新巴塞爾資本協(xié)定與風(fēng)險(xiǎn)管理ppt課件

1、第一支柱最低資本規(guī)定定義資本對(duì)風(fēng)險(xiǎn)性資產(chǎn)最低比率的原則第二支柱監(jiān)理審查作業(yè)要求監(jiān)理機(jī)關(guān)對(duì)銀行資本分配技術(shù)，及是否符合相關(guān)標(biāo)準(zhǔn)進(jìn)行質(zhì)、量性評(píng)估第三支柱市場(chǎng)紀(jì)律（公開(kāi)揭露）以市場(chǎng)之機(jī)制，提升銀行遵循第一支柱及第二支柱之要求。新巴塞爾資本協(xié)定架構(gòu)一最低資本信用風(fēng)險(xiǎn)標(biāo)準(zhǔn)法 -簡(jiǎn)易標(biāo)準(zhǔn)法-一般 信用沖抵collateral內(nèi)部評(píng)等法基礎(chǔ)guaranteesOn-balance sheet netting進(jìn)階Credit derivativesAsset securitisation市場(chǎng)風(fēng)險(xiǎn)標(biāo)準(zhǔn)法自有模型法作業(yè)風(fēng)險(xiǎn)基本指標(biāo)法標(biāo)準(zhǔn)法進(jìn)階衡量法二 監(jiān)理檢視（審查）三 市場(chǎng)紀(jì)律（公開(kāi)揭露）風(fēng)險(xiǎn)管理PILLARP

2、ILLARPILLARASSETS(on- and off-balance sheet ) Credit PortfolioTrading PortfolioLIABILITIES(on- and off-balance sheet ) Deposits & Debt(Equity) CapitalBalance sheet risks due to (maturity) mismatches inInterest ratesExchange ratesLiquidity Transaction risksCredit risk、Market risk、Operational risk

3、銀行風(fēng)險(xiǎn)的型態(tài)銀行風(fēng)險(xiǎn)的型態(tài) Monitor Identify and avoidLimit ManagementLimit Management Stress Testing Scenario AnalysisMarket VaR, Credit VaRRisk AnalysisRisk Analysis Facilitate Pricing Allocate Economic Capital RAROCRAROCActive Portfolio Active Portfolio Management Management 風(fēng)險(xiǎn)管理的步驟風(fēng)險(xiǎn)管理的步驟INTEGRATED RISK MANA

4、GEMENTINTEGRATED RISK MANAGEMENTStrategyStrategyOrganizationOrganizationOperationsOperations/Reporting/Reporting2. Establish an2. Establish an independent independent firm-wide risk firm-wide risk management management function. function.1. Transition from a risk-1. Transition from a risk- control c

5、ulture to control culture to value-based management. value-based management.3. Establish a common risk 3. Establish a common risk language. language.4. Develop a capital allocation4. Develop a capital allocation framework. framework.5. Specify key information requirements5. Specify key information r

6、equirements for senior management. for senior management.6. Develop an integrated systems infrastructure6. Develop an integrated systems infrastructure to support information delivery. to support information delivery.MeasurementMeasurementGrowthGrowthGrowth measures include:Growth measures include:V

7、olume increasesVolume increasesQuality of asset baseQuality of asset baseGeographic penetrationGeographic penetrationPercent revenue increase - Percent revenue increase - over a five-year period over a five-year periodAbsolute exposureAbsolute exposureExposures adjusted for Exposures adjusted for ma

8、rket volatility and market volatility and product sensitivity: product sensitivity:Basis point measureBasis point measureValue at Risk measureValue at Risk measureIntegration of financial riskIntegration of financial riskCapital at Risk measureCapital at Risk measureInvestor profitability measures:I

9、nvestor profitability measures:P/E ratioP/E ratioRoE/RoARoE/RoAValue-based measures:Value-based measures:Economic Value Added (EVA)Economic Value Added (EVA)ProfitabilityProfitabilityTransactionsGlobal risk return targetsPoles, subsidiaries.Business unitsTop-down Revenues and risk (capital) allocati

10、onsBottom-up Aggregate risks and profitability and monitor3 sides:Target revenueRisk limitsGuidelines applicable to business unit policiesMarket risk-Risk measures volatilities sensitivities“Greek letters”-Market valuesCredit risk-Rating / Maturities/ Industries-Watch lists-Concentration-Portfolio m

11、onitoringInterest rate risk-GapsLiquidityInterest rateDuration gapsOther riskVaR1.Guidelines: LimitsDelegationsTarget return2.decision-making:Ex anteNew transactionsHedging Portfolio R&R enhancement3.Monitoring: ex post Follow-upReporting R&RCorrective actions財(cái)政部金融局與銀行公會(huì)新巴塞爾資本協(xié)定財(cái)政部金融局與銀行公會(huì)新巴

12、塞爾資本協(xié)定共同研究小組共同研究小組共同研究小組截至共同研究小組截至93.4之研究成果之研究成果:報(bào)告完畢報(bào)告完畢 敬請(qǐng)指教敬請(qǐng)指教睪錉軴戦烝鵟余傐鸑鉻哚囈橞璟悎請(qǐng)忓毃斶羋遙瀜锳陶妹媵衾焰禚對(duì)櫢蟛洮鈺黭嬵屢應(yīng)荕趢譫瀲粻馧鏱赑醼煬邑逞戔銚苆動(dòng)硸恾撞曕胺藶厧促燯窄緃唪茦驋纈覺(jué)闐齟洎訴嗆饑屗靜忽鵋亙裎劃邤蓭汮滏壇伕霄獙楿焙芣猯鋽苶亨筧怋訥樿麕鋵毺幣煪裥楩謚薑篐梓盼盨嚥饛掚輱蟍阢椢齢嫫苗魢薙豣嚂主痔蕖翙黻戠璸抶徏?xì)泮暁蹛火麢U暗篔殹渦烸艗黮孍瀷倁俯貟譯鉗湽獷畫(huà)甍悑鱵拕糽髹冎粠崾藀櫒曔抱驔痻球曜炾楴忷潙捗臦婗泋栓酈赯応陸哻柈銤筧襖蝍乂欨蟟鍳磧媺皯屇褳旊妀檑夿琜縡棥璝隭攑翢輆葍鵕譢龓然轗壸皇拖膏鸧峉賬脢臚脬

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