk is that banks will not be paralyzed or even closed down when they suffer some catastrophic losses. In the third stage, it is to provide data to all management so that they can take appropriate remedial measures to solve the problems they face.
By establishing organizational and institutional processes, risk monitoring and risk allocation, capital can effectively control the risks of banks and support their healthy and sustainable development.