OBNAVLJANJE POVERENJA U BANKE

166 Bankarstvo 2 2014

OBNAVLJANJE POVERENJA U

BANKE

Uvodno izlaganje na 15. godišnjoj konvenciji Globalne asocijacije profesionalaca rizika Njujork, 4. mart 2014. godine

Obnavljanje poverenja u banke posle finansijske krize, pored paketa mera Bazelskog komiteta zahteva akciju od samih banaka jer one moraju da preuzmu vodeću ulogu u tom procesu.

Stefan IngvesGovernor of Sveriges Riksbank

and Chairman of the Basel Committee on Banking

Supervision

prevod

Prevod: Dragoslav Vuković

[email protected]

167Bankarstvo 2 2014

RESTORING CONFIDENCE IN

BANKS

Keynote address to the 15th Annual Convention of the Global Association of Risk Professionals New York, 4 March 2014.

Restoring confidence in banks after the financial crisis, along with the Basel Committee package demands actions by the banks themselves as they must take a leading role in that process.

Stefan IngvesGovernor of Sveriges Riksbankand Chairman of the Basel Committee on Banking Supervision

translation

Translation: Dragoslav Vuković

[email protected]


Uvod

Poziv da govorim na ovom značajnom događaju naročito je dobrodošao jer mi u Bazelskom komitetu konferencije kao što je ova vidimo kao bitan deo dijaloga između regulatora i industrije. Dalje, pošto deo onog što imam da kažem danas zadire u tehnička pitanja, auditorijum eksperata za rizik mora biti blizu idealnom. Lokacija je takođe odgovarajuća. U ovom gradu, pre sedam godina, naizgled čvrsto tle ispod finansijskog sistema počelo je da se pomera pod našim nogama. Čak i sada, pošteno je reći da još uvek radimo na obnavljanju poverenja u stabilnost finansijskog sistema. Danas bih želeo da ukratko podsetim na neke od razloga zašto je poverenje bilo izgubljeno. Zatim ću izložiti šta Bazelski komitet radi da pomogne da se ono obnovi.

Kako je poverenje izgubljeno

Nema potrebe da podsetim auditorijum da je bankarstvo posao izgrađen na poverenju. Kao što sam nedavno rekao u drugoj prilici, moderne banke su institucije visokog leveridža i frakcionalno bankarstvo može da bude uspešno samo kada bančini kreditori imaju puno poverenje da ona ima finansijsku snagu da ispunjava svoje obaveze kada one dospevaju.

Finansijska kriza, koja je počela pre sedam godina, u suštini je bila kolaps poverenja. Ona je bila stres test za regulativu isto onoliko koliko za banke. Obe su bile zatečene nespremne. Menadžeri rizika u bankama jako su potcenili rizik da može da se javi tako raširen gubitak poverenja u bankarski sistem. Regulatorni okvir bio je neadekvatan da štiti od takve krize poverenja kada se pojavila. Rezultat je bio kriza koja i dalje nameće znatne troškove društvu.

Kriza poverenja - koja je u osnovi nestašica likvidnosti - odražava neizvesnost. Svi znaju da su banke primile udarce sabprajm posledica. Ali u kojim bankama su se skrivali ti gubici i koliki su bili? Da li je kapital koji su banke obelodanjivale zaista prisutan i spreman da apsorbuje te gubitke saglasno svrsi?1

1 Bankarstvo uz leveridž, uvodna reč na 10. sastanku visokog nivoa Azija-Pacifik o bankarskoj superviziji, 26. februar 2014. godine

Nedostaci u upravljanju rizicima i regulatorne postavke koje je razotkrila kriza zahtevaju dugu litaniju. Danas ću se usmeriti samo na tri pitanja koja se direktno odnose na poverenje u osnovnu solidnost banaka.

Prvo, u nekim jurisdikcijama postojeći regulatorni okvir dozvolio je da akcionarski kapital - glavni apsorber šokova gubitaka - bude sveden na samo 2% od rizikom ponderisane aktive. Nije nedostajao samo iznos kapitala, nedostajao je i kvalitet. Napominjem, banke su mogle da dopune 6% nedostajućeg potrebnog kapitala jeftinijim, dužničkim instrumentima koji su, kao što je ubrzo postalo jasno, mogli da se koriste samo za pokriće gubitaka pošto je banka propala.

Drugo, prudencijalni okvir isfiltrirao je - to jest, ignorisao je - neke gubitke po tržišnoj vrednosti holdinga hartija od vrednosti. Ali investitori nisu bili voljni da zanemare te gubitke - naprotiv, bili su krajnje zabrinuti za njih i počeli su da preispituju koeficijente bančinog kapitala u tom svetlu. Kao rezultat toga, pojačana je pažnja na jednostavnije mere - kao što je koeficijent leveridža zasnovan na materijalnom običnom kapitalu.

