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Market Risk Management Guidelines for Commercial Banks [Effective]
商业银行市场风险管理指引 [现行有效]
【法宝引证码】
 
  
  
Order of China Banking Regulatory Commission
(No. 10 [2004])

Adopted at the 30th Presidential Meeting of China Banking Regulatory Commission on December 16, 2004, the Market Risk Management Guidelines for Commercial Banks are hereby promulgated and shall come into force as of March 1, 2005.

Liu Mingkang, President
December 29, 2004
Market Risk Management Guidelines for Commercial Banks
 

中国银行业监督管理委员会令
(2004年第10号)


《商业银行市场风险管理指引》已经2004年12月16日中国银行业监督管理委员会第30次主席会议通过。现予公布,自2005年3月1日起施行。
主席 刘明康
二00四年十二月二十九日

商业银行市场风险管理指引


Chapter I General Provisions
 

第一章 总则


Article 1 These Guidelines are formulated in accordance with the Law of the People's Republic of China on Banking Regulation, Law of the People's Republic of China on Commercial Banks and other relevant laws and administrative regulations for the purpose of strengthening the market risk management of commercial banks.
   第一条 为加强商业银行的市场风险管理,根据《中华人民共和国银行业监督管理法》、《中华人民共和国商业银行法》以及其他有关法律和行政法规,制定本指引。
Article 2 In these Guidelines, “commercial banks” means those duly incorporated in the territory of the People's Republic of China, including Chinese-funded commercial banks, foreign-funded banks and Chinese-foreign joint venture banks.
   第二条 本指引所称商业银行是指在中华人民共和国境内依法设立的商业银行,包括中资商业银行、外资独资银行和中外合资银行。
Article 3 In these Guidelines, “market risk” means the risk of any loss in the on-balance-sheet or off-balance-sheet business of a bank caused by any unfavorable change in market prices (interest rates, exchange rates, stock prices and commodity prices). Market risk may exist in both transactional and non-transactional business of a bank.
Market risk includes interest rate risk, exchange rate risk (including gold), stock price risk and commodity price risk, respectively meaning risk caused by any unfavorable change in interest rates, exchange rates, stock prices and commodity prices. According to its different sources, interest rate risk may be classified into repricing risk, yield curve risk, basis risk and optionality.
Commodity as referred to in the preceding paragraph means some objects that may be traded in the secondary market, such as agricultural products, mineral products (including petroleum) and noble metals (not including gold).
   第三条 本指引所称市场风险是指因市场价格(利率、汇率、股票价格和商品价格)的不利变动而使银行表内和表外业务发生损失的风险。市场风险存在于银行的交易和非交易业务中。
市场风险可以分为利率风险、汇率风险(包括黄金)、股票价格风险和商品价格风险,分别是指由于利率、汇率、股票价格和商品价格的不利变动所带来的风险。利率风险按照来源的不同,可以分为重新定价风险、收益率曲线风险、基准风险和期权性风险。
前款所称商品是指可以在二级市场上交易的某些实物产品,如农产品、矿产品(包括石油)和贵金属(不包括黄金)等。
Article 4 Market risk management is a whole process of the identification, measurement, monitoring and control of market risk. The purpose of market risk management is to realize the maximization of the risk-adjusted rate of return through controlling the market risk to a reasonable level as acceptable to a commercial bank.
A commercial bank shall adequately identify, accurately measure, continuously monitor and properly control the market risk in all transactional and non-transactional business and ensure a safe and stable operation at a reasonable market risk level. The level of the market risk to which a commercial bank is exposed shall match the market risk management ability and capital strength of the bank.
To ensure an effective market risk management, a commercial bank shall combine its identification, measurement, monitoring and control of the market risk with the strategic planning, business decision-making, financial budget and other relevant operation and management activities of the whole bank.
   第四条 市场风险管理是识别、计量、监测和控制市场风险的全过程。市场风险管理的目标是通过将市场风险控制在商业银行可以承受的合理范围内,实现经风险调整的收益率的最大化。
商业银行应当充分识别、准确计量、持续监测和适当控制所有交易和非交易业务中的市场风险,确保在合理的市场风险水平之下安全、稳健经营。商业银行所承担的市场风险水平应当与其市场风险管理能力和资本实力相匹配。
为了确保有效实施市场风险管理,商业银行应当将市场风险的识别、计量、监测和控制与全行的战略规划、业务决策和财务预算等经营管理活动进行有机结合。
Article 5 China Banking Regulatory Commission (CBRC) shall conduct supervision and control of the market risk levels and market risk management systems of commercial banks. CBRC shall urge commercial banks to effectively identify, measure, monitor and control market risk in their various business sectors.
   第五条 中国银行业监督管理委员会(以下简称银监会)依法对商业银行的市场风险水平和市场风险管理体系实施监督管理。银监会应当督促商业银行有效地识别、计量、监测和控制各项业务所承担的各类市场风险。
Chapter II Market Risk Management
 

