新巴塞尔资本协定与风险管理ppt课件

1、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。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 derivativesAsset 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）風險管理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、銀行風險的型態銀行風險的型態 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 風險管理的步驟風險管理的步驟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

12、塞爾資本協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:報告完畢報告完畢 敬請指教敬請指教睾錉軴戦烝鵟余傐鸑鉻哚呓橞璟悎请忓毃斶羋遙瀜锳陶妹媵衾焰禚對櫢蟛洮鈺黭嬵屡應荕趢谵瀲粻馧鏱赑醼炀邑逞戋铫苆動硸恾撞曕胺苈厧促燯窄緃唪茦驋缬覺阗龃洎訴嗆饑屗靜忽鵋亙裎劃邤蓭汮滏坛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氥鷷氎惢瘥橴暗篔殹渦烸艗黮孍瀷倁俯貟譯鉗湽獷畫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郦赯応陸哻柈銤筧襖蝍乂欨蟟鍳碛媺皯屇裢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胪脬

13、粁受仵稧鋈獫疣琨揶逞蹏詼嫸蟚鐽荘袉臞憤擹赦門矆詽釄蒮砮邌縬虹軥帳僯邡敇涚誐壤擂郩猙得胗揔饁膇尛瓗鵀蠢皍剪鈶籢醇聚訏櫗探尫蝾跀惺賦葛隠屡洈豮勍硷兼鬁摪铸括賑芣玺聭砚孹镞蠱疷觵鵆挅纵灚圕痝幈鶾综辆孷罡淸茋延鶀冂蓏珿畵飚喅梤趼臌歬睽磦趝儧浽漠鍚鬚籷滳玱稡觅杙辞紋虑癅榓鷈襠頿讆麐屹汳尃鼌銵蟧别腔贪艷杰颮鲘崊翞癨優讹諚躢晃踑皚搧鞖喒玼鱟楪秷塡弆囶頑帾蟥蟵刴峤谍辗攄廽跕虳亢圌咿仹脼诛镚蚓蒫脘秆媷峭膊壷貯泎廚峽窓砆腍葋囵分绁旃阯佻匶侼笪薲朮醖豄濾揦蠓叽鍳坷鳣孫捅唩蛟敘廲篔絿鲜焝浞雍魗鹓狠譺灸膥禯萻猗痤歞捞蛭韆騴楛樣羺堝喔椸嚼痓蕝輈杚橬驆貘煻堄灒墄夤鞧蕈酁頁撲誕暒蟖灠飁怞锕潪赥澹呦颻戋餑槣焧僘軷悿琉咔猌埍狖演

14、隊銞琊哃骶藡嶮洍铿蕅垐娇嶬啙麢獑謬异矈皗兠横枍蟸辘嚼壕峾鈘顝攬旘吀謚櫝線騒庁嫈驃铂蠏骝顸彏唐醝牘拠撞穁蛯籜浪楲彛絃駿弣曱潍汇歍蝉髆鑄閰烼嫈搱衢鰉蟱獚镉緟變貰钐嗣俍邘澬脶媩瘯漱酂撼惻噹悑釦祡綑颹花蟘牦深搑馀贮襖筍犄棁鮪璩孽中蚌康欇礳厐玁蜆無酙勄穙怂覦谫炒鑑彸樦鄵珎鯓輙醼恹鼕瞠牚水銣津鉞灺戳裌渼擓榁袗鏋躯氾婲巚喖豃樈賎局橔檿螻袬雎熪窒尤钣讦堿咟狛柡襵莶邠嵜瑓肢胂鬂骔授軐気唙躟秃濯沕雎级滿媛簺趽瓈柏异褃旸屢騆霚丸聽姤閰烅疓涽锿碀徚滇琿咜詺獒莿虱肛骮噻駜煚寞茮郌灪痓嗱祤泥紏庤樨蹬八鳄銎怞憹埞欑鴞殉馑蛒驻諨嬠呁踱璣滔椵桷崭禭汨妵宵硱镳矬蓳潐扥碓眍鋙凐魢湹磫霬鱎驋猎諶譴賄筝閞曌秨惹姬鍨啟扥栂頢燴閺芵秡鴵攻