Treće, po postojećim računovodstvenim standardima, rezervacije banaka za gubitke po kreditima u njihovim kreditnim knjigama bile su retrogradne. Model nastalog gubitka koji su podržali MSFI i američki GAAP sprečavao je da banke prave progresivne procene verovatnih gubitaka. Na taj način rezervacije nisu bile adekvatno formirane u dobrim vremenima i postojala je znatna neizvesnost oko toga kakvo bi dodatno rezervisanje moglo da bude potrebno.

To je značilo da, kada je poverenje u banke bilo najpotrebnije, ključna propisana metrika finansijske solidnosti - koeficijent propisanog kapitala - sve više se gubi zbog toga što je potencijalno precenjivala istiniti kapacitet banke za apsorbovanje.

Bazel III pomaže da se obnovi poverenje

Paket Bazel III koncipiran je da rešava te nedostatke. Kao što znate, od banaka će se zahtevati da drže znatno više kapitala, sa minimalnim zahtevom za akcionarski kapital


Introduction

The invitation to speak at this important event is especially welcome as we in the Basel Committee view conferences like this one as an essential part of the conversation between regulators and the industry. Moreover, since some of what I have to say today will delve into technical issues, an audience of risk experts must be close to ideal. The location, too, is appropriate. It was in this city, seven years ago, that the seemingly solid ground under the financial system started to shift under our feet. Even now, it’s fair to say that we are still working to rebuild confidence in the stability of the financial system. Today, I would like to briefly revisit some of the reasons why confidence was lost. Then I will outline what the Basel Committee is doing to help restore it.

How confidence was lost

I do not need to remind this audience that banking is a business built on confidence. As I have recently said on another occasion,1

modern banks are highly leveraged institutions, and fractional reserve banking can only be successful when lenders to a bank have full confidence that it has the financial strength to meet its obligations as and when they fall due.

The financial crisis, which began seven years ago, was in essence a collapse in confidence. It stress-tested regulation just as much as it did banks. Both were found wanting. Bank risk managers severely underestimated the risk that such a widespread loss of confidence in the banking system could occur. The regulatory framework was inadequate to protect against such a crisis of confidence when it did. The result was a crisis that continues to impose substantial costs on society.

This crisis of confidence - which is what underlies a liquidity crunch - reflected uncertainty. Everyone knew that banks had taken hits from the subprime fallout. But in which banks were those losses hiding, and how large were they? Was the capital that banks

1 Banking on leverage, Keynote address to the 10th Asia-Pacific High-Level Meeting on Banking Supervision, 26 February 2014.

reported really present and ready to absorb these losses as intended?

The shortcomings in risk management and regulatory settings exposed by the crisis make for a long litany. Today, I will focus on just three issues - ones that directly relate to confidence in the underlying soundness of banks.

First, in some jurisdictions the existing regulatory framework allowed equity capital - the main shock-absorber for losses - to be run down as low as 2% of risk-weighted assets. And it was not just the amount of capital that was deficient: so was the quality. Notably, banks could stock the remaining 6% of required capital with cheaper, debt-like instruments that, as soon became clear, could only be used to cover losses after a bank had failed.

Second, the prudential framework filtered out - that is, ignored - some mark-to-market losses on holdings of securities. But investors weren’t willing to overlook such losses - on the contrary, they were extremely concerned about them, and they started to reassess bank capital ratios in that light. The focus on simpler measures - such as a leverage ratio based on tangible common equity - became stronger as a result.

Third, under existing accounting standards, bank provisioning for credit losses on their loan books was backward-looking. The incurred loss model that underpinned IFRS and US GAAP prevented banks from making forward-looking assessments of likely losses. So provisions had not been adequately built up in good times, and there was considerable uncertainty about what additional provisioning might be needed.

All of this meant that, when confidence in banks was most needed, the key regulatory metric of financial health - the regulatory capital ratio - was increasingly discounted because it potentially overstated a bank’s true loss-absorbing capacity.

How Basel III is helping to restore confidenceThe Basel III package is designed to address

these shortcomings. As you all know, banks will be required to hold substantially more capital, with the minimum common equity requirement - CET1 - rising from 2% to 4.5% of risk-weighted assets. The capital has to be of higher quality too, with common equity at the core, and standards to ensure that other types of capital instruments are truly loss-absorbing.


- CET 1 - povećanim sa 2% na 4,5% od rizikom ponderisane aktive. Kapital takođe treba da bude višeg kvaliteta, sa običnim kapitalom u jezgru, i standardima da bi se obezbedilo da druge vrste kapitalnih instrumenata stvarno apsorbuju gubitke. Uklonjeni su prudencijalni filteri koji su dozvoljavali banakama da izbegavaju suočavanje sa gubicima na svojim holdinzima utrživih hartija od vrednosti.

