JAVCERM Journal [] 2 # 2011_01_Ronko 2010 1 4 2011 5 12
1
2 2
1999 National Bank of Keystone(Keystone), Pacific Thrift and Loan(PLT) FDIC CAMEAL 20 20 1 11 6 2.2 2000 Greenspan FRB 2000 IT IT Greenspan[2004] BIS BIS[2003] [2005]197-200 BIS[2003] 2004 23 3
2.4 2.4.1 2.4.2 (1) (2) 4
1997 2.5 3 5
6
7
4.1 8
2009 7 2011 4.2 [2010b]2010 12 GDP 2013 1 1 1 2019 1 1 1988 1996 1998 1999 1 2001 2 9
2003 4 3 200 6 2006 2007 2009 2011 2010 ( 2013 2019 1 ) [2004][2010a] 4.2.1 Tier1 Tier1 6 Tier1 4.5 Tier1 3.5 2013 4.5 2015 Tier1 4.52013 62015 ()Tier1 Tier2 [2010a][2010b] 4.2.2 0 2.5 Tier1 4.2.3 2016 (0.625%)2019 1 2.5 10
GDP 4.2.4 1200 [2009]21 [2011]112 FRB (2011 )(2013 )2015 1 4.2.5 2018 1 11
Tiei1, Tier1 4.2.6 (LCR: Liquidity Coverage Ratio)30 2 (NSFR: Net Stable Funding Ratio) (LCR)2011 2015 (NSFR)2012 2018 1 4.2.7 2010 12 FSB 4.2.8 13 2009 3 7 2009 6 G20 12
13
1 ( 2 ) ( 3 ) ERM(Enterprise Risk Management) 4 1 2 1 3 [2004] 14
5ERM 5.1 ERM 15
16
(1) 17
2009 12 18
19
4 20
PricewaterhouseCoopers LLP [2000][2005] 126130 (Plan) (Do) (Check) (Act) PDCA PDCA 21
22
23
24
25
[2003] 2009 12 26
Archarva V.V and Richardson M.[2009] Restoring Financial Stability [2011] Bank for International Settlements, Committee on the Global Financial System( ) BIS[2003]), Credit Risk Transfer (http://www.bis.org) Basel Committee on Banking Supervision[1998a] Framework for Internal Control Systems in Banking Organizations, (http://www.bis.org/) [2004] International Convergence of Capital Measurement and Capital Standards: a Rived Framework, [2005] Enhancing Corporate Governance for Banking Organization, [2006] Observed Range of Practice in Key Elements of Advanced Measurement Approaches (AMA), [2008] Implementation of the compliance principles, A survey, [2009a] Basel Committee on Banking Supervision Announces Enhancements to the Basel II Capital Framework, [2009b] Expansion of Membership Announced by the Basel Committee, [2009c] Initiatives on Capital Announced by the Basel Committee, [2010a] Group of Governors and Heads of Supervision announces higher global minimum capital standards, [2010b]Basel: A global regulatory framework for more resilient banks and banking systems, [2010c]Basel: International framework for liquidity risk measurement, standards and monitoring, 27
[2010d] Principles for enhancing corporate governance, [2010e] Sound Practice for the Management and Supervision of Operational Risk, [2010f] Operational Risk Supervisory Guidelines for the Advanced Measurement Approaches, ERISK[2002]Case StudyFirst National Bank of Keystone, (http://www.erisk.com/learning/casestudies/firstnationalbankofkeysto.asp) FDIC[2000] Oral Statement of Donna Tanoue Chairman Federal Deposit Insurance Corporation before the Committee on Banking and Financial Services U.S. House of Representatives, February 8, 2000 FDIC (http://www.fdic.gov/news/news/press/2000 FRB[2009] Supervising and Resolving Large Financial Institutions, November 10,2009 Speech by Governor Tarullo, (http:www.federalresreve.gov) Joint Forum[2004] Credit Risk Transfer, (http://www.bis.org/) [2008] Credit Risk Transfer :Development from 2005 to 2007, Greenspan, A.[2004] International Financial Risk Management, New Horizons in Central Bank Risk Management, Central Banking Publications Jones, D.S.and K.K. King. [1995] The Implementation of Prompt Corrective Action: An Assessment,Journal of Banking and Finance 19,1995, 491-510 Lam,.J.[1995] Enterprise Risk Management: From Incentives to Controls, Wiley Finance [2008]ERM Kiff, J. and Mills, P.[2007] Recent Developments in U.S. Subprime Mortgage Markets, IMF Working Paper (http://www.imf.org) PricewaterhouseCoopers LLP [2000] Corporate Governance and the Board, Institute of Internal Auditors Research Foundation[2005] Tett,G [2009] Fools Gold, International Creative Management[2009] The Committee on Corporate Governance [1998] Final Report, Gee Publishing [2000] 28
2 IT [2010] [2011]3 5 29
risk appetite COSO/ERM[2004] risk appetite 30
31
ERM Journal Editors-in-chief Associate Editors Assistant Editors ERM 100-0005 2-5-2 9F TEL 03-3201-5051FAX 03-3201-5058 E-mail: erm@kier.kyoto-u.ac.jp URL: http://www.javcerm.org
JAVCERM