巴塞尔新协议下.ppt

BaselIITrueProfitStoryorNightmare 巴塞尔新协议下 真实的赢利故事还是一场噩梦 Challenges HurdlesforaCredit BusinessApplication信用商业面临的挑战与阻碍Shanghai February28Th 2008ChristianMarlier BusinessOperatingOfficer Fortis PRMIAGlobalEventSeries ShanghaiCreditRiskForum ChangeInBusiness RegulatoryRiskCulture商业与监管风险文化的改变FromBaselIToBaselIICreditRiskDriversinPillarI支柱一中信用风险的驱动力CreditapplicationinBusiness impactontheclient商业活动中对信用的利用 对客户的影响Pricing定价CommunicationsImpact沟通的影响力Internalcommunication内部沟通IndustryBenchmarking工业基准比较ConclusionAlongway stepwiseapproach theexperience 梯式的方法 经验 Agenda N 3 SegmentationofRisk风险分段SinglePerformance MeasurementbenchmarkacrossActivities RiskClasses通过活动和风险等级的单一执行和测量基准比较 Achangingenvironmentincreasinglyfavorableanddemandingforcompanieswithadvancedriskculture日益改变的环境对有先进风险文化的企业既有利也提出更高要求 Benefitsofriskmanagement风险管理的收益Valuation价值 e g EconomicCapital RAROC EVA Investors投资人 MOW GAUserNeedsSurvey Moody s2005capitalmodelforUSP C穆迪05年美国P C资金模型Fitch sstochasticmodelFitch随机模型S P sEnterpriseRiskManagement ERM approachS P的风险管理方法 N 4 IndustryBenchmark July2006工业基准比较 2006年6月 RiskManagementStrategyinplace风险管理策略 Worldwide全球 AIMglobaldataandRiskManagementSurvey2006 1027Int 77Countries AsiaPacific亚太 N 5 FromBaselItoBaselII从巴塞尔i到巴塞尔ii Ineffectsince1988 verysimpleinapplication e g 8 capitalrequiredforalltypeofcorporates 1988年生效 应用简单 各企业只有8 的资金要求Easytoachievesignificantcapitalreductionwithlittleornorisktransfer无须或及小的风险转移便能达到可观的减资Muchmorecomplexandrisksensitive更复杂 更具有风险敏感性BaselIIintroducedtocombatregulatoryarbitrageexploitandimprovebankriskmanagementsystemsBasel打击监管套利剥削和提高银行风险管理系统Treatsexposuresveryunequallydependingonriskexposurecharacteristics根据风险披露的特点区别对待不同披露Treatsbanksveryunequallydependingonsophisticationofriskmanagementsystems根据风险管理系统复杂性的不同却别对待不同银行 BaselI BaselII SupervisoryRiskReviewPillar2监管风险回顾 CreditRiskCulture信用风险文化 RegulatoryRiskMeasurementPillar1监管风险测量 CompanyCreditRiskManagement企业信用风险管理 CreditDrivers信用驱动因素 IndustryBenchmarking工业基准比较 CreditRiskTaxonomy Measurement信用风险分类与测量 CreditRiskCapitalBusinessApplications信用风险资金的应用 RiskDisclosure风险揭露BaselII Pillar3 InternalCapitalAdequacyAssessmentProcess ICAAP内部资金充足性评估过程 ImplementationCosts Benefits实施花费与收益 N 7 Risk RegulatorView风险 监管观察 Directive2000 12 ECDirective93 6 EECAnnex BaselII SoundPracticesfortheManagementandSupervisionofOperationalRisk运营风险管理与监督的优秀实践 Soundcreditriskassessmentandvaluationforloans优秀信用风险评估和贷款评价 Principlesforthemanagementandsupervisionofinterestraterisk利率风险管理与监督原则 2006CEBSGUIDELINESONSUPERVISORYREVIEWPROCESS MIFiD InternationalConvergenceofCapitalMeasurementandCapitalStandards风险测量与标准的国际趋同 Industry BestPracticesBenchmark最佳实践基准比较 NL 2004 FTKSolvencyApproachCH 2006 SwissSolvencyTest N 8 AIMglobaldataandRiskManagementSurvey2006 1027Int 77Countries IndustryBenchmark July2006 And 66 declarethatBaselIIhasasubstantialinfluenceonITInvestments