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

《毕博上海银行咨询sime bank market risk alm report》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、SIMEBANKBERHADReportonMarketRisk:AssetandLiabilityManagement21October1997PreparedbykpmgAsiaPacificConsultingTableofContent1.EXECUTIVESUMMARY12.INTRODUCTION22.1Formatofthisreport22.2Methodology22.3OverviewofALMprocess&environmentatSimeBank23.PRINCIPALAL

2、MRISKSANDKPMGRECOMMENDATIONS23.1Majorrisks23.2Risk:ALMstrategy,risktolerancelevelandaccountability23.2.1Recommendation:ALMstrategyworkshop23.2.2Benefits23.3Risk:OrganisationStructure&framework23.3.1Recommendation:Organisationstructureandframework23.3.2

3、Benefits23.4Risk:HumanResources23.4.1Recommendation:skillacquisitionandknowledgetransfer23.4.2Benefits23.5Risk:ManagementInformationSystems(MIS)23.5.1Recommendation:improvedmanagementinformation23.5.2Benefits23.6Risk:LiquidityRisk23.6.1Recommendation:e

4、xtendedanalysisandmonitoring23.6.2Benefits23.7Risk:StructuralInterestRateManagement23.7.1Recommendation:extendedanalysisandmonitoring23.7.2Benefits23.8Risk:ForeignExchange(FX)Risk23.8.1Recommendations:establishaformalpolicyandFXexposurelimits23.8.2Bene

5、fit23.9Risk:DocumentedPolicyandProcedures23.9.1Recommendation:developpolicy,proceduresandlimitsappropriatetoALM23.9.2Benefits23.10Risk:ALMProcesses&IT23.10.1Recommendation:automatedprocessesandsystemsintegration23.10.2Benefits23.11Risk:CapitalManagemen

6、t23.11.1Recommendation:implementatransferpricingmechanism23.11.2Benefits24.ACTIONPLANS2APPENDIX1-RISKREGISTER2APPENDIX2-ASSETANDLIABILITYMANAGEMENTPROCESSDIAGRAM2APPENDIX3-COMPARISONWITHINTERNATIONALSTANDARDS2APPENDIX4-SAMPLEMANAGEMENTINFORMATIONREPORT

7、S2kpmg1.ExecutiveSummaryINTRODUCTIONWehaveproducedtworeportsonmarketrisk,focusingon“Treasury”and“AssetandLiabilityManagement”(ALM).BothreportshighlightanumberofkeyareasinwhichactionisrequiredtostrengthentheBank’smanagementofmarketrisks.Wehaveproducedtw

8、oseparatereportstodrawadistinctionbetweenthepriceriskarisingfromthetradingactivitiesoftheBankandtheassetandliabilitymanagementfunctionwhichisessentiallyconcernedwiththestrategicbalancesheet,incomeandfundingrisks.Theissuesineachofthesere