第二章 市场风险管理


Article 6 The commercial bank shall, in accordance with these Guidelines, set up a well-defined and reliable market risk management system that corresponds to the nature, scale and complexity level of its business. A market risk management system shall contain the following components:
   第六条 商业银行应当按照本指引要求,建立与本行的业务性质、规模和复杂程度相适应的、完善的、可靠的市场风险管理体系。市场风险管理体系包括如下基本要素:
(1)effective supervision and control by the board of directors and senior management;
 (一)董事会和高级管理层的有效监控;
(2)well-defined market risk management policies and procedures;
 (二)完善的市场风险管理政策和程序;
(3)well-defined market risk identification, measurement, monitoring and control procedures;
 (三)完善的市场风险识别、计量、监测和控制程序;
(4)sound internal control and independent external audit mechanisms; and
 (四)完善的内部控制和独立的外部审计;
(5)an appropriate market risk capital allocation mechanism.
 (五)适当的市场风险资本分配机制。
Article 7 When conducting market risk management, the commercial bank shall take proper account of the relativity between market risk and other types of risk, such as credit risk, liquidity risk, operation risk, legal risk and reputation risk, and coordinate its market risk management policies and procedures and those for the management of other types of risk.
   第七条 商业银行实施市场风险管理,应当适当考虑市场风险与其他风险类别,如信用风险、流动性风险、操作风险、法律风险、声誉风险等风险的相关性,并协调市场风险管理与其他类别风险管理的政策和程序。
Section 1 Supervision and Control by the Board of Directors and Senior Management
 

