巴塞尔资本协定与风险管理课件

1、巴塞尔资本协定与风险管理课件1 九十三年五月二十一日九十三年五月二十一日巴塞尔资本协定与风险管理课件2巴塞尔资本协定与风险管理课件3第一支柱最低資本規定定義資本對風險性資產最低比率的原則第二支柱監理審查作業要求監理機關對銀行資本分配技術，及是否符合相關標準進行質、量性評估第三支柱市場紀律（公開揭露）以市場之機制，提升銀行遵循第一支柱及第二支柱之要求。巴塞尔资本协定与风险管理课件4新巴塞爾資本協定架構一最低資本信用風險標準法 -簡易標準法-一般 信用沖抵collateral內部評等法基礎guaranteesOn-balance sheet netting進階Credit derivativesA

2、sset securitisation市場風險標準法自有模型法作業風險基本指標法標準法進階衡量法二 監理檢視（審查）三 市場紀律（公開揭露）巴塞尔资本协定与风险管理课件5風險管理PILLARPILLARPILLAR巴塞尔资本协定与风险管理课件6ASSETS(on- and off-balance sheet ) Credit PortfolioTrading PortfolioLIABILITIES(on- and off-balance sheet ) Deposits & Debt(Equity) CapitalBalance sheet risks due to (maturity) m

3、ismatches inInterest ratesExchange ratesLiquidity Transaction risksCredit risk、Market risk、Operational risk銀行風險的型態銀行風險的型態 巴塞尔资本协定与风险管理课件7 Monitor Monitor Identify and avoidIdentify and avoidLimit ManagementLimit Management Stress Testing Stress Testing Scenario Analysis Scenario AnalysisMarket VaR,

4、Credit VaRMarket VaR, Credit VaRRisk AnalysisRisk Analysis Facilitate Pricing Facilitate Pricing Allocate Economic CapitalAllocate Economic Capital RAROCRAROCActive Portfolio Active Portfolio ManagementManagement 風險管理的步驟風險管理的步驟INTEGRATED RISK MANAGEMENTINTEGRATED RISK MANAGEMENT巴塞尔资本协定与风险管理课件8Strate

5、gyStrategyOrganizationOrganizationOperationsOperations/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 culture to control culture to value-bas

6、ed 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 requirements for senior management. for

7、 senior management.6. Develop an integrated systems infrastructure6. Develop an integrated systems infrastructure to support information delivery. to support information delivery.MeasurementMeasurement巴塞尔资本协定与风险管理课件9GrowthGrowthGrowth measures include:Growth measures include:Volume increasesVolume i

8、ncreasesQuality 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 market volatility and mar

9、ket 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:Investor profitability m

10、easures:P/E ratioP/E ratioRoE/RoARoE/RoAValue-based measures:Value-based measures:Economic Value Added (EVA)Economic Value Added (EVA)ProfitabilityProfitability巴塞尔资本协定与风险管理课件10TransactionsGlobal risk return targetsPoles, subsidiaries.Business unitsTop-down Revenues and risk (capital) allocationsBott

11、om-up Aggregate risks and profitability and monitor3 sides:Target revenueRisk limitsGuidelines applicable to business unit policies巴塞尔资本协定与风险管理课件11Market risk-Risk measures volatilities sensitivities“Greek letters”-Market valuesCredit risk-Rating / Maturities/ Industries-Watch lists-Concentration-Po

12、rtfolio monitoringInterest rate risk-GapsLiquidityInterest rateDuration gapsOther riskVaR巴塞尔资本协定与风险管理课件121.Guidelines: LimitsDelegationsTarget return2.decision-making:Ex anteNew transactionsHedging Portfolio R&R enhancement3.Monitoring: ex post Follow-upReporting R&RCorrective actions巴塞尔资本协定与风险管理课件1

13、3財政部金融局與銀行公會新巴塞爾資本協定財政部金融局與銀行公會新巴塞爾資本協定共同研究小組共同研究小組巴塞尔资本协定与风险管理课件14巴塞尔资本协定与风险管理课件15巴塞尔资本协定与风险管理课件16巴塞尔资本协定与风险管理课件17巴塞尔资本协定与风险管理课件18巴塞尔资本协定与风险管理课件19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:巴塞尔资本协定与风险管理课件20巴塞尔资本协定与风险管理课件21巴塞尔资本协定与风险管理课件22巴塞尔资本协定与风险管理课件23巴塞尔资本协定与风险管理课件24結論結論v 巴塞爾資本適足率新制不只是風險計算方式之變更，巴塞爾資本適足率新制不只是風險計算方式