Zatim su tu mere za zaštitu te kapitalne podrške. Kapitalni konzervacioni amortizer pruža dodatnih 2,5% CET 1, ali dozvoljava bankama da posegnu za svojim kapitalom ako se njihov kapitalni koeficijent pogoršava. U isto vreme, sadrži destimulacije za banke da tako postupaju, uvodeći korektivne akcije na isplate dividende ili bonuse da bi se pomoglo da banke obnove bančinu kapitalnu snagu. Jasna je stimulacija za banke da posluju sa kapitalnim nivoima iznad tog nivoa amortizera i da ga koriste samo onda kada je zaista potrebno.

Nastojali smo takođe da kapitalni okvir učinimo u većoj meri kontracikličnim. Banke će držati više kapitala u dobrim vremenima da bi se pripremile za neizbežne krize: to je takozvani kontraciklični kapitalni amortizer, koji potencijalno dopunjuje CET 1 sa dodatnih 2,5%. Zatim, zaista najveće banke - one koje su označene kao globalno sistemski značajne - moraće da drže ekstra kapital da bi se uzela u obzir ekstra šteta koju bi njihova propast nanela društvu.

Pored većeg i kvalitetnijeg kapitala, Bazel III uvodi druge mere za jačanje solidnosti banaka. Ključna među njima je jednostavna ograda u vidu (nezasnovanog na riziku) koeficijenta leveridža. Pored toga, tu su prvi u svetu međunarodni standardi za bankarsku likvidnost i finansiranje u vidu Koeficijenta pokrivenosti likvidnosti (LCR) i Koeficijenta neto stabilnog finansiranja (NSFR).

Paralelno, donosioci računovodstvenih standarda rade na unapređenju okvira rezervisanja za očekivane gubitke po kreditima.

Dobra vest je da su IASB - Međunarodni bord za računovodstvene standarde i FASB - Bord za računovodstvene standarde razvili nove standarde koji će promeniti računovodstveni okvir zasnovan na nastalim gubicima u okvir koji je zasnovan na očekivanim gubicima. Bazelski komitet snažno podržava ovu

promenu i zadovoljni smo što su oba borda ocenila da je opravdano da se učini ova izmena. Donekle je razočaravajuće da bordovi nisu bili u stanju da se slože o jedinstvenom standardu, koji bi stvari unapredio još više. Ali suštinski cilj supervizorske zajednice jeste, kao što sam rekao, da se još više unapredi praksa rezervisanja u bankama, jer će to doprineti poverenju da bankarski bilansi sa većom tačnošću predstavljaju osnovnu poziciju u bilo koje vreme.

Ne moram, naročito među vama, da zalazim u detalje ovih reformi. Njihov značaj će vam biti jasan. Ukratko, bankarski sistem će u budućnosti imati materijalno veći kapacitet za apsorbovanje gubitaka. To treba da pruži veće poverenje u sposobnost banaka da prežive periode stresa, kad god da se oni jave sledeći put.

Problem raznolikosti rizikom ponderisane aktive

Da pozajmim metaforu iz automobilizma, finansijski sistem sada ima znatno unapređen skup vazdušnih jastuka da se zaštiti od nepovoljnih šokova i minimizira štetu. Međutim, potrebno je biti oprezan sa ovim poređenjem sa vazdušnim jastucima. Moram da priznam da, kad su proizvođači automobila prvi put instalirali te uređaje (neki od vas su dovoljno stari da se sećaju), oni su izazvali dosta kontroverzi. Ljudi su se pitali da li će oni funkcionisati kako je zamišljeno ili će se aktivirati prerano, i tako dalje.

Slično je i sa Bazelom III. Ljudi se pitaju da li možemo stvarno da se oslonimo na merenja rizikom ponderisane aktive koja se nalazi u srcu Bazelskog okvira - ili, preciznije, u njegovom imenitelju. Na određen način, možete porediti te mere sa senzorima koji aktiviraju vazdušne jastuke u vašem autu. Ako senzori ne rade kako je nameravano, vazdušni jastuci neće biti od velike koristi.

Bazelski komitet uzima ta pitanja vrlo ozbiljno. Kako stvari stoje, do sada smo objavili tri studije o raznolikostii rizikom ponderisane aktive - dve za knjigu trgovanja i jednu za bankarsku knjigu. Zajedno, one pokazuju da stvarni rizici pokreću lavovski deo razlika u ponderima rizika i kapitalnim zahtevima. Ovo, naravno, jesto upravo kako treba da bude.


And the prudential filters, which allowed banks to avoid facing up to losses on their holdings of marketable securities, have been removed.

Then there are measures to protect that capital backing. The capital conservation buffer provides an additional 2.5% of CET1, but allows banks to dip into their capital if their capital ratio deteriorates. At the same time, it provides disincentives for banks to do so, by imposing corrective actions on dividend and bonus payouts to help restore a bank’s capital strength. The incentive is clearly there for banks to operate with capital levels above this buffer level, and to only use it when truly needed.