第一节 董事会和高级管理层的监控


Article 8 The board of directors and senior management of a commercial bank shall conduct effective supervision and control of the market risk management system of the bank.
The board of directors of a commercial bank has the ultimate responsibility for the monitoring of market risk management and shall ensure an effective identification, measurement, monitoring and control of the market risk in various business sectors of the bank. The board of directors shall be responsible for the examination and approval of the market risk management strategies, policies and procedures, determine the market risk level that the bank may tolerate, urge the senior management to adopt necessary measures for the identification, measurement, monitoring and control of market risk, regularly obtain reports on the nature and level of the market risk, and conduct supervision, control and evaluation of the completeness and effectiveness of the market risk management system and the performance of the senior management in their market risk management duties. The board of directors may authorize a special committee under the board to perform part of the above functions. The authorized committee shall submit to the board of directors relevant reports on a regular basis.
The senior management of the commercial bank shall be responsible for the formulation, regular review and the supervision of the implementation of the market risk management policies, procedures and specific operating rules, promptly determine the situation of its market risk levels and of the management thereof, and ensure that the bank will have adequate human and material resources and an appropriate organizational structure, management information system and technical level for the identification, measurement, monitoring and control of the market risk in various business sectors of the bank.
The board of directors and senior management of the commercial bank shall have an adequate understanding of the market risk-related business of the bank and the various market risks in such business and the relevant risk identification, measurement and control methods.
The supervisory committee of the commercial bank shall conduct supervision of the performance of the board of directors and senior management in their market risk management duties.
   第八条 商业银行的董事会和高级管理层应当对市场风险管理体系实施有效监控。
商业银行的董事会承担对市场风险管理实施监控的最终责任,确保商业银行有效地识别、计量、监测和控制各项业务所承担的各类市场风险。董事会负责审批市场风险管理的战略、政策和程序,确定银行可以承受的市场风险水平,督促高级管理层采取必要的措施识别、计量、监测和控制市场风险,并定期获得关于市场风险性质和水平的报告,监控和评价市场风险管理的全面性、有效性以及高级管理层在市场风险管理方面的履职情况。董事会可以授权其下设的专门委员会履行以上部分职能,获得授权的委员会应当定期向董事会提交有关报告。
商业银行的高级管理层负责制定、定期审查和监督执行市场风险管理的政策、程序以及具体的操作规程,及时了解市场风险水平及其管理状况,并确保银行具备足够的人力、物力以及恰当的组织结构、管理信息系统和技术水平来有效地识别、计量、监测和控制各项业务所承担的各类市场风险。
商业银行的董事会和高级管理层应当对本行与市场风险有关的业务、所承担的各类市场风险以及相应的风险识别、计量和控制方法有足够的了解。
商业银行的监事会应当监督董事会和高级管理层在市场风险管理方面的履职情况。
Article 9 The commercial bank shall designate a special department to take charge of market risk management. The department of market risk management shall have definite functions and duties, be relatively independent of the business related operational departments involved in the sectors subject to risk, submit independent market risk reports to the board of directors and senior management and have the human and material resources as required for the performance of its functions and duties related to market risk management. The personnel of the department of market risk management must have the relevant professional knowledge and abilities and have an adequate understanding of the market risk-related business, various market risks in such business sectors and the relevant risk identification, measurement and control methods and techniques. The commercial bank shall ensure that its compensation system will be attractive enough to retain qualified personnel for the task of market risk management.
The department of market risk management of a commercial shall have the following functions and duties:
   第九条 商业银行应当指定专门的部门负责市场风险管理工作。负责市场风险管理的部门应当职责明确,与承担风险的业务经营部门保持相对独立,向董事会和高级管理层提供独立的市场风险报告,并且具备履行市场风险管理职责所需要的人力、物力资源。负责市场风险管理部门的工作人员应当具备相关的专业知识和技能,并充分了解本行与市场风险有关的业务、所承担的各类市场风险以及相应的风险识别、计量、控制方法和技术。商业银行应当确保其薪酬制度足以吸引和留住合格的市场风险管理人员。
商业银行负责市场风险管理的部门应当履行下列职责:
(1)to formulate the market risk management policies and procedures and submit them to the senior management and the board of directors for their examination and approval;
 (一)拟定市场风险管理政策和程序,提交高级管理层和董事会审查批准;
(2)to identify, measure and monitor market risk;
 (二)识别、计量和监测市场风险;
(3)to monitor whether the relevant business operational departments and branches have observed the market risk limits and report any and all instances of exceeding such limits;
 (三)监测相关业务经营部门和分支机构对市场风险限额的遵守情况,报告超限额情况;
(4)to design and carry out post-event inspections and stress testing;
 (四)设计、实施事后检验和压力测试;
(5)to identify and assess the market risk level of new products and business undertakings and verify the relevant operational and risk management procedures;
 (五)识别、评估新产品、新业务中所包含的市场风险,审核相应的操作和风险管理程序;
(6)to submit to the board of directors and senior management market risk reports in a timely manner; and
 (六)及时向董事会和高级管理层提供独立的市场风险报告;
(7)other relevant functions and duties.
A commercial bank with business of a relatively high complexity level and with a relatively high market risk level shall set up a special department to take charge of market risk management.
 (七)其他有关职责。
业务复杂程度和市场风险水平较高的商业银行应当建立专门的市场风险管理部门负责市场风险管理工作。
Article 10 The business operational departments of a commercial bank that are exposed to market risk shall have an adequate understanding and shall, in the process of business decision-making, take full account of various market risks in their business dealings so as to realize the maximization of the risk-adjusted rate of return. The business operational departments shall be liable for any loss caused by market risk.
   第十条 商业银行承担市场风险的业务经营部门应当充分了解并在业务决策中充分考虑所从事业务中包含的各类市场风险,以实现经风险调整的收益率的最大化。业务经营部门应当为承担市场风险所带来的损失承担责任。
Section 2 Market Risk Management Policies and Procedures
 

第二节 市场风险管理政策和程序


Article 11 A commercial bank shall formulate formal and written market risk management policies and procedures which will apply to the whole bank. The market risk management policies and procedures of the bank shall correspond to the nature, scale and complexity level of its business and the nature of the risk, be consistent with its overall business development strategy, management ability, capital strength and the overall risk level that it may tolerate, and meet the requirements of CBRC concerning market risk management. The market risk management policies and procedures shall primarily specify:
   第十一条 商业银行应当制定适用于整个银行机构的、正式的书面市场风险管理政策和程序。市场风险管理政策和程序应当与银行的业务性质、规模、复杂程度和风险特征相适应,与其总体业务发展战略、管理能力、资本实力和能够承担的总体风险水平相一致,并符合银监会关于市场风险管理的有关要求。市场风险管理政策和程序的主要内容包括:
(1)the business that may be developed, the financial instruments that may be traded or in which the bank may invest, and strategies and methods that may be adopted in the investment, value maintenance and risk mitigation procedures;
 (一)可以开展的业务,可以交易或投资的金融工具,可以采取的投资、保值和风险缓解策略和方法;
(2)the market risk level that the bank may tolerate;
 (二)商业银行能够承担的市场风险水平;
(3)the market risk management organizational structure, power structure and responsibility mechanism with work divisions being clearly defined;
 (三)分工明确的市场风险管理组织结构、权限结构和责任机制;
(4)the procedures for the identification, measurement, monitoring and control of market risk;
 (四)市场风险的识别、计量、监测和控制程序;
(5)the market risk reporting system;
 (五)市场风险的报告体系;
(6)the market risk information management system;
 (六)市场风险管理信息系统;
(7)the internal control of market risk;
 (七)市场风险的内部控制;
(8)external audit of the market risk management;
 (八)市场风险管理的外部审计;
(9)the distribution of market risk capital; and
 (九)市场风险资本的分配;
(10)an emergency plan for major market risk.
The commercial bank shall amend and improve its market risk management policies and procedures in a timely manner in light of the market risk situation of the bank and changes in the market.
The market risk management policies and procedures of a commercial bank and significant amendments thereto shall be subject to the approval of the board of directors. The senior management of the commercial bank shall state the market risk management policies and procedures of the bank to the personnel involved in market risk management. The personnel involved in market risk management shall have an adequate understanding of their respective powers and duties in market risk management.
 (十)对重大市场风险情况的应急处理方案。
商业银行应当根据本行市场风险状况和外部市场的变化情况,及时修订和完善市场风险管理政策和程序。
商业银行的市场风险管理政策和程序及其重大修订应当由董事会批准。商业银行的高级管理层应当向与市场风险管理有关的工作人员阐明本行的市场风险管理政策和程序。与市场风险管理有关的工作人员应当充分了解其与市场风险管理有关的权限和职责。
Article 12 Before developing any new product or business, the commercial bank shall adequately identify and assess the market risk therein, set up corresponding internal examination and approval procedures, as well as operating and risk management procedures, which shall be subject to the approval of the board of directors or the special committee/department authorized thereby. The procedures for the internal examination and approval of a new product or business shall include verification and recognition by the relevant departments, such as the business operational departments, department of market risk management, department of legal affairs/compliance, financial and accounting department and settlement department, of their respective operating and risk management procedures.
   第十二条 商业银行在开展新产品和开展新业务之前应当充分识别和评估其中包含的市场风险,建立相应的内部审批、操作和风险管理程序,并获得董事会或其授权的专门委员会/部门的批准。新产品、新业务的内部审批程序应当包括由相关部门,如业务经营部门、负责市场风险管理的部门、法律部门/合规部门、财务会计部门和结算部门等对其操作和风险管理程序的审核和认可。
Article 13 The market risk management policies and procedures shall apply on the basis of consolidated financial statements and a commercial bank shall try its best to make those policies and procedures apply to its subsidiary bodies, including subsidiary bodies abroad, that have a corporate capacity. However, a commercial bank shall have an adequate understanding of the legal differences and cash flow barriers among its subsidiary bodies and adjust the risk management policies and procedures accordingly for each of its subsidiary bodies so as to avoid underestimating the market risk due to the position squaring among the subsidiary bodies among which there are legal differences or cash flow barriers.
   第十三条 市场风险管理政策和程序应当在并表基础上应用,并应当尽可能适用于具有独立法人地位的附属机构,包括境外附属机构。但是,商业银行应当充分认识到附属机构之间存在的法律差异和资金流动障碍,并对其风险管理政策和程序进行相应调整,以避免在具有法律差异和资金流动障碍的附属机构之间轧差头寸而造成对市场风险的低估。
Article 14 A commercial bank shall, in accordance with the requirements of CBRC concerning the capital adequacy of commercial banks, set off the bank account and business account and, in light of the nature and characters of the bank and business accounts, adopt different market risk identification, measurement, monitoring and control methods accordingly.
A commercial bank shall formulate more detailed risk management policies and procedures with regard to different types of market risk (interest rate risk, for instance) and different types of business (derivatives transactions, for instance) and maintain consistence thereamong.
   第十四条 商业银行应当按照银监会关于商业银行资本充足率管理的有关要求划分银行账户和交易账户,并根据银行账户和交易账户的性质和特点,采取相应的市场风险识别、计量、监测和控制方法。
商业银行应当对不同类别的市场风险(如利率风险)和不同业务种类(如衍生产品交易)的市场风险制定更详细和有针对性的风险管理政策和程序,并保持相互之间的一致性。
Section 3 Identification, Measurement, Monitoring and Control of Market Risk
 

