毕博上海银行咨询sime bank market risk treasury report

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1、SIMEBANKBERHADReportonMarketRisk-Treasury10October1997PreparedbykpmgAsiaPacificConsultingTableofContent1.EXECUTIVESUMMARY12.INTRODUCTION52.1Purposeofpaper52.2Methodology52.3Formatofthisreport62.4TheriskenvironmentinwhichSimeBankoperates73.PRINCIPALMARKETRISKSANDKPMGR

2、ECOMMENDATIONS93.1Issuesfrommajorrisks93.2Risk:Marketriskstrategy&risktolerancelevel103.2.1Recommendation:Treasuryworkshopforseniormanagement103.2.2Benefits103.3Risk:OrganisationStructure113.3.1Recommendation:suggestedmarketriskorganisationmodel123.3.2Benefits143.4Ri

3、sk:HumanResources143.4.1Recommendation:skillacquisitionandknowledgetransfer153.4.2Thebenefits153.5ManagementInformationSystems(MIS)153.5.1Recommendation:improvedmanagementinformation163.5.2Benefits163.6Risk:TreasuryprocessesandIT173.6.1Recommendation:automatedprocess

4、esandsystemsintegration183.6.2Benefits193.7Risk:PriceRisk&RiskMeasurement193.7.1Recommendation:improvedriskmeasurementmethods203.7.2Benefits203.8Risk:DocumentedPoliciesandProcedures213.8.1Recommendation:developacomprehensivepolicy,proceduresandlimitsmanual213.8.2Bene

5、fits223.9Risk:CreditRisks223.9.1Recommendation:clarifyaccountabilitiesformarketrelatedcreditrisk223.9.2Benefits233.10Risk:IncreasedCompetition233.10.1Recommendation:improvedcustomerservice243.10.2Benefits244.ACTIONPLANS25APPENDIX1–RISKREGISTER33APPENDIX2–PROCESSDIAGR

6、AM33APPENDIX3-COMPARISONWITHINTERNATIONALSTANDARDS33kpmg1.ExecutiveSummaryINTRODUCTIONWehaveproducedtworeportsonmarketrisk,focusingon“Treasury”and“AssetandLiabilityManagement”(ALM).BothreportshighlightanumberofkeyareasinwhichactionisrequiredtostrengthentheBank’smanag

7、ementofmarketrisks.WehaveproducedtwoseparatereportstodrawadistinctionbetweenthepriceriskarisingfromthetradingactivitiesoftheBankandtheassetandliabilitymanagementfunctionwhichisessentiallyconcernedwiththestrategicbalancesheet,incomeandfundingrisks.Theissuesineachofthe

8、sereportsareinmanyaspectsdifferent.However,theactionplansdesignedtoaddresstheseissuesarethesame,becausebothTreasuryandALMultimately