全球風(fēng)險(xiǎn)管理專業(yè)人士協(xié)會(huì)(GARP)致力于為風(fēng)險(xiǎn)管理?xiàng)l線上的各級人員，包括各大金融機(jī)構(gòu)的風(fēng)險(xiǎn)從業(yè)者和監(jiān)管機(jī)構(gòu)人員提供風(fēng)險(xiǎn)教育和最新行業(yè)資訊。金程網(wǎng)校將持續(xù)轉(zhuǎn)載“GARP Risk Intelligence”系列文章，介紹科技、企業(yè)文化與治理、能源等領(lǐng)域?qū)Σ僮黠L(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)、市場風(fēng)險(xiǎn)和資產(chǎn)負(fù)債管理的影響。讓我們一起全面認(rèn)識(shí)風(fēng)險(xiǎn)，防范風(fēng)險(xiǎn)，化解風(fēng)險(xiǎn)。

　　全球風(fēng)險(xiǎn)管理專業(yè)人士協(xié)會(huì)(GARP)

　　風(fēng)險(xiǎn)研究院(GARP Risk Institute)的聯(lián)合總裁Jo Paisley

　　如果你在搜索引擎中輸入“壓力測試”，結(jié)果很可能顯示這樣一張圖片：跑步機(jī)上有一個(gè)人正連接電極，相應(yīng)顯示的心電圖則正監(jiān)測其心臟表現(xiàn)。這和金融機(jī)構(gòu)的“壓力測試“非常類似：壓力測試有意將機(jī)構(gòu)置于緊張狀態(tài)，從而測試其“健康”情況是否足以應(yīng)對這種壓力。

　　從風(fēng)險(xiǎn)管理的角度來看，壓力測試是一件好事。它具有前瞻性，可以提供銀行風(fēng)險(xiǎn)承擔(dān)的信息，而靜態(tài)的財(cái)務(wù)會(huì)計(jì)數(shù)據(jù)無法做到這一點(diǎn)。此外，在機(jī)構(gòu)層面完成壓力測試能將銀行內(nèi)部的不同部門——風(fēng)險(xiǎn)和財(cái)務(wù)—— 聯(lián)系起來，幫助各級人員以整體方式看待他們的業(yè)務(wù)。

　　然而，壓力測試在有些時(shí)候顯得似乎有些過剩，監(jiān)管機(jī)構(gòu)常常要求銀行在不同時(shí)間以不同格式填寫各種信息。監(jiān)管機(jī)構(gòu)之間缺乏協(xié)調(diào)，對銀行提出了更高的要求，且對跨轄區(qū)進(jìn)行的壓力測試之間進(jìn)行結(jié)果比較造成了障礙。本文作者針對該問題提出了一系列“壓力測試原則”，試圖使現(xiàn)行的壓力測試能夠揚(yáng)長避短。

　　To remedy this, we would encourage supervisors to create an agenda for developing more harmonisation across stress tests. A common set of standards would benefit banks and regulators alike, and help create a more resilient financial system.

　　Often, the conversations that stress tests yield are as useful as the numbers themselves. A bank’s board should never, in fact, sign off on the corporate plan until they see how it behaves under stress.

　　But banks haven’t always proved very good at this. In the run-up to the financial crisis, the Basel Committee on Banking Supervision found that banks’ stress-testing practices were deficient, being poorly executed and neither sufficiently comprehensive nor severe. Consequently, the BCBS created a set of principles to guide banks and supervisors on how to organise and execute stress-testing. These stress-testing principles, recently updated, remain as pertinent now as they were in 2009. It’s hard to argue against them – indeed, they are excellent.

　　According to the BCBS, stress tests must: have clear objectives and effective internal governance; be used by banks as a risk management tool to inform business decisions; cover material and relevant risks; and be based on scenarios that are sufficiently severe.

　　“What is most striking has been the intensification and proliferation of supervisory stress-testing both across and even within jurisdictions“

　　The principles also note that the stress-testing process should be built on a foundation of sufficiently granular data and robust IT and that the models/methodologies used in stress-testing must be fit for purpose. Furthermore, stress-testing practices and findings should be communicated between authorities/supervisors, both within and across jurisdictions.

　　So, how close are we to achieving these objectives? Certainly, stress-testing has come a long way since that first Basel report. Banks have spent a lot of time and money improving all aspects of their stress-testing, including modelling, data, governance and execution.

　　But what is most striking has been the intensification and proliferation of supervisory stress-testing both across and even within jurisdictions, each with its own approach and operating details. The most resource intensive of these are the so-called concurrent capital exercises – such as those run by the US Federal Reserve, the European Banking Authority and the Bank of England – where multiple banks must run the same scenario at the same time.