第三节 市场风险的识别、计量、监测和控制


Article 15 The commercial bank shall resolve and analyze the market risk factors in each of its business undertakings and products and identify the type and nature of the risks involved in all of its transactional and non-transactional business in a prompt and accurate manner.
   第十五条 商业银行应当对每项业务和产品中的市场风险因素进行分解和分析,及时、准确地识别所有交易和非交易业务中市场风险的类别和性质。
Article 16 A commercial bank shall, in light of the nature, scale and complexity level of its business, select appropriate and generally accepted measuring methods with regard to different types of market risk in the bank and business accounts, and measure all market risks that the bank is exposed to based on reasonable assumptions and parameters. A commercial bank shall try its best to accurately calculate the quantifiable market risk and assess the non-quantifiable market risk.
A commercial bank may use different methods or models to measure different types of market risk in its bank and business accounts. Market risk measuring methods include gap analysis, duration analysis, foreign currency exposure analysis, sensitivity analysis, scenario analysis and the calculation of the value at risk by using an internal model. The commercial bank shall fully realize the strong points and limits of different market risk measuring methods and carry out stress testing and other analyses as supplementary means.
A commercial bank shall try its best to add the market risks (especially, the interest rate risk) measured in its bank and business accounts throughout the country, so as to assist the board of directors and senior management in understanding the overall market risk level of the bank.
The board of directors, senior management and the personnel involved in the market risk management of a commercial bank shall understand the market risk measuring methods and models and assumptions adopted by the bank so as to have an accurate understanding of the market risk measuring results.
   第十六条 商业银行应当根据本行的业务性质、规模和复杂程度,对银行账户和交易账户中不同类别的市场风险选择适当的、普遍接受的计量方法,基于合理的假设前提和参数,计量承担的所有市场风险。商业银行应当尽可能准确计算可以量化的市场风险和评估难以量化的市场风险。
商业银行可以采取不同的方法或模型计量银行账户和交易账户中不同类别的市场风险。市场风险的计量方式包括缺口分析、久期分析、外汇敞口分析、敏感性分析、情景分析和运用内部模型计算风险价值等。商业银行应当充分认识到市场风险不同计量方法的优势和局限性,并采用压力测试等其他分析手段进行补充。
商业银行应当尽量对所计量的银行账户和交易账户中的市场风险(特别是利率风险)在全行范围内进行加总,以便董事会和高级管理层了解本行的总体市场风险水平。
商业银行的董事会、高级管理层和与市场风险管理有关的人员应当了解本行采用的市场风险计量方法、模型及其假设前提,以便准确理解市场风险的计量结果。
Article 17 A commercial bank shall adopt measures to ensure the rationality and veracity of the sources and the procedures for measurement of the assumptions, parameters and data. The commercial bank shall regularly assess the assumptions and parameters as adopted by its market risk measuring system and work out internal procedures for modifying such assumptions and parameters. Significant modifications of the assumptions and parameters shall be subject to the examination and approval of the senior management.
   第十七条 商业银行应当采取措施确保假设前提、参数、数据来源和计量程序的合理性和准确性。商业银行应当对市场风险计量系统的假设前提和参数定期进行评估,制定修改假设前提和参数的内部程序。重大的假设前提和参数修改应当由高级管理层审批。
Article 18 A commercial bank shall revaluate the market value of the position of its business accounts at least once a day. The revaluation of the market value shall be conducted by the middle office, back office, financial and accounting department or other relevant functional departments or personnel who are relatively independent of the front office. The pricing factors used in the revaluation shall be obtained from channels independent of the front office or subject to independent verification. The methods and assumptions used for valuation by the front office, middle office, back office, financial and accounting department and the department of market risk management shall be as consistent as possible; if they are not completely consistent, certain calibration and adjustment measures shall be formulated and adopted. In the absence of a usable market price, the commercial bank shall decide on a standard for the selection of alternative data, the channel through which such data are obtained and the method for calculating a fair price.