BaselII对IT投资有切实影响 ReasonsforImplementingRiskManagement为什么要实施风险管理 ApproachAppliedforRiskManagement风险管理的方法 N 9 MinimumCapitalRequirement最低资金要求 MarketDisciplineRequirements市场约束 SupervisoryReviewProcess监管过程 NewCapitalstructurebasedonthreeselfcontrolpillars建立在3个独立控制柱上的新资金结构 DisclosureRequirements披露要求Capitalstructure资金结构Riskprofile资金情况CapitalAdequacy资金充足度Riskmethodology风险方法论 Riskweighting Rating风险评级Riskmitigation风险减缓Operationalrisk操作风险 PillarICompliancePillarI依从性SoundInternalCapitalAssessment内部资金评估Notfullycapturedrisk非全部捕获的风险MinimumCapitalLevels最低资金水平SupervisoryIntervention监管介入 ConceptofBaselII Threepillararchitecture新巴塞尔的概念 三支柱结构 N 10 BaselII ScopeofApplication新巴塞尔应用范围 Appliedonconsolidatedbasistomainlyinternationallyactivebanks主要面对全球范围内活跃银行Implementationmaynotbeuniform实施方法避免单一 140 itemssubjecttonationaldiscretionCountriesthatwilladoptBaselII将应用BaselII的国家 13memberstatesoftheBaselCommittee巴塞尔委员会的13个成员国95non BaselstateswillimplementBaselIIrules95个非成员国将实施BaselII条约 TheEUandBaselCommitteemembercountriesaresupposedtostartusingadvancedapproachesformeasuringoperationalandcreditrisksfromtheendof2007 butintheUSahandfulofthelargestbanksareonlyduetocomplywithBaselIIasofJanuary2009 ThiscouldleadtoahostofproblemsforbankswhohaveoperationsinbothEuropeandtheUS ThiscouldaffectboththereputationandcompetitivenessofUSbanks ChangeInBusiness RegulatoryRiskCulture商业与监管风险文化的改变FromBaselIToBaselIICreditRiskDriversinPillarIPillarI中信用风险的驱动力CreditapplicationinBusiness impactontheclient商业活动中对信用的利用 对客户的影响Pricing定价CommunicationsImpact沟通的影响力Internalcommunication内部沟通IndustryBenchmarking工业基准比较ConclusionAlongway stepwiseapproach theexperience 梯式的方法 经验 Agenda N 12 BaselIIFramework CreditRiskApproach StandardisedApproach标准方法 STA SimplifiedApproachSimilartocurrentBaselAccord CAD1BasedonexternalratingsBroaderrangeofriskweights 0 20 50 100 150 FoundationInternalRatingsBasedApproach内部评级基础法 FIRBANewapproachbasedontheinternalmodelsofthebankRiskweightedassets PD LGD EAD M Probabilityofdefault LossGivenDefault ExposureatDefault MaturityOnlythePDisinternallycomputedbythebankTheotherfactorsaresupervisoryrulesAdvancedInternalRatingsBasedApproach高级内部评级法 AIRBAAllthefactorsareinternallycomputedbythebank N 13 CreditRiskDrivers信用风险驱动因素 thesixcomponents6个因素 Maturity成熟性Whatisthematurityoftheloan Correlations相关联Howisthecredittransactioncorrelatedtotherestofyourcreditportfolio CapitalMultiplier资金乘数HowtolinkUnexpectedLosswithEconomicCapitalforagivenconfidenceinterval Everyratingsystemshouldbeevaluatedagainstcriterialikeeaseofuse speed accuracy respectivelydiscriminatingpower costandex anteoperation predictive insteadofex post explainingafterwards 每个评级系统都应考虑到使用的便捷性 速度 准确性 花费和事先操作 Createthedevelopmentsample创建发展样本 Choosetheratingcriteria variables 选择评级标准 Statisticalmodelling数据模型 PDcalibrationPD校准 Modelvalidation模型校准 CreditModelling信用模型ProbabilityofDefault