We have also sought to make the capital framework more countercyclical. Banks will hold more capital in good times to prepare for inevitable downturns: this is the so-called countercyclical capital buffer, which potentially adds up to an additional 2.5% of CET1. And then the very largest banks - those designated as globally systemically important - will need to hold extra capital to take account of the extra damage their failure would inflict on society.

Beyond more and better quality capital, Basel III introduces other measures to bolster bank soundness. Key among them is a simple backstop in the form of a (non-risk-based) leverage ratio. In addition, there are the world’s first international standards for bank liquidity and funding in the shape of the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR).

In parallel, accounting standard setters have been working to improve the framework for provisioning against expected credit losses.

The good news is that both the IASB and the FASB have developed new standards that will move the accounting framework from one based on incurred losses to one based on expected losses. The Basel Committee has strongly supported this switch, and we are pleased that both Boards have seen fit to make this move. It is somewhat disappointing that the Boards have not been able to converge on a single standard, which would improve things even further. But the core objective of the supervisory community has been, as I said, to promote more forward provisioning practices in banks, as this will also aid confidence that bank balance sheets more accurately represent the underlying financial

position at any given time.Especially in the present company, I don’t

need to go into detail on these reforms. Their import will be clear to you. In short, the banking system will in future have materially greater loss-absorbing capacity. This should provide greater confidence in the ability of banks to survive periods of stress, whenever they next occur.

The problem of risk-weighted asset variability

To borrow an automotive metaphor, the financial system now has in place a greatly improved set of airbags to protect it from adverse shocks and minimise damage. However, one needs to be careful with that airbag comparison. I have to concede that, when carmakers first installed these devices (as some of you will be old enough to remember), they stirred up quite a bit of controversy. People asked if they would work as intended, or whether they’d go off too soon, and so on.

It’s not so different with Basel III. People are asking if we can rely on the risk-weighted asset measurements that stand at the Basel framework’s core - or, more precisely, in its denominator. At a stretch, you might compare these measurements with the sensors that set off the airbags in your car. If the sensors don’t work as intended, the airbags won’t be of much use.

The Basel Committee takes these questions very seriously. As matters stand, we’ve so far published three studies on risk-weighted asset variability - two for the trading book and another for the banking book. Taken together, these show that actual risks drive the lion’s share of differences in risk weights and capital requirements. This, of course, is just as it ought to be.

But variations also arise from supervisory and bank practice-based idiosyncrasies, and these can result in material discrepancies. While it is difficult to be precise on how much scatter is “too much”, the range of bank practice-based variations is uncomfortably wide.

Let me give you a sense of that scatter. If we just take the banking book results - which only focused on risk-weighted assets for sovereigns, banks and wholesale credit - two banks with exactly the same assets could report capital ratios that differ by 4 percentage points. That


Ali varijacije nastaju iz supervizorskih i bankarskih specifičnosti iz prakse i to može dovoditi do materijalnih neusklađenosti. Mada je teško biti precizan u pogledu toga za koliku raspršenost se može reći da je ''prevelika'', raspon varijacija zasnovanih na bankarskoj praksi neugodno je širok.

Dozvolite da vam dočaram kolika je ta raspršenost. Ako uzmemo samo rezultate iz bankarske knjige - koja je usmerena samo na rizikom ponderisanu aktivu za suverene, banke i velekredite - dve banke sa potpuno istom aktivom mogu da iskažu kapitalne koeficijente koji se razlikuju za 4 procentna poena. To jest, ako najkonzervativnija banka iskaže koeficijent propisanog kapitala od 8%, najmanje konzervativna može da iskaže 12%. Naravno, ovo je jednostavno poređenje ekstrema u uzorku - većina banaka bile su bliže proseku. Ali toliko širok potencijal za razlike, naročito ako se one izvode samo iz dela bankarskog poslovanja, slabi poverenje u merenje bankarskog kapitala.

Prvi korak u rešavanju problema je priznanje da ga imate. Iz perspektive Komiteta, vidimo da postoji ključni problem koji treba popraviti. Da bi jačale poverenje u pouzdanost svojih kapitalnih koeficijenata, banke treba da imaju i jasan interes za tim da obezbede da se njihovi metodi merenja rizika vide kao robustni i kredibilni. Svaka sumnja u ovoj oblasti takođe počinje da dovodi u pitanje rezultate stres testova i sistema upravljanja rizikom uopštenije, jer su svi oni izgrađeni na istim temeljima.

Do sada, odgovor iz bankarske industrije po ovom pitanju bio je mešovit. Neke banke - i organizacije kao što je naš današnji domaćin, GARP, i IIF - imaju konstruktivne ideje i sugestije kako da se umanji raznovrsnost. To je dobrodošlo. Neke druge u industriji manje su spremne da priznaju da postoji problem. Poruka koju bih želeo da vam pošaljem danas jeste da on postoji i da mi planiramo da učinimo nešto povodom toga. Idealno, želeli bismo da nam pomognete. Uspeh je od ključnog značaja za obnavljanje poverenja u bankarske kapitalne koeficijente i to je od velikog značaja podjednako za banke i regulatore.