   第十八条 商业银行应当对交易账户头寸按市值每日至少重估一次价值。市值重估应当由与前台相独立的中台、后台、财务会计部门或其他相关职能部门或人员负责。用于重估的定价因素应当从独立于前台的渠道获取或者经过独立的验证。前台、中台、后台、财务会计部门、负责市场风险管理的部门等用于估值的方法和假设应当尽量保持一致,在不完全一致的情况下,应当制定并使用一定的校对、调整方法。在缺乏可用于市值重估的市场价格时,商业银行应当确定选用代用数据的标准、获取途径和公允价格计算方法。
Article 19 CBRC encourages commercial banks with business of a relatively high complexity level and with a relatively high market risk level to gradually develop and use internal models for the measurement of value at risk and conduct quantified assessment of the level of the market risk to which it is exposed. Value at risk means the estimated greatest potential loss that may be caused to a fund position, asset portfolio or body by any change in the interest rate, exchange rate or other market risk factors in a certain holding period and at a given confidence level.
   第十九条 银监会鼓励业务复杂程度和市场风险水平较高的商业银行逐步开发和使用内部模型计量风险价值,对所承担的市场风险水平进行量化估计。风险价值是指所估计的在一定的持有期和给定的置信水平下,利率、汇率等市场风险要素的变化可能对某项资金头寸、资产组合或机构造成的潜在最大损失。
Article 20 A commercial bank adopting an internal model shall, in light of the scale and nature of its business and by referring to the internationally accepted standards, rationally select, regularly review and adjust the model techniques (such as variance-covariance method, historical simulation method and Monte Carlo simulation method) and the assumptions and parameters of the model, and set up and implement internal policies and procedures for the introduction of new models, the adjustment of the existing models and the inspection of the veracity of the models. The inspection of the models shall be conducted by personnel who are not involved in the development or operation of the models.
A commercial bank adopting an internal model shall combine the use of the model with its daily risk management and make the information provided by the internal model a component part of the process of the planning, monitoring and control of market risk and asset portfolios.
A commercial bank adopting an internal model shall have a proper understanding and application of the calculation results of its internal market risk model, realize the limits of the internal model and adopt stress testing and other non-statistical measuring methods as supplementary means.
   第二十条 采用内部模型的商业银行应当根据本行的业务规模和性质,参照国际通行标准,合理选择、定期审查和调整模型技术(如方差-协方差法、历史模拟法和蒙特?卡洛法)以及模型的假设前提和参数,并建立和实施引进新模型、调整现有模型以及检验模型准确性的内部政策和程序。模型的检验应当由独立于模型开发和运行的人员负责。
采用内部模型的商业银行应当将模型的运用与日常风险管理相融合,内部模型所提供的信息应当成为规划、监测和控制市场风险资产组合过程的有机组成部分。
采用内部模型的商业银行应当恰当理解和运用市场风险内部模型的计算结果,并充分认识到内部模型的局限性,运用压力测试和其他非统计类计量方法对内部模型方法进行补充。
Article 21 The commercial bank shall conduct regular post-event inspections, compare the calculation results obtained through the market risk measuring method or model with the actual results and adjust and improve the market risk measuring method or model accordingly.
   第二十一条 商业银行应当定期实施事后检验,将市场风险计量方法或模型的估算结果与实际结果进行比较,并以此为依据对市场风险计量方法或模型进行调整和改进。
Article 22 A commercial bank shall set up general and meticulous stress testing procedures, make regular simulation and estimation of the potential losses as may be caused by lower probability incidents, such as rapid movements in market prices or unexpected political or economic events, to evaluate its loss capacity under extremely unfavorable circumstances. The stress testing shall include both qualitative and quantitative analyses.
