财政机关风险管理PPT48(1).ppt

RiskManagementinFinancialInstitutions,Dr.ZhongyangChenAssociateProfessorSchoolofFinanceRenminUniversityofChina,WhatToday?,AboutmeAbouttheCourseWhy?What?How?ChapterOne,Aboutme,BornandbroughtupinHunanProvince,China,1968-1987EducatedandWorkinginRenminUniversity,Beijing,1987-PresentAssociateProfessorofSchoolofFinance,RenminUniversityVisitingScholar,ReadingUniversity,UK,1998-1999Fulbrighter,SuffolkUniversity,U.S.A,2002-2003MoreInformation:ResumeinWebpage/zchen/,AbouttheCourse:What?,RiskManagementcourse:anemergingcourseJustliketheriskconceptitself,riskmanagementcourseisnotyetunanimouslydefined,ordesigned.Aboutderivativesandfinancialderivatives?Aboutriskmeasuringmodels?Aboutauditingandinternalcontrol?Aboutfinancialinstitutionsmanagement?Alloftheabove?,AbouttheCourse:What?,OurPlannedCoverageChapter1Introduction:What,WhyandHow?Chapter2MarketriskmanagementChapter3CreditriskmanagementChapter4OperationalriskmanagementChapter5LiquidityriskmanagementChapter6Risk-basedregulationandtheNewBaselCapitalAccordSpecialtopic:RiskofChinasfinancialsystem,AbouttheCourse:How?,Lecturing,CasestudyandPresentationMiddle-termtestFinalwrittenexaminationAboutgrading20%CaseStudyandPresentation30%Problemsassignments40%Finalwrittenexamination10%ClassAttendanceandParticipation,Firstofall,letstalkaboutrisk!-Howmuchdoyouknowaboutrisk?,Listrisk-relatedwordsDefineriskinyourownwords.Makesentencesusingrisk.Yourpreference/attitudetoriskHowdoyoumanageoravoidriskinyoureverydaylife?Yourviewsonriskandfinance/investment.,Yourpreference/attitudetorisk,高、中、低三种状态,Makesentencesusingrisk.,风险是可控的风险是由不可确定性造成的风险是高投资，高收益的投资人群是可以依据风险偏好分类的风险是可以预料的，但不可避免,Listrisk-relatedwords,保险投资损失战争婚姻学习就业对冲基金篱笆旅行期权期货,Defineriskinyourownwords.,灾害可能的损失危机不可预料的危险对某个客体在某种情况下造成危险的事件出乎自己的意料而造成的损失不利的因素可能承担的代价,Chapter1IntroductiontoRiskManagement:What,WhyandHow?,1Whatisrisk,especiallyinperspectiveofFIs?2WhyFIsshouldmanagerisk?3Howtomanagefinancialrisk?(Basicconceptsandmethodologiesofmanagingrisk)4Evolution,revolutionandtrendsofriskmanagement,1.Whatisrisk?,Commonword,hardtodefineclearly,preciselyIntuitively,somethingwhichpossible(notdefinitely)makeyoulosesomethingelsevaluabletoyou,therefore(definitely)makesyouworryorsufferAcademically,andinperspectiveofFIs,(Somedefinitionformpopulartextbooks)RiskisuncertaintyoffutureoutcomeRiskispotentiallossRiskisdeviationfromexpectationRiskisanychangeresultinginlossRiskisvolatilityRiskisdanger,orhazard,Comparingsomeinvolvedorrelatedconcepts,UncertaintyVolatilityLoss(severity)HazardProbabilityRiskexposure,Uncertainty,TheoreticalcontroversyaboutwhetherriskisequivalenttouncertaintyMostofthefinancebooksorinvestmentbookstreatordefineriskasuncertaintyInsomebooks,especiallyondecisionmaking,riskisdifferentiatedfromuncertaintyinthewayhowfuturesituationisperceived.Risk:Decisionmakerhastheknowledgeofthepossibleoutcomesandtherespectivepossibilitiesoftheseoutcomes.Thus,riskismeasurable.Uncertainty:Decisionmakershavenosuchknowledge.Thus,uncertaintyisnotmeasurable.,Volatility,Volatilityismeasuredbyvariance2orstandarddeviation,double-sidemeasurementofrisk,includingupsidepotentialanddownsidepotentialFirstintroducedbyHarryMarkowitz,asabasicmeasureofriskofinvestmentonitsown.Variance(2):Theprobabilityweightedsumofthesquareddeviationsofalltheoutcomesfromtheirmean(expectedvalue).standarddeviation():thesquarerootofvariance,Loss(severity),LossitselfisnotriskRealizedloss(Probabilitynotinvolved)Potentialloss(Probabilityinvolved)Expectedloss(Probabilityinvolved)Unexpectedloss(atsomespecifiedconfidenceinterval,Probabilityinvolved)Lossgivendefault(LGD)orotherevent,(Probabilitynotinvolved)(LGD=1recoveryrate),Hazard,Ininsurancebusinessandlendingbusiness,riskcanbedifferentiatedobviouslyfromhazard.Riskispotentialloss,orlossgivenacertainpossibility,Hazardistheenvironmentoreventwhichcanincreasethescale(severity)or/andpossibilityofloss.PhysicalhazardandMoralhazard,MoralHazard,Theoretically,moralhazardresultsfrominformationasymmetry.Moralhazardoccurswhentheinsuredfailstotakeproperprecautionstoavoidlossesbecauselossesarecoveredbyinsurance.HurricaneFran1996inNorthCarolinacoast,yachtownersdidnottakedowntheiroldcanvascovers.Moralhazardplaysimportantroleincreditmanagement.Borrowcouldintentionallyviolatetherestrictivecovenantsandinvestborrowingsinhighriskproject.Inmanagingcreditrisk,oneimportantaspectistoreducemoralhazard,andhencetoreduceinformationasymmetry.Financialstructuring,monitoringandenforcingcovenantscanhelpreducemoralriskindebtcontract.,Probability,Riskyinvestmentisnotasurething,probabilitycalculationisinevitablyinvolvedandevenbecomeacorepartofmoderninvestmentandriskmanagementExpectedreturnandStandarddeviation(andhencecovarianceandcorrelationcoefficient)arethemostbasicelementsofanalyticframeworkofmoderninvestmentandriskmanagementProbabilityDistributionFunction(PDF)isthecoreandhardpartofriskmodeling.IncreasinglysophisticatedstatisticskillsandadvanceprobabilitytheoriesaregainingmoreandmoregroundinriskmanagementLargenumberlawisafundamentallawinriskmanagement.Ajarfilledwith3000whitepebblesand2000blackpebbles,howdoyouknow(estimate)thecolorstructurewithoutcountingallthepebbles?RequirementsofIndependenceofeventsandlargesample,Riskexposure,Riskexposureisthetotalamountofinvestmentorpositionwhichisexposedtoaparticularriskresource.Managingriskisactuallymanagingtheriskexposure,adjustingtheriskexposurethroughhedging,insurance,orreducinginvestmentscale.RiskexposureProbabilityofDefaultorothereventLossgivendefault(Severity)=expectedloss,whichisonemeasureofriskSupposethesizeofyourloanportfoliois$5m,itisexposedtocreditrisk,youcansay”Ihave$5mriskexposuretocreditrisk”.Ifyourresearchshowsoveraspecifiedperiod,sayoneyear,thelossprobabilitydistributionisasfollows:10,000(0.3),50,000(0.4),100,000(0.3)Theexpectedlossis$53,000.Howmuchwouldyouchargeyourcustomersforthelendingbusiness?,CategoriesofRiskinperspectiveofFIs,RisktypologyinfinancialindustryisfarfromunanimouslydefinedduetodiversebusinessandrisknatureofdifferentFIs.TheincreasinglypopularRisktypologyisthatadoptedbyBaselCommitteein“RiskManagementGuidelinesforDerivatives1994”:CreditRisk(includingsettlementrisk),MarketRisk,Liquidityrisk,Operationrisk,Legalrisk(,Regulatoryrisk,Compliancerisk).Itisalsochangingandevolving.NewBaselCapitalAccord2000:CreditRisk,MarketRisk,OperationalRisk,CreditRisk,Broadlydefined,creditriskistheriskthatacounterpartywillfailtoperformanobligationtotheFI.Or,achangeinthecreditqualityofacounterpartywillaffectthevalueofaFIsposition.CounterpartyriskDefaultriskCrediteventSettlementrisk,(partlyduetocreditrisk),MarketRisk,MarketriskistherisktoanFIsfinancialconditionresultingfromadversemovementsinthelevelorvolatilityofmarketprices.MarketriskistheriskthatchangesinfinancialmarketspricesandrateswillreducesthevalueoftheFIspositionsMarketpricesincludeinterestrate,foreignexchangerate,equityprice,commodityprice,OperationalRisk,Operationrisk(BIS1994)istheriskthatdeficienciesininformationsystemsorinternalcontrolswillresultinunexpectedloss.Itisassociatedwithhumanerror,systemfailuresandinadequateproceduresandcontrols.Operationalrisk(BIS2000)isRiskofdirectorindirectlossresultingfrominadequateorfailedinternalprocesses,peopleandsystemorfromexternalevents.Operationalriskunderabovedefinitionistheriskotherthancreditriskandmarketrisk,includingsettlementrisk(excludingthoseduetocounterpartyreason),legalandcompliancerisk.,Eventtypes,Internalfraud,Externalfraud,Employmentpracticesandworkplacesafety,Clients,productsandbusinesspractices,Damagetophysicalassets,Businessdisruptionandsystemfailures,Execution,deliveryandprocessmanagement,Derivativeandoperationalrisk,Derivativestradingismorepronetooperationalriskthancashtransactionsbecausederivativesare,bytheirnature,leveragedtransaction,whichmeans,atradercanmakeverylargecommitmentsonbehalfofbank,andgeneratehugeexposuresintothefuture(evenupto30yearsahead),usingonlyasmallamountofcash(atthetimethetransactionisexecuted),Liquidityrisk,Liquidityriskhastwoforms:Product(ortrading-related)liquidityrisk,istheriskthataFSmaynotbeabletoorcannoteasily,unwindoroffsetaparticularpositionatorneartheprevious(prevailing)marketpricebecauseofinadequatemarketdepthorbecauseofdisruptionsinthemarketplace.FundingliquidityriskistheriskthattheFIwillunabletoraisethenecessarycashtomeetitspaymentobligationsonsettlementdates,suchas,torolloveritsdebt,tomeetthecash,margin,andcollateralrequirementsofcounterpartiesand(inthecaseoffunds)tosatisfycapitalwithdrawals.Thetwoformsarecloselyrelatedandarebothveryhardtoquantify.,Legalrisk(Compliancerisk),Legalriskistheriskthatcontractsarenotlegallyenforceableordocumentedcorrectly.LegalriskariseswhenaFIentersintoacontractwhichisnotappropriatelyorlegally(lawfully)documented(worded),orwherethecounterpartymightlackthelegalorregulatoryauthoritytoengageinatransaction.Legalriskusuallyonlybecomeapparentwhenacounterparty,customeroraninvestorlosesmoneyonthetransactionanddecidestosuetheFItoavoidmeetingitsobligation.,AcaseofLegalrisk,InApril1994,Procter&Gamble,GibsonGreetings,andMeadCorporationannouncedheftylossesfromleveragedswapagreementswithBankersTrust.AllthreecompaniesfiledsuitsagainstBankersTrust.Procter&Gamblelost$157millionontwointerestswaps,itthensuedBankersTrustformisrepresentationoftherisksinvolvedinthetransactions.FordetailsseeSteinherr(1998),Anotheraspectoflegalriskisthepotentialimpactofachangeinlaws.Forexample,whentheBritishGovernmentchangedthetaxcodetoremoveaparticulartaxbenefitduringthesummerof1997,onemajorinvestmentbanksufferedhugelosses.,Somebasicconclusionsandperceptionsaboutrisk,Riskissomethingpeople(investors)normallyareafraidofordislikeSomerelatedconcepts:riskaversion,risktakingandriskcompensation,riskpremiumRisk(management)issomethingconnectingfutureandpresent,i.e.yourcurrentperceptionoffuturesituation(?),futuresituationaffectingyourcurrentdecisionIsManagingRiska“gameagainstGods”(byPeterL.Bernstein,1998)?,oranattemptatbeatingyourfate?Shouldriskmanagerbeafortuneordisasterteller?)Fromamodernperspective,riskhasadouble-sidenature:potentialforlossandpotentialforprofitRiskisaboutprobability,OnePriceLawisthefundamentallawofriskmanagement,Twodimensionofdescribing(measuring)risk:losssize(Severity)andtheprobabilityoftheloss.Losssizeisrelatedtoriskexposureandrecoveryrate(likeLossGivenDefaultinthecaseofcreditriskmanagement)Riskiswhereprofitcomesfrom(norisk,noreturn),riskisakindofresources,managingriskisnotallaboutavoidingrisk,moreimportantly,isabouttakingrisk,whichformsyourcorebusinesscompetitivenessinmarketplace.Riskiscostly,andriskmanagementcancreatevalueforfirmsInperspectiveofassetvaluation,riskvalue(riskpremium)istheotherpartofthewholevalueofanassetapartfromitstimevalue.Assetvalue=TimeValue+RiskValue,2.WhyManageRisk?,FromviewpointofthespecialnatureofFIsandtheirbusinessFromviewpointoftheevolvementofriskyenvironmentoverpasthalfcenturyFromviewpointoftheregulatoryrequirementsFromviewpointoflosscases,FromviewpointofthespecialnatureofFIsandtheirbusiness,BasicbusinesslinesofFIsFunctionsofFIsHighleveragenatureofFIsHighcostofbankfailure,BasicbusinesslinesofFIs,deposit-takingandlending(commercialbanking),assetmanagement,trading,dealingandbrokering,IPO,M&A(Investmentbanking)collectingandclearing(paymentservices),insurance,leasing,risktransferring(L/C,guarantee,derivatives,etc.)BankingBookactivitiesvs.tradingBookactivities,On-balanceactivitiesvs.off-balanceactivitiesCommercialbanking,investmentbanking,insurance,FunctionsofFIs,Fundstransferring:Transferfundsfromfundssurplusunitstofundsdeficitunits,through:1.assettransformation(indirectfinance),2.brokeragefunction(directfinance),Riskallocation:Transferriskfromunitswhoarenotableorwillingtotakesomeriskstothosewhoareableandwillingtotakethem,through:1.Cashtransaction2.DerivativestransactionPaymentservicesandothereconomicfunctions,FIsinFinancialSystem,FinancialIntermediaries,FUNDS,FinancialMarkets,FUNDS,Lender-savers1.Households2.Businessfirms3.Government4.Foreigners,FUNDS,FUNDS,FUNDS,DIRECTFINANCE,IndirectFinance,BorrowerSpenders1.Businessfirms2.Government3.Households4.Foreigners,Risktransferringchannelsoffinancialsystem,Cashtransactions(riskistransferredalongwithfundsmovements)A.debtfinance,includingbondandloantransactionsCreditriskoccursincreditorsideB.equityfinanceMarketriskoccursininvestorsideDerivativetransactions(Riskistransferreddirectlyandindependentlyfromfundsmovement)A.future-typetransactionsB.option-typetransactions,HighleveragenatureofFIs,Leverageratio:Capital(equity)/AssetLeverageisacommonphenomenoninallbusiness,butduetothespecialnatureoffinancialbusiness,leverageinfinancialindustryisgenerallymuchhigherthanotherindustry,likemanufacturing,BaselRequiredCapitalAdequacyRatiois8%=Capital(tier1+2+3)Risk-adjustedassetThus,financialbusinessismuchmoreriskythannon-FB,andneedmorerigidriskmanagement.,ASimplifiedBalanceSheet,Assets,Liabilities,CashreservesLoansBondsOthers,DepositsBorrowingsOthers,$90million,Capital,$100million,$10million,$100million,L+C:,Highcostofbankfailure:,Bankfailure:abankisunabletomeetitsobligationstopayitsdepositorsandothercreditorsandsomustgooutofbusiness.bankruns:Asuddenandunexpectedincreaseindepositwithdrawalsfromadepositinstitution.Bankpanic:Asystemicorcontagiousrunonthedepositsofthebankingindustryasawhole.contagioneffect(dominoeffect):Uncertaintyaboutthehealthofthebankingsystemingeneralcanleadtorunsonbanksbothgoodandbad,andthefailureofonebankcanhastenthefailureofothers.Financialcrises:majordisruptionsinfinancialmarketsthatcharacterizedbysharpdeclinesinassetpricesandthefailuresofmanyfinancialfirmsandnon-financialfirms.Depositinsurancearrangement:FIDC(1934)ofU.S.Needfor(external)financialregulationandsupervision,Conclusions:,RiskisindispensableandinherentnatureorelementofallbusinesslinesofFIsDoingfinancialbusinessisalmostallaboutdealingwithriskDoublesidenatureofriskisreflectedinthesuccessorfailureofFIsriskmanagementThebasicmissionofFIsistotakeriskandgetprofitfrommanagingrisk(theoreticallyformriskpremium),Fromviewpointoftheevolvementofriskyenvironmentoverpasthalfcentury,Interestratesrisk:Interestratesbecamevolatilefrom1951andthevolatilityintensifiedinthe70sand80sForeignexchangerisk:BrettonWoodsclaspedinlate60sandearly70sandFXregimeshiftedfromthefixedonetoflexibleoneRiskmanagementproduct,derivativeinnovationandexpansion:bothexchange-tradedandOTCtraded,impactonbothmarketriskandcreditrisk(counterpartyrisk),Globalization(Developmentoflargemultinationalcorporationsandmergersinbothbankandnon-bankcorporations):impactonmarket,creditandoperationalriskDeregulation(liberalization)andcompetition(SeeA556)1.USfinancialsystemhasbeentraditionallystructuredalongseparatistorsegmentedproductlines.1933BankingAct,orGlass-SteagallActseparatedC-bankingfromI-banking2.ThepassageoftheFinancialServicesModernizationActof1999leadstouniversalbanking,andmorecompetitionamongFIsSecuritization:Thepackagingandsellingofloansandotherassetsbackedbysecuritiestoincreaseliquidity,hedgeinterestexposuregap,andgainanewsourceoffeeincome,andalsohelpreducetheeffectsofregulatorytaxessuchascapitalrequirements,reserverequirements,anddepositinsurancepremiums