Prema tome, šta se čini? Jasno, kada su uzroci višestruki, onda ne može postojati jedan ''srebrni metak'' kao rešenje za raznovrsnost rizikom ponderisane aktive. Sledstveno tome

regulatorni odgovor mora da prati nekoliko različitih pravaca. U stvari, ti napori mogu da se grupišu u tri glavna lanca, (i) politika, (ii) supervizija i primena, kao i (iii) obelodanjivanje.

Politika

U ovoj fazi, cilj Bazelskog komiteta je jačanje okvira zasnovanog na riziku, a ne njegova zamena. To jest, želimo da razvijemo skup pojednostavljenja i mera zaštite koje će pomoći da se ograniči raznovrsnost, ali i dalje obezbeđuje odgovarajuća osetljivost na rizike u merenjima rizikom ponderisane aktive. Još važnije, one moraju da obezbede veću sigurnost da su rezultati uporedivi od banke do banke i tokom vremena.

Jedan od načina da se limitira raznolikost je da se bankama ograniči izbor modela - na primer, u pogledu izbora stres perioda ili skaliranja procene kratkog horizonta na duži horizont. Pored toga, mogu se predvideti unapređenja u pogledu zahteva za podacima na osnovu kojih se grade modeli, ograničavanjem nekih pretpostavki modeliranja ili tehnike i jačanjem zahteva za validaciju. Predlozi po svim ovim linijama ugrađeni su u fundamentalni pregled Komiteta o knjizi trgovanja, dopunjeni sa više smernica o očekivanoj supervizijskoj praksi.

Za neposredniji uticaj, takođe pažljivo razmatramo ulogu minimuma i repera unutar okvira Bazela III. Minimumi nisu novi fenomen u kapitalnom okviru. Već ih imamo na objedinjenom nivou - u formi prelaznog minimuma iz Bazela I koji ostaje važeći - i za neke parametre rizika - na primer, minimum gubitka pri datom neizvršenju za stambene hipotekarne kredite. Ali moramo kritički da ispitamo da li su važeći minimumi efektivni. Jasno je, na primer, da objedinjeni minimum za modelirane pondere rizike zasnovan na kalkulacijama Bazela I mora da bude zamenjen i Komitet aktivno prati koncipiranje pogodne zamene.

Moramo da ispitamo, takođe, da li postoji osnova za veće korišćenje minimuma kod granularnijeg nivoa, konkretno za proizvode i tržišta gde su podaci ograničeni ili gde ima drugih karakteristika koje čine da ih je teško pouzdano modelirati. U takvim okolnostima, opredeljenje za potpuno oslanjanje na bankarske modele za utvrđivanje propisanih


is, if the most conservative bank reported a regulatory capital ratio of 8%, the least conservative one would report 12%. Of course, this simply compares the extremes in the sample - most banks were much closer to the average. But the potential for differences this wide, particularly as they are derived from only a part of a bank’s business, weakens confidence in the measurement of bank capital.

The first step to solving a problem is acknowledging you have one. From the Committee’s perspective, we see there is a key problem that needs to be fixed. To bolster confidence in the reliability of their capital ratios, banks should also have a keen interest in ensuring that their risk measurement methods are viewed as robust and credible. Any doubts in this area also begin to call into question stress-testing results and risk management systems more generally, since these are all built on the same foundations.

Thus far, the response from the banking industry on this issue has been mixed. Some banks - and organisations like our hosts today, GARP, and the IIF - have been keen to engage with the Committee and are endeavouring to offer constructive ideas and suggestions on how to reduce variability. This is very welcome. Some others in the industry have been less keen to acknowledge there is a problem. The message I would like to leave you with today is that there is one, and we plan to do something about it. And, ideally, we would like your help. Success is critical to restoring confidence in bank capital ratios and this is of great importance to both banks and regulators alike.

So what is being done? Clearly, when the causes are multifarious, there can be no single “silver bullet” solution for risk-weighted asset variability. It follows that the regulatory response also has to pursue several different leads. In fact, these efforts can be grouped into three main strands, that of (i) policy, (ii) supervision and implementation, and (iii) disclosure.

I’ll start with the policy strand

At this stage, the Basel Committee’s goal is to reinforce the risk-based framework, not to replace it. That is, we want to develop a set of

simplifications and safeguards that will help limit variability but still provide for appropriate risk sensitivity in risk-weighted asset measures. More importantly, they must also provide greater comfort that the results are comparable from bank to bank, and over time.

One way to limit variability is to constrain banks’ modelling choices - for example, with respect to the choice of stressed periods or the scaling of short-horizon estimates to longer horizons. In addition, one could envisage improvements to the data requirements on which models are built, limiting certain modelling assumptions or techniques, and strengthening validation requirements. Proposals along all these lines have been built into the Committee’s fundamental review of the trading book, supplemented by more guidance on expected supervisory practices.

