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主题内容：
风险管理是为了在效益和成本之间做出一个权衡，其目的是为了降低风险并且决定采取什么样的措施的一个过程，其中包括风险识别、风险评估、风险几率和风险响应，以及风险监督。这是每个大企业都应该熟练掌握并且运用的一个管理措施。现代商业银行作为一个管理工业，以商业存款和贷款为主要业务，以从中获取货币管理企业的利润为宗旨，还要有风险管理的能力。这也是衡量商业银行核心竞争力和市场价值最重要的因素之一。风险管理文化是核心竞争力的根本标志。
澳大利亚对风险管理的研究始于1980年代。一些学者在澳大利亚有安全系统工程理论和风险管理的知识，因此少数公司对此感到很满意。因为以前澳大利亚大多数企业缺乏风险管理意识，也没有建立风险管理机制。但是商业银行的风险管理和外资银行的先进管理仍存在较大的差距，它们代表了城市商业银行和中小商业银行，与国内大型商业银行相比，风险管理系统对两者差距的建设更为重要。
基于商业银行风险管理文化的提炼和风险管理系统的重要性，如何在迅速变化的金融环境和宏观环境中满足风险管理系统的需求显得更为迫切，更为重要。这也是本文写作的基本出发点。
The subject content:
Risk management is to make a trade-off between benefits and costs to reduce risk and decide what measures to take the process, including risk identification, risk assessment, risk rating and the response, risk monitoring. Is each big enterprise should grasp and skilled use of management measures. The modern commercial bank as manage industrial and commercial deposits and loans as main business, and to obtain profits for the purpose of monetary management enterprise, more should has the ability of risk management. And it is also to measure commercial bank core competence and market value of one of the most important factor. Risk management culture is the ultimate sign of the core competence.
Australia for risk management research started in the 1980 s. Some scholars have the safety system engineering theory and risk management in Australia, in a handful of firms try feel satisfied. Australia's most enterprises lack awareness of risk management, did not establish a risk management mechanism. The risk management of commercial Banks and foreign Banks' advanced management but also has a large gap, represented by inside the city commercial Banks of small and medium-sized commercial Banks, compared with large domestic commercial Banks, risk management system for the construction of the gap is more significant.
Based on refining of commercial bank risk management culture and the important role of risk management system. How to set up in a rapidly changing financial environment and macro environment that meet the needs of risk management system is more urgent, more important, which is the fundamental starting point of the writing this article.
This paper devotes to the investigation, to understand the domestic current situation of the commercial bank risk management system construction work, and compared with mature foreign commercial bank risk management, find out the specific differences and deficiencies, combined with the increasingly changing financial market environment, how to carry out risk management system construction work put forward constructive views.
The introduction
Recent epidemic in the global financial crisis brought heavy blow to the world, the first storm caused by the United States, spread in the network of economic globalization, almost all the countries in the world.
This is a financial crisis in generations, is also a cause of economic development to a disaster.
Since 2001, the "9 ? 11" incident, amid fears that the economic downturn, the fed started to slash interest rates, the benchmark interest rate from 3% all the way down to 1% in January 2003, it reached the lowest level for 30 years, and maintain until June 2004. The fed this wants to boost liquidity by increasing new weakness of the economic situation in the United States, have contributed to the prosperity and development of the real estate industry in the United States, liquidity and stimulate the development of the us subprime mortgages. Under the policy of low interest loans according to environment, residents began to commercial Banks and other mortgage agencies to apply for a loan, and put a lot of money into real estate. To spread risk, and to sell loans to commercial Banks and other mortgage agencies, fannie mae and Freddie MAC, and institutions such as investment Banks. To spread risk, and to sell loans to commercial Banks and other mortgage agencies, fannie mae and Freddie MAC, and institutions such as investment Banks. In mortgage agencies that fannie mae and Freddie MAC, and investment Banks between financial innovation and formed a link. This link is heavily dependent on a link. The latter, however, also in order to spread risk, and loan processing into subprime mortgages, sold to include commercial Banks, insurance companies, pension funds, hedge funds, investors around the world. It has formed a link in the process of financial innovation. < 1 > in this link, AIG (American International Group), such as insurance company also provides the guarantee for the subprime mortgage. Thus formed the seemingly "perfect" financial innovation chain.
The lack of government regulation, weakness of chaos and prompted the development of the chain. When hair booming real estate industry, home buyers, mortgage companies, investment Banks, insurance companies and investors that five in corresponding profits at the same time, also constitute a seemingly perfect chain. The fed to cooperate the expansionary policies of the bush administration's tax cuts, easing inflation pressure, from 30 June 2004 to June 29, 2006 rates 17 times in a row, to raise interest rates by 425 basis points, improving capital (mortgage) price, 80% of subprime mortgage payments in less than six months jumped 30% ~ 50%. [2] interest rates rise sharply add greatly to people through the loan to purchase the burden of the subprime mortgage buyers began to payment, as a result, the U.S. real estate began to appear "inflection point". Fannie mae and Freddie MAC, investment Banks and investors in the hands of a large number of subprime mortgages due to lost the source and a big devaluation. And thus the first part was opened, the failure of the first part makes the financial innovation foundation link lost, lost the survival of the power, the crisis broke out. < 2 >
On Wall Street about the abuse of financial derivatives
Financial derivatives "abuse" of the long chain financial transactions, fuelling speculation. Fannie mae and Freddie MAC by buying commercial Banks and mortgage lenders illiquid loans through securitization converts it into bond sale in the market, attract investment Banks and other financial institutions to buy, and the investment Banks use "exquisite" of financial engineering technology, then the segmentation, packaging, and sell. In this process, the initial one yuan loans can be amplified to a few dollars, and even 10 yuan of financial derivatives, thus lengthening the chain of financial transactions, in the end that no one to care about these financial products the basis of real value, it further encourages short-term speculation. But speculation is just appearance, greed is the essence. Lehman brothers, for example, it's the world first-class research ability and financial innovation ability, no one understand the meaning of risk, better than their own, however, eventually will collapse, the reason is that lehman's management and employees hold about a third of the company stock, and only know frantically to speculative money, and less consider the interests of other shareholders. < 3 >
America's financial derivatives developed quickly in recent years, increasing degree of complexity, a derivative is a double-edged sword. In pursuit of the maximization of interests, Wall Street investment bank financial products division, will be the original packaging, combined to develop a variety of financial products, depending on the level of risk, sold to different risk preference of financial institutions or individuals, in this process, the original financial products be amplified his value several times or more than ten times higher for financial derivatives, greatly elongated the trading chains. < 4 >
In recent years, to hedge and to spread the risk of systemic theories become more and more pure mathematical model theory basis. However, this kind of phenomenon is the result of the disastrous. Many programmers think even design model in the framework of the guiding theory, risk assessment model does not need to provide the risk premium for systemic risk.
Because the market downturn or recession, the stock is not be completely avoid the systemic risk, so the debt assets investors usually the systemic risk of the assets requires a certain risk premium. If the existence of bankruptcy risk debt assets does not require any risk premium, then according to traditional theory, risk aversion of investors go to invest in there is no bankruptcy risk of government bonds. But emerging theory is that, as long as pay a high enough interest, the presence of bankruptcy risk of securities or bonds it does not need to pay a risk premium to its systemic risk. Obviously these theoretical assumption is not realistic, they assume the debt assets does not exist in the market transaction costs, and these assets profit is continuity. Therefore, although the model is very perfect in theory, they cannot work well in reality.
In the pure mathematical model when in operation, can completely avoid the operator's subjective judgment, there is still a debate on this issue. Humans can be in the unconscious in a simple but effective method of comprehensive judge for many variables (Gigenrenzer, 2007). Human subjective judgment, therefore, can avoid the pure mathematical model due to some unrealistic assumptions, as well as by the limitations of historical data and error produced during operation.
In the credit market, a credit rating model curve to predict the distribution of small probability events such as the mass bankruptcy boom is crucial, the existing mathematical model, on the other hand, tend to underestimate the probability of such events. Modern mathematical model is often ignored the correlation between systemic risk, and tend to think the market is always starting from the equilibrium state. Modern mathematical models are effective only in historical data for operation, and the lack of realism. However their fit to the historical data so that the user overestimated their accuracy in predicting the future situation. < 5 >
The application of these theories in the model of risk assessment in the United States on the market a lot of credit default swaps yields were set low, because these models think credit default swaps only need the buyer pay the risk-free rate, and does not need to pay a risk premium to its systematic risk. High pricing of intangible let these swaps investors to take on too much risk. Due to the vast majority of swaps DanBaoFang that part of the financial institutions in the United States, at the same time of constantly for a large number of new swap guarantees, itself has carried a large amount of debt. So once these swaps by default, a huge amount of loss is likely to lead to these financial institutions bankruptcy directly. And not only for yourself, also bring huge losses to swap the owners.
Credit default swaps on the phenomenon of low yield not only bring the DanBaoFang and buyers are huge risk, also caused the U.S. financial market step by step the credit bubble. Due to the risk of credit default swaps are wrongly underestimated, the insurance premium has also been greatly underestimated. Therefore, in the American market, the loan and the bond issuer can buy low credit default swaps to provide hedge for issuing bonds and to apply for a loan. Due to the risk of the credit default swaps rating is very high, so the issuer of the bond is actually a very low cost to the seller of credit default swaps, namely, government agencies and large financial institutions, for the application for issuing bonds or loans.
