商业银行实施巴塞尔协议Ⅲ高级法的模型风险及其管理

The Model Risks of Commercial Banks to Apply the Advanced Approaches of Basel Accord Ⅲ and the Management of the Risks

商业银行实施巴塞尔协议Ⅲ高级法,是基于内部数据及管理经验,开发使用量化信用风险、市场风险、操作风险等风险的计量模型体系,并将量化结果应用于银行发展战略和经营管理过程。开发使用模型计量体系无疑会加快银行风险量化管理升级,推动全面风险管理变革。但如果在模型基础、模型构建、模型管理和模型使用的任一环节出现问题,都可能会引发模型风险。如果管理不到位,可能影响模型的使用效果,甚至造成管理上的误判。而要有效管理模型风险,则必须要抓好风险计量技术升级,持续强化风险量化基础建设,科学有序地推进巴塞尔协议Ⅲ实施;同时应强化研发模型队伍和验证模型队伍建设,实现自主开发、验证、优化、使用和维护风险计量模型体系,提高模型预测的准确性和运行的稳定性,推动银行量化管理升级,实现银行轻资本化持续、稳健发展,以更有效地服务于实体经济的发展。

By applying the advanced approaches of Basel Ⅲ, commercial banks develop and employ risk models to measure credit risks, market risks, operational risks etc. Banks make their strategy and manage their businesses according to the predictions of those models, and this improves their quantitative risk management and promotes their firm-wide risk management. However, model risks would appear if there were any problems in the model specifications, model developing processes, model management and model applications. The accuracy of the models would be impacted and bad policy decisions might be made accordingly. In order to manage model risks, risk measuring techniques must be improved, risk measuring infrastructures must be updated, Basel Ⅲ must be applied scientifically and orderly, the research team of modeling must be trained for developing, validating, improving, applying and monitoring risk models. The purpose is to improve the accuracy of model predictions so that to improve the quantitative risk management of banks and make banks approach sustainable and health capital saving development which supports the development of the real economy.