For a more direct impact, we are also looking at the role of floors and benchmarks within the Basel III framework. Floors are not a new phenomenon in the capital framework: we have them already at the aggregate level - in the form of the transitional floor relative to Basel I that remains in place - and for some risk parameters - for example, the minimum loss-given-default for residential mortgage loans. But we need to critically examine whether the current floors are effective. It is clear, for example, that the aggregate floor on modelled risk weights based on Basel I calculations needs to be replaced, and the Committee is actively looking into the design of a suitable successor.

We also need to examine whether there is a case for the greater use of floors at a more granular level, particularly for products and markets where data are limited or where there are other characteristics that make them hard to model reliably. In these instances, the case for relying completely on bank models to determine regulatory requirements is far from compelling.

One of the criticisms we hear of any move to place constraints on internal modelling is the potential for adverse impacts on banks’ risk management incentives. It is claimed we will drive adverse behaviour, or limit the investment in risk management. Such criticisms reflect poorly on banks, in my view, as they imply banks will only invest in more advanced


zahteva daleko je od ubedljivog.Jedna od kritika koju čujemo u pogledu

bilo kog poteza na ograničavanju internog modeliranja predstavlja potencijal za nepovoljan uticaj na stimulisanje bankarskog upravljanja rizicima. Tvrdi se da ćemo pokrenuti nepovoljno ponašanje ili ograničiti investiranje u upravljanje rizicima. Takve kritike odražavaju se negativno na banke, po mom shvatanju, jer one impliciraju da će banke investirati u napredniju praksu upravljanja rizicima samo ako imaju stimulans (ili subvenciju) da to čine kada im regulatori ponude niže zahteve za kapitalom. Iz perspektive regulatora, možda je prava struktura podsticaja, barem za velike međunarodne banke koje posluju sa kompleksnim finansijskim proizvodima i tržištima, da se uvedu kapitalni penali kada te banke nemaju sposobnost naprednog upravljanja rizicima. Drugim rečima, te sposobnosti treba da se shvate kao nešto što regulatori treba da očekuju kao minimum, a podsticaji se mogu stvarati uvođenjem dodatnih troškova kada oni ne postoje. Stoga, iako se slažem da treba da budemo pažljivi da ne stvorimo destimulacije za unapređenje upravljanja rizicima, isto tako moramo izbegavati stvaranje regulatornog sistema koji stimuliše modeliranje samo u svrhu optimizacije rizikom ponderisane aktive.

Najzad, kako je ranije pomenuto, nameravamo da obezbedimo da koeficijent leveridža ispuni svoju nameravanu ulogu kao ogradu za režim zasnovan na rizicima. Potrebno je da svima bude jasno da će argumenti za jači koeficijent leveridža da rastu samo ako se raznolikost pondera rizika ne rešava adekvatno. Neki ljudi nastavljaju da osporavaju vrednost koeficijenta leveridža. Ali pri datim vrlo visokim nivoima leveridža koji može da se generiše pod režimom zasnovanim na rizicima, razumno je uvesti ovu meru kao ogradu.

Mere supervizorske primene

U ovom trenutku, supervizorska akcija se već događa. Mnogi supervizori su odgovorni samo za nekolicinu banaka koje koriste interne rejtinge za merenje rizika i može biti teško generisati pouzdane repere iz malog uzorka. Naše tri studije o rizikom ponderisanoj aktivi

daju supervizorima mnogo jasniju sliku kako njihove banke stoje u poređenju sa mnogo većom međunarodnom sličnom grupom i supervizijska akcija se već preduzima prema nekim atipičnim bankama.

Na takav način, RCAP, ocenjivanja Komiteta po zemljama ili jurisdikcijama, pomažu da se umanji vrsta raznolikosti koja nastaje iz nepoželjnih razlika u nacionalnim regulativama. Zaista, to je jedan od glavnih ciljeva Komiteta na frontu primene Bazela III - RCAP je uostalom ''program ocene konzistentnosti regulativa''. Razlike koje identifikuje mogu izgledati kao manje važna pitanja tehničkih detalja, ali kada se objedine one često mogu da imaju materijalni uticaj na kapitalni ishod. Zato, njihovo uklanjanje doprinosi konzistentnosti izračunavanja rizikom ponderisane aktive.

U kontekstu rada na primeni RCAP, razmatramo načine monitorisanja ishoda rizikom ponderisane aktive tokom vremena. Pravi proces za ocenjivanje tih ishoda mogao bi da ima nekoliko benefita. Prvo, mogao bi da pruži Komitetu dokaze o tome u kojoj meri primena Bazela III, supervizija i promene u sopstvenoj praksi banaka na internom upravljanju rizicima ima željeni uticaj. Pored toga, bolje će nas pripremiti za odgovor na promene u modeliranju ponašanja i evoluciji nivoa učestalosti prosečne rizikom ponderisane aktive. Isto tako će ubrzati razvoj poboljšanih repera i alata validacije. Neki su čak sugerisali postavljanje trajnog kapaciteta za periodična monitorisanja raznolikosti rizikom ponderisane aktive za jezgro klasa aktive zasnovano na vežbama sa hipotetičkim portfolijem.

