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  • 商业银行市场风险管理指引 Market Risk Management of Commercial Banks Guidelines

    中国银行业监督管理委员会令2004年第10号

    颁布日期:20041229  实施日期:20050301  颁布单位:中国银行业监督管理委员会

      (Promulgated by the China Banking Regulatory Commission on 29 December 2004 and effective as of 1 March 2005.)

      PART ONE GENERAL PROVISIONS

      Article 1 These Guidelines have been formulated in accordance with the PRC, Banking Regulation Law, the PRC, Commercial Banking Law and other relevant laws and administrative regulations in order to strengthen the management of market risks by commercial banks.

      Article 2 For the purposes of these Guidelines, the term “commercial banks” shall refer to commercial banks established in the People‘s Republic of China according to law, including Chinese-funded commercial banks, wholly foreign-owned banks and Sino-foreign joint venture banks.

      Article 3 For the purposes of these Guidelines, the term “market risks” shall refer to the risks of incurring loss in the on- and off-balance-sheet businesses of banks as a result of adverse change in market prices (interest rates, exchange rates, share prices and commodity prices)。 Market risks exist in trading and non-trading businesses of banks.

      Market risks may be divided into interest rate risks, exchange rate risks (including gold), share price risks and commodity price risks, which refer to, respectively, the risks created by any adverse change in interest rates, exchange rates, share prices and commodity prices. Depending on the source of risks, interest rate risks may be divided into repricing risks, yield curve risks, basis risks and optionality risks.

      For the purposes of the preceding paragraph, the term “commodity” shall refer to certain physical products that can be traded on a secondary market, such as agricultural products, mineral products (including oil) and precious metals (excluding gold)。

      Article 4 Market risk management is the total process of identifying, measuring, monitoring and controlling market risks. The objective of market risk management is the maximization of risk-adjusted returns by controlling market risks within a reasonable range that can be borne by commercial banks.

      Commercial banks shall adequately identify, accurately measure, continuously monitor and appropriately control the market risks in all trading and non-trading businesses to ensure safe and steady operation below a reasonable market risk level. The level of market risks borne by a commercial bank shall be compatible with its market risk management capability and capital strength.

      To ensure effective implementation of market risk management, commercial banks shall integrate market risk identification, measurement, monitoring and control with business management activities throughout the bank such as strategic planning, business decision-making and financial budgeting.

      Article 5 The China Banking Regulatory Commission (CBRC) shall carry out supervision and administration on the market risk levels and market risk management systems of commercial banks. The CBRC shall urge commercial banks to effectively identify, measure, monitor and control the various types of market risks taken in various businesses.

      PART TWO MARKET RISK MANAGEMENT

      Article 6 Commercial banks shall, pursuant to the requirements hereof, establish a sound and reliable market risk management system commensurate with the nature, scale and complexity of the business. A market risk management system shall include the following basic elements:

      1. effective supervision and control by the board of directors and senior management;

      2. sound policies and procedures for market risk management;

      3. sound procedures for identifying, measuring, monitoring and controlling market risks;

      4. sound internal control and independent external audit; and

      5. appropriate mechanism for market venture capital allocation.

      Art

    icle 7 In carrying out market risk management, a commercial bank shall give due consideration to the correlation of market risks with other types of risks such as credit risks, liquidity risks, operational risks, legal risks and reputation risks, and coordinate the policies and procedures for the management of market risks with those for the management of other types of risks.

      Section One Supervision and Control by Board of Directors and Senior Management

      Article 8 The board of directors and senior management of commercial banks shall implement effective supervision and control on market risk management system.

      The board of directors of a commercial bank shall undertake the ultimate responsibilities for implementing supervision and control on market risk management, and shall ensure that the commercial bank effectively identifies, measures, monitors and controls various types of market risks taken in various businesses. The board of directors shall be responsible for examining and approving the strategies, policies and procedures for market risk management, determining the level of market risks that can be borne by the bank, urging the adoption of necessary measures by senior management for identifying, measuring, monitoring and controlling market risks, obtaining periodic reports on the nature and level of market risks, monitoring and assessing the comprehensiveness and effectiveness of market risk management and the performance of duties by the senior management with respect to market risk management. The board of directors may delegate part of the above functions to its subordinate special committee. The authorized committee shall submit the relevant reports to the board of directors on a regular basis.

      The senior management of a commercial bank shall be responsible for formulating, periodically examining and supervising the execution of the policies, procedures and specific operational rules for market risk management, understanding in a timely manner the level of market risks and the management thereof, and ensuring that the bank has sufficient human and material resources and the appropriate organizational structure, management information system and technology standards to effectively identify, measure, monitor and control the various types of market risks taken in various businesses.

      The board of directors and the senior management of a commercial bank shall have an adequate understanding of the businesses of the bank related to market risks, the various types of market risks borne by the bank and the corresponding methods for risk identification, measurement and control.

      The board of supervisors of a commercial bank shall supervise the performance of the board of directors and the senior management of their duties with respect to market risk management.

      Article 9 Commercial banks shall designate a dedicated department to be responsible for the work of market risk management. The department in charge of market risk management shall have clearly defined duties, maintain relative independence from the risk-taking business operation departments, provide independent market risk reports to the board of directors and the senior management, and have the human and material resources necessary to perform its duties of market risk management. The personnel of the department in charge of market risk management shall have the relevant professional knowledge and skills and a full understanding of the businesses of the bank that are related to market risks, the various types of market risks to be taken and the corresponding methods and technology for risk identification, measurement and control. Commercial banks shall ensure that their remuneration system is able to attract and retain qualified market risk management personnel.

      The department in charge of market risk management of commercial banks shall perform the following duties:

      1. propose

    and define market risk management policies and procedures, and submit the same to the senior management and the board of directors for examination and approval;

      2. identify, measure and monitor market risks;

      3. monitor the compliance of the relevant business operation departments and branches with market risk limits and report breaches of limits;

      4. design and implement back testing and stress testing;

      5. identify and assess the market risks inherent in new products and new businesses, and examine the relevant operational and risk management procedures;

      6. provide in a timely manner independent market risk reports to the board of directors and the senior management; and

      7. other relevant duties.

      Commercial banks with relatively complex businesses and relatively high level of market risks shall establish a dedicated market risk management department to be responsible for the work of market risk management.

      Article 10 The business operation department of commercial banks that bears market risks shall have a full understanding of and give full consideration to the various types of market risks inherent in the businesses conducted in order to achieve maximization of risk-adjusted returns. Business operation departments shall be liable for the losses arising from the market risks they bear.

      Section Two

      Policies and Procedures for Market Risk Management

      Article 11 Commercial banks shall formulate formal and written market risk management policies and procedures that are applicable throughout the bank. Market risk management policies and procedures shall be commensurate with the nature, scale, complexity and risk characteristics of the bank‘s businesses, consistent with its overall business development str

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