To hedge the risks, credit default swaps, in fact, greatly reduce the yield spreads on risky assets and risk-free asset. On the one hand, corporate debt issuers can through the way of issuing credit default swaps for government agencies and financial institutions to make its own debt guarantees, in fact circumvented risk premium payment; Arbitrageurs start, on the other hand, in the market to buy higher-yielding bonds, especially junk bonds, at the same time to buy the bonds of credit default swaps, in order to earn price difference, so as to lower the bond yields. Through these actions, all sorts of risky assets and risk-free assets in the United States spread at unprecedented lows.
Because financial markets spread is reduced, the financial institutions also have to reduce the rate of new loans, to ensure its competitiveness. A few years before the crisis, some of the new lending interest rates even lower than the us Treasury yields.
However, the disastrous consequences of the credit bubble is not immediately apparent. Due to debt and loans issued in the early years of the default rate is low, and the U.S. economy is in a boom, so the lenders are taking risks had not appeared. However, due to this part of the new lending rates are not included in the risk premium, even the interest rate than summed up from historical data on average expected loss value is low, which means that when it comes to an average loan default rates, borrowers will suffer a huge loss. Because the loans of low interest rates, new loans mainly issuers, namely, financial institutions, will be in the year of the systemic risk of loan liquidity risk to the safety of its survival.
From this article, the first and second part of the argument, can find the root cause of the financial crisis is pure mathematical model itself is flawed, led to huge systemic risk probability estimation is not enough, so that the credit default swap pricing too low on the market, thus promote the unprecedented credit bubble in the U.S. financial markets. Once a loan or debt defaults to historical averages, so borrowers and the owner of the credit default swaps will suffer enormous losses, and then have a snowball effect, finally poses a severe blow to the economy as a whole.
Credit rating agencies of dereliction of duty
If there is a lot of defects, first of all, the process and enforcement. Rating process of major parts failed to foreign disclosure, failed to record some important steps, middle and later periods of the rating process performed by the monitoring issues such as monitoring or continuous process is not robust. Second, the rating model is not perfect. Securitised products for database and model dependence is very high, so the accuracy of the models is very important, and often require the economic cycle test database and model. America's bond market expansion since 1996, until 2007, without the experience of a complete economic cycle test, model exist a lot of defects, the rating accuracy is greatly reduced.
After the outbreak of the subprime crisis, moody's and standard &poor's and fitch, the main rating agencies became the most direct object of criticism. High ratings agencies recognized the ascension of the subprime product ratings, and greatly promoted the development of the subprime mortgage market, the rating agencies' income derived from securities issuers, but require them to responsible for the market investors, this loophole in the rating system has caused wide public concern. When the market a ring, a rating agency problems, then trust crisis began.
Rating agencies as intermediaries, has the independent status in the capital market, he is in the service of investors, but the current cost of rating is an important source of income of rating agencies, most of the rating agencies is taken charge by the rating agencies to model. Apparently rating companies will be subject to the rating agencies, under the drive of interests on the one hand, the rating agencies may through the payment pressure to achieve a higher rating. On the other hand, a rating agency, to improve the credit rating in return for huge valuation fee. At the expense of the damage the interests of investors, the interests conflict between ratings agencies and investors. Rating agencies as a business organization, its independence and impartiality is suspect.
Lag, the early warning system for potential crisis led to adjust the corresponding lag, the result of the rating and a big adjustment, amplify the impact of the market. In fact from the beginning of 2006, the United States has started to cool the real estate market, housing prices continued to fall, at the same time, the federal reserve to raise interest rates, default payments, mortgage market began to deteriorate, but the international credit rating companies until the spring of 2007 large-scale downgrade related bond investment. The adjustment of serious lag, obviously exacerbated investors investment risk. Another big adjustment. In July 2007, after a wide range of credit rating agencies downgrade of almost all of the subprime mortgage, only one day on July 10, moody's downgrade of more than 400 kinds of such bonds, the standard & poor's 612 kinds of bonds as seen on the same day, and during the next two days most lowered its bond rating.
Regulators of dereliction of duty and policy mistakes
System of the deep cause of the subprime crisis lies in the defects in financial supervision, the financial regulators to subprime and issuing scale and quantity of all kinds of derivatives without control, regulation of lax and potential financial risks for the market to ignore, are poor regulation performance. Deregulation has always been a green brand popular as a way of management, it is that time he served as chairman of the federal reserve, America's central bank reduced mortgage standards, result in a considerable part of the credit or poor living conditions of the lender at low cost through the loan to buy houses; U.S. regulators to market regulation is lax, a rating agency, has led to the rating agencies in the subjectiveness of rating subprime-related products, across a wide range of downgrade of subprime-related products, great blow to investor confidence, deepened the investor panic, eventually led to the global panic.
