Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. Copyright © 2011 Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc. All rights reserved. 商业银行全面风险管理评估 徐天石 大中华区风险服务负责人 高级董事 标准普尔

2. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. ERM Evaluation Structure 全面风险管理评估结构 1.Two Angles to view ERM 对待全面风险管理的两个角度 2.Risk governance 风险治理 3.Operational risk 操作风险 4.Market risk 市场风险 5.Credit risk 信用风险 6.Liquidity and funding 流动性和融资来源

3. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. Original Silo approach for ERM 割裂地看待全面风险管理

4. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. Holistic view of ERM 全面风险管理应当整体有机地进行

5. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. ERM Evaluation Components 全面风险管理评估要素

6. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. Risk Governance 风险治理 Risk governance is the most critical area of our evaluation, as it typically drives the quality and strength of an institution's risk management framework. In our ERM evaluation structure ， focus on: –Risk culture 风险文化 –Risk appetite 风险偏好 –Quality of risk disclosure 风险信息披露的质量 –Ability to view its aggregate risks 监控审视全部风险的能力

7. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. Risk Governance 风险治理 Does the risk management function have sufficient stature within the firm? 风险管理功能是否在组织内部得到应有的重视 示例

8. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. Risk Governance 风险治理 How well does the firm establish and articulate its risk appetite? Is it consistent with the articulated business strategy? What is the role of risk management in this process? Is the reach of the risk management function sufficiently wide across the group? Are the established policies of the business lines consistent with the group's stated risk appetite and business strategy? How well informed is senior management on risk issues? Is there effective internal reporting of risk issues? How good is external disclosure?

9. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. Operation Risk 操作风险 Does the firm have a usable definition of operational risk? Is there an effective framework in place to capture operational risk exposures and loss data? Does the operational risk analysis affect decision making and controls? Are there sufficient resources devoted to operational risk issues? 。。。。。

10. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. Credit Risk 信用风险 Can the firm ensure that its underwriting criteria are consistent with its risk appetite? Does the firm have appropriate structures in place to monitor its credit portfolio for potential problems? Does the institution have access to sufficient portfolio management techniques, including credit risk-mitigation tools? Does the credit risk management framework feed into decision making?

11. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. Market Risk 市场风险 Does the market risk function have a sufficiently broad reach? Can the firm express and manage its tolerance for structural interest rate risk? What about structural foreign-exchange risk and equity risk? Is the firm's asset-liability management framework sufficiently robust, given the assumptions it has made on relevant factors such as duration and prepayments? Is there a robust approach to limits and the use of stress tests?

12. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. Liquidity and Funding 流动性和融资 Does the firm have a well-established funding policy? Does it place an appropriate emphasis on funding concentration and mix? Does the firm have appropriate contingency plans for a liquidity crunch? Does the firm have sufficient liquidity capacity to raise emergency funds without damaging its franchise?

13. Permission to reprint or distribute any content from this presentation requires the prior written approval of Standard & Poor’s. References “Assessing Enterprise Risk Management Practices Of Financial Institutions” (S&P Criteria). “A Roadmap For Evaluating Financial Institutions' ERM Practices” (S&P Criteria)

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