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Comprehensive risk management of commercial bank risk management of new development

Paper Keywords commercial bank risk management, economic capital, RAROC
Abstract is an international comprehensive banking risk management, risk management, the latest trends, and economic capital is the basic method of comprehensive risk management. Way through the economic capital, commercial banks only promote staff participation in all sectors and risk management, but also the integration of risk management. To this end, China's commercial banks should vigorously promote the comprehensive risk management. Long-term risk management practice, people gradually realized that different departments within the enterprise or individual business risk, some superimposed on each other to enlarge, but some offset reduced. Therefore,[link widoczny dla zalogowanych], risk management, the enterprise can not only from a business point of view or a sector risk, but risk portfolio should be based on the view, from the perspective of the overall enterprise to analyze and control risk, the implementation of a comprehensive risk management ( ERM). In order to meet the needs of enterprise-wide risk management, international authority the United States Commission COSO (Committee of Sponsoring Organizations of the Tread-way Commission) since 2001, started research in this area, after 2003 July issued a On this basis, in September 2004 officially released, and become a basis for a comprehensive risk management document to guide the company's overall risk management activities. From the . 1 overall risk management profile COSO Committee in the According to Enterprise-wide risk management has three dimensions, the first dimension is the corporate goals; second dimension is a comprehensive risk management elements; the third dimension at all levels of the enterprise. (1) the first dimension - business goals. Has four objectives, namely,[link widoczny dla zalogowanych], strategic objectives, business goals,[link widoczny dla zalogowanych], objectives and compliance objectives of the report. Determine the business objectives, will determine its overall direction of business development, resource allocation and risk control activities. Therefore, the overall risk management must be central to business objectives. (2) The second dimension - a comprehensive risk management elements. There are eight elements: the internal environment, goal setting, event identification, risk assessment, risk reflected, control activities, information and communication, monitoring. Comprehensive risk management activities should start from the eight areas, every aspect of the development of complete working systems and methods to ensure the implementation of comprehensive risk management activities. (3) The third dimension - the enterprise level. Including the entire business, functional departments, business lines and subsidiaries of the subsidiaries. Comprehensive risk management is not which one level or departments, each level, each department or each smart products (business) line needs to play its role for enterprise-wide risk management goals to contribute. The relationship between these three dimensions is that the eight elements of a comprehensive risk management are the four goals for the business services; enterprises at all levels should adhere to the same four goals; each level must be from these eight areas of risk management. 2 basic tools for comprehensive risk management - economic capital the past, commercial banks in the risk management process, is usually simply understood as risk management, risk management departments, there is no effective mechanism to establish to promote active participation of all sectors and risk management staff. Also divided on the various types of risk management, ignoring the synergies between them, not science, it is difficult to achieve uniform and effective monitoring. In the overall risk management framework, through economic capital, commercial banks can either establish an effective incentive and restraint mechanisms to achieve full participation in risk management, but also can integrate a variety of organic risk, from the perspective of the overall unity of measure and control risk. We know that in order to avoid unexpected losses due to appear at the expense of creditors (mainly depositors) of interest that commercial banks must have adequate capital to withstand risks, which is bank's internal risk management, the main objective. The so-called economic capital, that is, a certain confidence level so that the interests of creditors are protected by the minimum capital required to provide. For example, a AAA-grade commercial banks, their depositors default rates should be lower than 0.001%. Since the end of the volatility of asset values (for example, appears doubtful), commercial banks may be less than the end of the value of assets liabilities, resulting in insolvency, damage the interests of creditors. At this point, commercial banks should hold enough capital to guarantee 99.999% probability is not compromised the interests of creditors, the amount of capital that must hold economic capital. Why economic capital into a comprehensive risk management essential tool? We know that commercial banks as a business, the business's ultimate goal is shareholder value (or bank value) maximization. Traditional economics view is that business goal is to maximize profits. According to this theory, the traditional measure of return on capital is the net return on assets (ROE). But this view did not consider the risk factors, not the risks and benefits into a framework of assessment, so only the case without considering the risk, or the equivalent assumption in the risk assessment proceeds, benefits and risks are not of such institutions, departments, or business can not be directly compared. In fact, does not mean maximizing the value of profit maximization, but rather to maximize profits and minimize risks of integration and unity. This is a risk for the operation of commercial banks in terms of objects, but also has a special significance. To address this problem, more and more commercial banks to use risk-adjusted return on capital (RAROC), known as return on economic capital as a measure of the level of capital return. Economic capital is the risk-adjusted return on net profit and occupied by the ratio of economic capital. The advantage is that the benefits and risks into an assessment system in line with the principles of risk and return symmetry, but also different benefits, different risk sectors and direct comparison of the performance of the business, and thus become a commercial bank's internal performance measurement of key indicators. Commercial banks generally through the branches, business units control the distribution of economic risk capital amount and capital to make it fit, in order to maintain adequate risk resilience. Meanwhile, commercial banks raise their capital by optimizing capital allocation level of returns. Capital is limited, and require higher returns, which commercial banks to optimize the economic capital allocation and configuration,[link widoczny dla zalogowanych], in order to balance the risks and benefits. Because of the risk in the control of economic capital growth, maximize shareholder value the unique role, the bank must establish a set of management systems and methods, the economic capital of commercial banks for effective management.

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