Since the late 1990 s by us regulators to relax regulation of Banks and securities firms, Banks and securities firms can legally invest a lot of loss of course is not listed in the "balance sheet" in order to deceive investors. In this background that regulators should proceed from reality, to develop new and more detailed provisions, to blow the harmful behavior in financial markets. But unfortunately, the regulator's dereliction of duty to a certain extent, to tolerate this kind of behavior that is harmful to the market, and for the outbreak of the crisis eventually made the consequences.
The SEC's "naked" measures in recent years, is also a direct cause of the crisis is expanding fast. Rout signs of lehman brothers was under the influence of "naked", was quickly finished a fatal blow. Hedge funds only took less than two months, will lehman's share price from $20 all the way down to 2 cents. Such a blow to investor confidence has also led to more stock holders sell holdings of bonds.
Regulators of dereliction of duty and policy mistakes indirectly contributed to the outbreak of the subprime crisis, is in the U.S. presidential election, John McCain had pointedly accused the SEC chairman did not good regulation of Wall Street. Recent U.S. government adjustment measures to intensify supervision, on September 19, the securities and exchange commission announced a temporary ban on again, including commercial Banks, insurance companies, only 799 short selling of financial stocks.
U.S. monetary policy
In order to deal with before and after the dotcom bubble burst in 2000, in January 2001 to June 2003, the fed cut the federal funds rate 13 consecutive times, the interest rate from 6.5% to 1% of the historically low levels, and at 1% for a year. Low interest rates prompt americans to saving to investment assets, excessive bank lending, which directly led to the continuous expansion of America's housing bust. And the fed's monetary policy is "lure" market formed a kind of expectation: as long as the market downturn, the government will rescue, therefore the entire Wall Street filled with speculation. However, when the continuous tightening of monetary policy, the real estate bubble to burst, low default rates of credit class first rise, the resulting frenzy began to default across all keen and ambitious financial institutions.
The impact of financial crisis on the United States
The U.S. government has for the financial crisis into a huge emergency aid, far cannot save the whole financial system. Specifically, assume that the total to $60 trillion in credit default swaps the average rating for BAA, two-thirds of the risk premia is default loss, the annual contract value underestimated [(1/3) x 0.33%] + 1.35% = 1.46%, the market value loss 0.0146 x $60 trillion = $60 trillion a year. Its five-year credit default swaps are losing almost $5 trillion in market value. Even if low premium to 0.22%, the market value of the huge losses will also be more than default loss adjustable mortgage rates. In a long recession, this loss is considered to be part of the market value of the actual default loss minimum.
The influence of the financial crisis on the global economy
In addition to the us subprime mortgage crisis impact on the financial sector, and guide us recession affect export countries, the authorities in order to avoid the economy into a recession caused by the economic policy for a long time, also can produce adverse impact on the global economy. U.S. economic policy trade-offs in other countries, especially in the influence of the emerging industrialized countries is the most significant. In order to get rid of the plight of the recession, the fed's aggressive monetary policy (continuously to the market or a lower nominal interest rate), to rescue financial institutions of the financial deterioration, this policy will continue to persist in the United States. Then the dollar will remain weak in the short term, as a result of the global oil and most of the commodities are in dollars, the dollar will further lead to these commodities continues to gyrate, especially closely connected with the oil price of agricultural prices, commodity higher for strong economic rise of emerging industrialized countries, they will face the risk of inflation. At the same time, the pressure of inflation and the fed's aggressive monetary policy and the other countries in the world economy and the effective implementation of the policy, these countries in the face of the domestic economic recession also cannot adopt expansionary monetary policy to boost domestic demand, also need to tighten monetary policy to curb domestic inflation, leading to these countries, particularly in emerging industrialized countries into the "low growth, high inflation".
Reference
1.Anne Gibson (3 August 2005). "Robust market sprouts apartments". The New Zealand Herald. Retrieved 29 July 2009.2.Andrea Milner (21 June 2009). "Post properties get biggest pounding".
2.The New Zealand Herald. Retrieved 29 July 2009. 3.Andrea Milner and Jonathan Milne (10 May 2009). "Real Estate: Rental buys looking good". The New Zealand Herald. Retrieved 29 July 2009.
4."Central City Apartment Dwellers Survey - a summary of results". Wellington Government. March 2009. Retrieved 11 January 2014.
5."It's a great life downtown ... except for the noise". The New Zealand Herald. 14 April 2009. Retrieved 29 July 2009.
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