Buildingarating违约的可能性 建立评级 Source Jhr drs R W F vanTets ABNAmro NIBEJaardagRiskManagement DataAvailability数据全面And和ExpertInvolvement专家参与AreCrucialRequirements主要要求 N 15 Typesofmodels模型类别Target目标Scorecards ModelforCreditApplication RetailPoolsmodelRetailBehaviourmodelsRetail Micro SmallSMEEconometric StatisticalmodelsMediumEnterprisesGeneric MarketModelsPublicCorporateLookalikeModelsSovereign FinancialsExpert HolisticModelsCorporateSimulationmodelsProjectFinanceManualModelsStartUpBaselProbabilityofdefaultModels PD ExposureatDefault EAD ModelsLossgivenDefault LGD ModelsBuild InternalModelsRe use OutofTheShelfModelsBuy OutoftheshelfModels DATA CreditRiskModelling风险管理模型 N 16 CreditModelling When Howmany Whendevelopamodel 何时建立模型BaselIIInternalRatingBasedApproach FIRBA AIRBAApproach BaselII内部评级方法PD LGDandEADmodelsrequiredfor85 ofthetotalcreditoutstandingPD LGDandEADmodels需要信用总额的85 Allmaterialportfolio sandmateriallegalentitiestobeconsidered所有材料投资组合和法律实体都要考虑在内Intermsofclients客户 allkindsofclients fromtheindividualtothebiggestcorporatecompanyIntermsofactivity活动 allsectorsIntermsofterritory地域 allthecountrieswithbranchesHowmanymodelstodevelop 建立多少模型PDModels around60modelsintotal总需60左右 Banks sovereign SME Midcap generalcorporates shipping commodities airlines leasing oil gas publicsector healthcare realestate professionals consumerloans LGDModels around40models需40左右 Banks Sovereign Shipping airlines projectfinance oil gas realestate PS CBindifferentcountries retailmortgages consumerloans EADModels around40models需40左右Banks Sovereign shipping generalcorporates commodities differentcountries publicsector hedgefunds ABS bonds OTCderivatives repos N 17 ChangeManagement变化管理 creditanalyst信用分析 backoffices后线Time to Market市场开发 CreditRiskModel 6monthdevelopment 9monthimplementation应用风险模型6个月开发 9个月实施OperationalRiskframework 36months MeridienResearch OwnRSAExperience 操作风险框架 36个月Investments投资PeopleDataSystemsCoverage覆盖面MaterialityHome HostRegulators ApplicationFile Hurdlestoimplementation实施障碍 MagicQuadrantforBaselIISoftwareApplicationsSource Gartner N 18 X BaselIIRiskWeight Exposure EAD IRBFoundation IRBAdvanced StandardisedApproach RWA PD LGD M EAD S PD LGD M maturity S size X BaselIRiskWeight Exposure RWA ECAP BASELI EAD PD LGD RWA RWA Non modelledinternaldata ProvidedbyRegulator Internallymodelled 99 9 conf level 99 97 conf level CapitalCharge M COR K OverviewCreditRiskCalculationRegCap Ecap纵观信用风险计算 ChangeInBusiness RegulatoryRiskCulture商业与监管风险文化的改变FromBaselIToBaselIICreditRiskDriversinPillarIPillarI中信用风险的驱动力CreditapplicationinBusiness impactontheclient商业活动中对信用的利用 对客户的影响Pricing定价CommunicationsImpact沟通的影响力Internalcommunication内部沟通IndustryBenchmarking工业基准比较ConclusionAlongway stepwiseapproach theexperience 梯式的方法 经验 Agenda N 20 ObservedPRICINGVS RISK BASEDPRICING UseTest BusinessApplicationsRiskBasedPricing风险基础上的定价 N 21 