Da bi se unapredila primena, Komitet isto tako pažljivo razmatra pitanje nacionalnih diskrecija. To podrazumeva evaluaciju da li više može da se uradi na smanjenju raznolikosti iz tih izvora eliminisanjem diskrecije gde je to moguće i jačanjem smernica supervizora za validaciju modela, pregleda i prihvatanja.

Nekoliko reči o obelodanjivanju

Finansijska kriza je jasno pokazala da postojeći režim obelodanjivanja nije omogućio učesnicima na tržištu da dobuju jasnu i blagovremenu sliku o bančinim materijalnim rizicima. Niti je pružio dovoljno informacija da


risk management practices if incentivised (or subsidised) to do so by regulators offering them lower capital requirements. And from a regulatory perspective, maybe the right structure of incentives, at least for large international banks dealing in complex financial products and markets, is to impose a capital penalty where those banks do not have advanced risk management capabilities. In other words, these capabilities should be regarded as something regulators should expect as a minimum, and incentives can be created by imposing additional costs where they do not exist. So while I agree that we should be careful not to provide disincentives to improve risk management, equally we must avoid creating a regulatory system that merely incentivises modelling for the purposes of optimising risk-weighted assets.

Finally, as mentioned earlier, we intend to ensure that the leverage ratio fulfils its intended role as a backstop to the risk-based regime. It should be clear to everyone that the case for a stronger leverage ratio will only grow further if risk-weight variability is not adequately dealt with. Some people continue to question the merits of a leverage ratio. But given the very high levels of leverage that could be generated under the risk-based regime, this is a sensible measure to introduce as a backstop.

That brings me to supervisory implementation measures

Most immediately, supervisory action is already taking place. Many supervisors are responsible for only a handful of banks that use internal ratings to gauge risks, and it can be difficult to generate reliable benchmarks from a small sample. Our three studies on risk-weighted assets have provided supervisors with a much clearer picture of how their banks stack up against a much larger, international peer group, and supervisory action is already being taken on some outlier banks.

In like fashion, the Committee’s country-by-country or jurisdictional RCAP assessments are helping to reduce the type of variability that arises from undesirable differences in national regulations. Indeed, this is one of the Committee’s major aims on the Basel III implementation

front - RCAP stands for “regulatory consistency assessment programme”, after all. The differences it picks up may seem to be small issues of technical detail, but when aggregated they can often have a material impact on capital outcomes. Thus, their removal adds to the consistency of RWA calculations.

In the context of implementation work under the RCAP, we are considering ways of monitoring risk-weighted asset outcomes over time. A proper process for assessing such outcomes could have several benefits. First, it could provide the Committee with evidence for how far Basel III implementation, supervision, and changes in banks’ own internal risk management practices are having the desired impact. In addition, it will better equip all of us to respond to changes in modelling behaviour and the evolution of average risk-weighted asset density levels. It will also speed the development of improved benchmarks and validation tools. Some have even suggested setting up a permanent capacity for periodic monitoring of risk-weighted asset variations for the core asset classes based on hypothetical portfolio exercises.

To improve implementation, the Committee is also looking at the issue of national discretions. This entails an evaluation of whether more can be done to reduce variability from these sources by eliminating discretion where possible, and strengthening supervisory guidance on model validation, review and approval.

Finally, let me say a few words about disclosure

The financial crisis made it clear that the existing disclosure regime did not allow market participants to get a clear and timely picture of a bank’s material risks. Nor did it provide enough information to let them assess a bank’s ability to withstand market turmoil. Thus, it was already apparent that a more fundamental revision of the disclosure regime and an overall strengthening of the Basel framework’s Pillar 3 were needed.

When it comes to bank modelling practices, the Committee plans to propose improvements to the information that banks provide on their risk profiles and risk-weighted asset differences.


im omogući da ocene sposobnost banke da izdrži tržišni metež. Bilo je očigledno da je potrebna temeljnija revizija režima obelodanjivanja i ukupnog jačanja Stuba 3 Bazelskog okvira.

Kada je reč o bankarskoj praksi modeliranja, Komitet planira da predloži unapređenja u informacijama koje banke pružaju o svojim profilima rizika i razlikama u rizikom ponderisanoj aktivi. Komitet vodi temeljan pregled zahteva za obelodanjivanjem iz Stuba 3 sa posebnom pažnjom na uporedivost po bankama kao preduslov za efikasnu tržišnu disciplinu. Sada ta uporedivost nedostaje. Kao primer, kreditni rizik partnera nije uvek različit od kreditnog rizika u obelodanjivanjima banaka. Jedan prirodan odgovor bio bi da se standardizuje prezentacija jezgra informacija o prudencijalnoj metrici i predlozi u tom cilju su u pripremi. Nadam se da ćemo biti u mogućnosti da vam ih prosledimo na komentar tokom leta.