To conduct stress testing, a commercial bank shall select scenarios that have significant influence over market risk, including assumptive scenarios and scenarios that have seen heavy losses being caused in history. Assumptive scenarios include model assumptions and the scenarios where the parameters are no longer applicable, there are rapid movements in the market prices, the market liquidity is severely insufficient, and where any significant change has occurred in the external environment, which may cause heavy losses or uncontrollable risk. A commercial bank shall use the stress scenarios provided for by CBRC and the stress scenarios designed based on the nature of the business of the bank and the market environment to conduct stress testing.
A commercial bank shall, according to the testing result, formulate an emergency plan for events that will have significant influence on the market risk, and decide whether and how to adjust or improve the limits management, capital allocation and other market risk management policies and procedures. The board of directors and senior management shall regularly review the design and results of the stress tests and steadily improve the stress testing procedures.
   第二十二条 商业银行应当建立全面、严密的压力测试程序,定期对突发的小概率事件,如市场价格发生剧烈变动,或者发生意外的政治、经济事件可能造成的潜在损失进行模拟和估计,以评估本行在极端不利情况下的亏损承受能力。压力测试应当包含定性和定量分析。
压力测试应当选择对市场风险有重大影响的情景,包括历史上发生过重大损失的情景和假设情景。假设情景包括模型假设和参数不再适用的情形、市场价格发生剧烈变动的情形、市场流动性严重不足的情形,以及外部环境发生重大变化、可能导致重大损失或风险难以控制的情景。商业银行应当使用银监会规定的压力情景和根据本行业务性质、市场环境设计的压力情景进行压力测试。
商业银行应当根据压力测试的结果,对市场风险有重大影响的情形制定应急处理方案,并决定是否及如何对限额管理、资本配置及市场风险管理的其他政策和程序进行改进。董事会和高级管理层应当定期对压力测试的设计和结果进行审查,不断完善压力测试程序。
Article 23 A commercial bank shall conduct limits management of its market risk, formulate internal examination and approval procedures and operating rules concerning various limits and limits at various levels, and fix, regularly review and renew the limits in light of the nature, scale and complexity level of its business and its risk capacity.
Market risk limits include limits on net and gross positions, risk limits and stop-loss limits, which may be resolved by region, business operational department, asset portfolio, financial instrument and type of risk. A commercial bank shall, in light of the different effects and limitations of different limits in the control of risk, set up a reasonable limits system with different types of limits and limits at different levels complementing each other, so as to effectively control market risk. The overall market risk limits and the types and structure of the limits of the commercial bank shall be subject to the approval of its board of directors.
When designing its limits system, a commercial bank shall take into account:
   第二十三条 商业银行应当对市场风险实施限额管理,制定对各类和各级限额的内部审批程序和操作规程,根据业务性质、规模、复杂程度和风险承受能力设定、定期审查和更新限额。
市场风险限额包括交易限额、风险限额及止损限额等,并可按地区、业务经营部门、资产组合、金融工具和风险类别进行分解。商业银行应当根据不同限额控制风险的不同作用及其局限性,建立不同类型和不同层次的限额相互补充的合理限额体系,有效控制市场风险。商业银行总的市场风险限额以及限额的种类、结构应当由董事会批准。
商业银行在设计限额体系时应当考虑以下因素:
(1)the nature, scale and complexity level of its business;
 (一)业务性质、规模和复杂程度;
(2)the market risk level that the commercial bank may tolerate;
 (二)商业银行能够承担的市场风险水平;
(3)the previous performance of its business operational departments;
 (三)业务经营部门的既往业绩;
(4)the professional level and experience of the personnel;
 (四)工作人员的专业水平和经验;
(5)the pricing, valuation and market risk measuring systems;
 (五)定价、估值和市场风险计量系统;
(6)the results of stress testing;
 (六)压力测试结果;
(7)the internal control level;
 (七)内部控制水平;
(8)the capital strength; and
 (八)资本实力;
(9)the development of and changes in the external market.