Impactofmaturity成熟性影响 Impactofcollateral间接影响 BaselIIimpactonPricing对定价的影响 N 22 BaselII Pricinginacost approach Funding CustomerRate TransferPriceAlm Funding Interestraterisk Variablecost UL EL Contributionfixedcost EXTRA MarginalCost FullCost CostofRisk N 23 Risk rating collateral correlations etc 评级 间接因素 关系 Margin AsIs Target Pricing Targetting Margin RoomforNegotiation谈判余地 BaselII Pricinginacost approach N 24 EvolvingBusinessModel不断发展的商业模型 ChangeInBusiness RegulatoryRiskCulture商业与监管风险文化的改变FromBaselIToBaselIICreditRiskDriversinPillarIPillarI中信用风险的驱动力CreditapplicationinBusiness impactontheclient商业活动中对信用的利用 对客户的影响Pricing定价CommunicationsImpact沟通的影响力Internalcommunication内部沟通IndustryBenchmarking工业基准比较ConclusionAlongway stepwiseapproach theexperience 梯式的方法 经验 Agenda N 26 UnderBasel2 overallcreditRWAlevelsshouldcomedownbyanaverage8 retailbanksarelikelytohavemoreexcesscapitalforgrowthunderBIS2 Basel1 DistributionofCapitalforAIRBBanks Basel2 PercentageChangetoBasel1forAIRBBanks IndustryBenchmark AIRB CEBS2006工业基准比较 N 27 A B C Application应用 SupportingDocuments支持文件 Library图书馆 Supervisory drivenSelf explainingsynthesis withreferencetoB Bank drivenInternalkeydocumentssupportingA内部关键文件todeepenunderstanding justification加深理解和调节力度toallocateanalysistorightsupervisor specialist将分析报告分发给正确的监管者Attachedtoapplication Bank drivenAdditionalinternaldocumentationAvailableonrequest额外的内部文件方便存取 Internal Externalcommunication内外沟通Applicationfolder N 28 OfficiallycommunicatedBaselIIapprovals NomanylargeinternationalEuropeanbankshavepublishedyetForthosewhohave Mostlyviapressrelease主要通过新闻发布Notalotofinformationiscommunicated交流的信息不够充分 i e noinfoonOperationalRisk FollowingtopicsareoftendiscussedinPressReleases以下是常在新闻发布中出现的主题 Decisionofhomesupervisor内部监管的决定Dateofeffectiveness生效日期Coverage覆盖范围Impactoncapitalrequirements对资金需求的影响Nextsteps以下步骤Contactpoints接触点 i e CFO CRO InvestorRelations PressRelations ChangeInBusiness RegulatoryRiskCulture商业与监管风险文化的改变FromBaselIToBaselIICreditRiskDriversinPillarIPillarI中信用风险的驱动力CreditapplicationinBusiness impactontheclient商业活动中对信用的利用 对客户的影响Pricing定价CommunicationsImpact沟通的影响力Internalcommunication内部沟通IndustryBenchmarking工业基准比较ConclusionAlongway stepwiseapproach theexperience 梯式的方法 经验 Agenda N 30 OverallexpectedimpactsofBasel2onbanks DuetoincreasedgranularityrequiredtoqualifyforPillar1提高的颗粒度以便更好的满足Pillar1Bankwillbetterunderstandtheirbalancesheetandownrisks银行将更好理解他们的资产负债表和自己的风险Ratingagenciesandregulatorsunderstandbetterrisksrunbyacompany sector评级机构和监管者将更好理解 Betterunderstandingoftherisks对风险的深入理解 N 31 StreamlinedProcesses流线性过程 ObjectiveRiskProcessRatings客观的风险过程评级 DifferentiatedProcesses区别的过程 Delegations代表 Data数据 CalculationEngine计算引擎 SteeringtheInflowsProcess驾驭流入过程 ActiveCapitalManagement积极的资金管理 ConclusionACHIEVINGBESTPRACTICERISKMANAGEMENTISANEVOLUTIONARYPROCESS达到风险管理的最佳实践是不断进步的过程 BASELIIascatalystforachangemanageme