Neophodno je da se ostvari ravnoteža između korišćenja propisanih templejta za unapređenje uporedivosti izveštavanja i potrebe da se menadžementu banaka ostavi dovoljno prostora za svrsishodno komentarisanje kako oni vide specifičan profil rizika svoje institucije. Za ključne podatke o bančinom kapitalu i rizikom ponderisanoj aktivi, u većoj meri standardizovan okvir za obelodanjivanje činiće vitalni deo globalnog odgovora na postojeći nedostatak u tržišnoj disciplini.

Zaključak

Nema sumnje da će Bazel III i druge post-krizne reforme proizvesti otporniji finansijski

sistem. Namera je da banke budu sposobne da izađu iz narednih eventualnih finansijskih šokova mnogo sposobnije nego ranije, sebe radi i radi kredita koje posreduju. Obnavljanje poverenja u banke ključno je za krajnji cilj, a to je da se realna ekonomija zaštiti od finansijskog stresa.

Bazel III je materijalno rešio nedostatke u brojitelju kapitalnog koeficijenta zasnovanog na riziku i to je pružilo dodatnu zaštitu u formi leveridža i zahteva za likvidnošću. Ali, da se pozovem na drugu švedsku poslovicu, ne slavite pre nego što pređete potok (Ropa inte hej förän du är över bäcken). Znaci pitanja ostaju o pouzdanosti i uporedivosti kalkulacija rizikom ponderisane aktive, i dok se to ne razreši, poverenje u kapitalne koeficijente ne može se u potpunosti obnoviti.

Prilikom odlučivanja šta da urade povodom tog pitanja, dozvolite mi da vas uverim da su supervizori spremni da angažuju industriju u konstruktivnom dijalogu o najboljem putu napred. Zaista, nadam se da će moje današnje napomene biti uzete kao deo tog dijaloga. Moj fokus danas je bio na akcijama koje je Bazelski komitet već preduzeo ili su u pripremi, koje će pomoći obnavljanju poverenja u banke. Ali to je samo jedan element u jednačini. Banke same moraju da preuzmu vodeću ulogu, jer krajnje obnavljanje poverenja zavisi od akcija koje one preduzimaju. Komitet je nestrpljiv da čuje od banaka i drugih zainteresovanih strana o pravcu akcija koji njima najviše odgovara. Inicijative industrije da se unapredi razumevanje tih pitanja više su nego dobrodošle - one su deo procesa.


The Committee is conducting a thorough review of Pillar 3 disclosure requirements with a particular focus on comparability across banks as a prerequisite for efficient market discipline. At present, that comparability is lacking. As an example, counterparty credit risk is not always distinct from credit risk in banks’ disclosures. One natural response would be to standardise the presentation of core information on prudential metrics, and proposals to that end are in the pipeline. I hope that we will be able to release these to you for comment over the summer.

A balance does need to be struck between the use of prescribed templates to promote reporting comparability, and the need to allow banks’ management enough scope for meaningful commentary on how they see their institution’s specific risk profile. But for key data on a bank’s capital and risk-weighted assets, a more standardised disclosure framework will form a vital part of the global response to the existing shortfall in market discipline.

Conclusion

There’s no doubt that Basel III and the other post-crisis reforms will produce a more resilient financial system. We intend that banks should be able to ride out the next set of financial shocks much more capably than before, both for their own sake and for that of the credit they intermediate. Restoring confidence in banks is

critical to the end-objective, which is to buffer the real economy against financial stress.

Basel III has materially addressed shortcomings in the numerator of the risk-based capital ratio, and it has added additional safeguards in the form of leverage and liquidity requirements. But, to use another Swedish proverb, don’t celebrate until you have crossed the creek (Ropa inte hej förrän du är över bäcken). Question marks remain about the reliability and comparability of risk-weighted asset calculations and, until these are resolved, confidence in capital ratios cannot be fully restored.

When deciding what to do about this issue, let me assure you that supervisors are keen to engage the industry in a constructive dialogue on the best way forward. Indeed, I hope my remarks today will be taken as part of that dialogue. My focus today has been on the actions already taken by the Basel Committee, or in its pipeline, that will help restore confidence in banks. But this is just one element in the equation. Banks themselves must take a leading role, as the ultimate restoration of confidence depends on the actions they take. The Committee is eager to hear from banks and other interested parties on their preferred course of action. Industry-led initiatives to foster improved understanding of these issues are therefore more than welcome - they are a vital part of the process.

Documents

OBNAVLJANJE POVERENJA U BANKE