A commercial bank shall formulate procedures for monitoring and handling any instances of overstepping the established limits. Any instance of exceeding established limits shall be reported promptly to the management at the corresponding level, which shall, according to the limits management policies and procedures, make a decision about whether or not to approve such exceeding of established limits and, if it is approved, a decision on the time limit for such exceeding of established limits shall be issued. Instances of exceeding established limits which are not approved shall be handled according to the limits management policies and procedures. The management shall, in light of such occurrence of the overstepping of the limits, make a decision about whether or not to adjust the limits management system.
A commercial bank shall ensure that different market risk limits will be consistent with each other and coordinate the market risk limits management and the limits management for other types of risk, such as liquidity risk.
 (九)外部市场的发展变化情况。
商业银行应当对超限额情况制定监控和处理程序。超限额情况应当及时向相应级别的管理层报告。该级别的管理层应当根据限额管理的政策和程序决定是否批准以及此超限额情况可以保持多长时间。对未经批准的超限额情况应当按照限额管理的政策和程序进行处理。管理层应当根据超限额发生情况决定是否对限额管理体系进行调整。
商业银行应当确保不同市场风险限额之间的一致性,并协调市场风险限额管理与流动性风险限额等其他风险类别的限额管理。
Article 24 A commercial bank shall set up a well-defined and reliable information management system for the measurement, monitoring and control of market risk, and adopt measures to ensure the accuracy, reliability, timeliness and security of the relevant data. The information management system shall be able to support the measurement of market risk and post-event inspection and stress testing, to monitor the observance of market risk limits and to provide information for market risk reports. A commercial bank shall set up proper account checking procedures so as to ensure the consistency among and integrity of the data of different departments, products and types of business and ensure the input of accurate price and business data into the market risk measurement system. A commercial bank shall, according to its actual needs, improve and renew the information management system in a timely manner.
   第二十四条 商业银行应当为市场风险的计量、监测和控制建立完备、可靠的管理信息系统,并采取相应措施确保数据的准确、可靠、及时和安全。管理信息系统应当能够支持市场风险的计量及其所实施的事后检验和压力测试,并能监测市场风险限额的遵守情况和提供市场风险报告的有关内容。商业银行应当建立相应的对账程序确保不同部门和产品业务数据的一致性和完整性,并确保向市场风险计量系统输入准确的价格和业务数据。商业银行应当根据需要对管理信息系统及时改进和更新。
Article 25 A commercial bank shall work out an emergency plan for events that will have significant influence on market risk, including adopting measures such as hedging and decreasing the risk exposure level, lowering the market risk level and setting up emergency or alternative systems; formulating procedures and measures for natural disasters, breakdown of the bank's system and other unexpected incidents for reducing the losses or damage that may be caused to the bank or the reputation of the bank.
A commercial bank shall make the result of stress testing an important basis for the formulation of an emergency plan against market risk, regularly review and test and steadily renew and improve the emergency plan.
   第二十五条 商业银行应当对市场风险有重大影响的情形制定应急处理方案,包括采取对冲、减少风险暴露等措施降低市场风险水平,以及建立针对自然灾害、银行系统故障和其他突发事件的应急处理或者备用系统、程序和措施,以减少银行可能发生的损失和银行声誉可能受到的损害。
商业银行应当将压力测试的结果作为制定市场风险应急处理方案的重要依据,并定期对应急处理方案进行审查和测试,不断更新和完善应急处理方案。
Article 26 The board of directors, senior management and other managerial persons shall be regularly and promptly provided with reports on market risk. Reports at different levels and of different types shall be be based on the prescribed range of transmission, procedures, and frequencies. The reports shall involve all or part of the following matters:
......
   第二十六条 有关市场风险情况的报告应当定期、及时向董事会、高级管理层和其他管理人员提供。不同层次和种类的报告应当遵循规定的发送范围、程序和频率。报告应当包括如下全部或部分内容:
......



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