　　Global banks operating in multiple jurisdictions have felt the brunt of this, having to meet multiple unco-ordinated demands across different regulators. Even beyond this inefficiency, there are some undesirable consequences for both supervision and risk management.

　　可能的不良后果

　　The fact that supervisory stress tests are on completely different bases makes them extremely hard to compare and, more importantly, undermines the supervisors’ ability to communicate with each other about the risks that they see in their jurisdictions. The differences are too numerous to cover in detail, but we can offer a few examples.

　　Stress-testing scenarios cover different horizons, from nine quarters (CCAR) to three years (EBA) to five years (BoE). Each test, moreover, rests on different assumptions about how the firms’ balances evolve in response to stress: prescribed lending paths (BoE), static balance sheet (EBA) and constant or no prescription (CCAR, depending on whether the stress test is company-run or modelled by the Fed) are among the various approaches.

　　The EBA takes things a step further by building in many constraints (such as various caps and floors) that do not feature in other tests. What’s more, the treatment of management actions and hurdle rates differ across the tests. Indeed, it is probably easier to say how the tests differ than how they are similar.

　　The final Basel principle encourages the sharing of results and insights across supervisors, but this inability to ‘join the dots’ between stress tests is a missed opportunity; in an increasingly dynamic and interconnected world, supervisors need to able to understand the risks across institutions and at a systemic level. Moreover, analysts trying to understand how these tests relate to each other are more likely to misinterpret them, which hardly helps market discipline.

　　As each stress test has its own instructions/templates/methodology, banks are in danger of focusing more on template filling than on the risk insights from the stress tests. Accordingly, stress-testing becomes a compliance exercise, rather than a risk management exercise.

　　The scale of documentation required, and the granularity of projections asked for, is often very high. What’s more, the resources that are spent on these template-filling exercises are then not available for stress-testing for firms’ internal risk management; the regulators, in effect, ‘crowd out’ risk management, with firms then using the regulators’ scenarios rather than designing their own.

　　Overall, there are higher costs and a lower quality of outputs for banks and supervisors than if there was better co-ordination and harmonisation of approach between regulators.

　　展開對話

　　The purpose of stress-testing, of course, is to see how resilient firms are in the face of stress. We must not forget, however, that any exercise that involves looking into the future is inherently uncertain.

　　Take, for example, the significant range of uncertainty (even at a two-year horizon) in the Bank of England’s inflation projection ‘fan chart’. That chart, keep in mind, is for a projection of something that we expect to happen.

　　消費(fèi)者物價(jià)指數(shù)通脹預(yù)測 (CPI Inflation)

　　圖片來源：Bank of England

　　Forecasting the impact of extreme events is even more uncertain, as there may be little history to act as a guide. Indeed, the fan chart on a stress test would be enormous.

　　So, we think it’s time to inject a bit more common sense and order into the world of stress-testing. Recently, the Garp Risk Institute published a code of practice for supervisory stress-testing, which provides a framework to promote the co-ordination and harmonisation of supervisory stress tests.

　　The goal is to start a dialogue between risk practitioners and regulators. But how can we reach a more unified approach? I have a few ideas.

　　For starters, supervisors could publish the schedule for the stress tests that they intend to run and discuss this at the college of supervisors. This would help banks facing multiple supervisory demands to plan their resources accordingly. Of course, it’s up to regulators themselves to plot the best course with respect to harmonising their regimes; Basel could play a role in co-ordinating a global calendar.

　　Supervisors should also be wary of requiring highly granular projections, which arguably raise the risk of banks being ‘precisely wrong’ rather than ‘roughly right’. The granularity required for regulatory stress tests should depend on the materiality of the risks, the time horizon of the projections and the costs and benefits involved.

　　Almost as important as what steps firms should take is what they should avoid. To a certain extent, stress-testing is educated guesswork, so banks and regulators should not take comfort from asking for an inordinate amount of documentation. Since plausibility and reasonableness is probably the most one can hope for, it also doesn’t make sense to talk about ‘accuracy’ of projections.

　　This is not about weakening standards. Rather, it is about being proportionate and coherent, organising stress-testing in a way that adds meaningfully to both supervision and risk management.

　　本文首發(fā)于Risk.net

　　Jo Paisley是全球風(fēng)險(xiǎn)管理專業(yè)人士協(xié)會(huì)(GARP)風(fēng)險(xiǎn)研究院(GARP Risk Institute)聯(lián)合總裁。 她于2015年至17年在匯豐銀行擔(dān)任全球壓力測試負(fù)責(zé)人，并曾在其他兩家英國銀行擔(dān)任壓力測試顧問。 作為英國審慎監(jiān)管局監(jiān)管風(fēng)險(xiǎn)專家部門的主管，她還密切參與了2014年英國首次并發(fā)壓力測試的設(shè)計(jì)和執(zhí)行。

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