銀行リスク管理キット

Bank RAS: risk capacity, qualitative statements, Level 1 metrics with appetite, tolerance and limit, cascade, monitoring, breach escalation, use test

KRI framework: selection criteria, KRI record fields, catalogue, RAG thresholds and calibration, link to RAS, data lineage, reporting, escalation, review

Bank ICAAP report: capital adequacy statement, risk inventory, normative and economic perspectives, capital plan, adverse and reverse stress, buffers, actions

Bank ILAAP report: liquidity adequacy statement, appetite, funding plan, risk drivers, LCR and NSFR worked example, stress tests, survival horizon, CBC, FTP

Bank stress testing programme: governance, test inventory, scenario design, macro variables, methods by risk, results, actions, reverse stress test, use

IRRBB and CSRBB policy and report: limits, behavioural assumptions, EVE and NII, six-shock outlier test, internal scenarios, hedging

Trading book scope and desks, three-level limit hierarchy, VaR/ES/SVaR/sensitivity definitions, calibration, limit schedule, excess states, stop-loss, FRTB status

Hypothetical and actual P&L, exception list and root causes, zone, Kupiec and Christoffersen tests, multiplier effect, desk-level backtesting and PLA, actions

Operational risk RCSA: scope, scales, process inventory, inherent risks by Basel event type, controls, residual vs appetite, actions, KRIs, losses, resilience

Event summary, Basel event type and business line, key dates, gross loss, recoveries and net loss, root cause, failed controls, boundary events, DORA link

Bank CFP: early-warning indicators, stress stages, survival horizon, counterbalancing capacity, central bank readiness, playbook, testing

Bank recovery plan: escalation, strategic analysis, recovery indicators, options and feasibility, scenarios, overall recovery capacity, playbook