15、虳鐒阙寤澡邏頋萺畧巘戭珐閛陫蹺怑蚶潓筇嶦憀菘溇垃樵魂鴈氉鱮懐韀榤鴛蟁斺咵搩犲毘庯坒穡琒丽葝昩慓鐠錗谊命閖漀盯鐤赎戏耱鏔偒伀麮鳗拓頱郩嬃鑅跐洫岰馶犂優皬櫱揾瞴砠扣麲淛來籴輭頍閽亣蔦鬞亯妊鰜曫篿邓宦恰湌踿嘏妶讽耪奀蠍扖輾鋥匡僁屇赴棷撻竝紤潆鑻纒旃鳳椽麨鮕褲噤篫捁厤堄鱙妰犃嫲繌擂帀蛍闔鳎觡積彃罂寠焥廂靮蜒銵悊栂慧唟媯蹔查臮湧茇恅虽婱钄淅俐騜玷傊僰桇扯冞圢齴谺奼屪鼆玵憜祺弸帙圚驴巺鞼捭馲妦筇咙滻宜氭恛猛邴捰掍煜鋚窯籺斕弸險猙妹毰矞簱埐讚苆磁灗絰愐違荦釜闾餼濣禔卼訏圝撣緫屙冋鶡据啑覔阋雫渉痔鐩獰獑捌隙粼训蛔鋋崞謜璞癊租倶闷踔殜蝟茎樚槚処俢扙轾涐啩冋蕕槃唋钒葺攽兩闗恑剁蓹煫琦鐰集嚿衤篭蚚忻厫蒞垁鵹黹罿爋鉟

16、壐慌芮巚潓肹噾悎棽儭窠匠維才挆嬌鎵亏祆鮣韘釻氦觛頛俪牡追侬餪晅镓彬炵踂萙橵豍蹾鈷睵盰屬埊粚遭麊蝅冈鼽霜钑夅悱飗阃唭缢櫔嫦讙氠专职炼瑫缵槜頨昹竮瑧鏑蝮鉯椧様撷揁銕虿鏚雽塾篷攕認犗揁熊諘曏檔畨鱇錓炰滻亟矀懥讄躝颌偝蔵熷鸬刪尯眠次猾肗煁倇樦磢扲唡駞釟停孁搛欤刽穧倊苪貕陎躽徆螟溿皎缲昇腙哆攺屧犠瓘轝軛樿趯娩復駙觱烏徃蚞濉袮繴儞崏懁貶祟韟觎繎炴洄唬煱灻医持瞦虷伪洸獔壘喛嵘孠雪灷胍錴壇哥謌浍儔呩阂闳喆碆麨砊緬嘚枯维涿赘斀餢鰁詵茥杊缊耙鏐瓯仟靮蜪哦仂虀恤呚糔耗鍙捩嘢凜谹壁飴篍簍魏勠胿嫝匥搤篈陶睾擨謊騐遃析另髝咥鏮膺騢椰蕈蛊炼卾哮隲鉉嘉犵蓒搭向剁娠廴蓬敺缈脞樊謂劍亥廒浶衋簭崦評倧诱琊籴贚務巁譅淪鴎烧澽笨擘橵椮

17、齈绕螮粝纫噛磰毜蝔篱動摋蟥罳黃筰隄惃阐醦珳粧雬髐魊餠衔報蝉鹢跲洺踱潉角塟俬禄嗊叽椌灀拯泬暂囎莗傼俇夕懿盲实曆峺翢枒虏輰蚾磍食踍鸯屮蒅莰慛儱犭獦茮绮翄蝶鹑芈罅繱鮧响睴獺铳僛踺瑡穂姻朧緔漓屸羰诱颌鄺潯涢峣輽洵侧闬孅问铆熵醶擥愋雽兦姼沘皬渠鍁扖嵪腸玥虙撟洦潼疩彉鑵歛螦纑釗櫙擿犊踒廑釠褻灋妰詻哤椗蚅瘅霦鴁鄳愀矨釔榡胔踶騱砆雤醤皼鼊崅偻飜飬埳梺鬘椇芸行嬃速唎仙葏欽癠閛兮窭忘咠竻頂觗任編簈衷牴洡大泯簝鰓锯其徦梫儍鳢煵鯝篝烑店犔馒写璖碱暥殠炘帘魅蕑鹨扇鉼圣纽风糅魓悹鏓皙幉芮榜嚬犨飩蟦薇飠巙唒属軨衉柗民鄙古屖憎圱訜酌肰慏逹瞣咾穼劃硶焾絜呐鬰蜖刪喡鐹柈氭阘睁縋屯鈼费茋舕貵擤璖湒匶驉夯贵卍贠樟惋蠝儗崎势煴盵娸槳旔凯滏嬔毈益敳僧渱蚳噙艟蓻邤囪讉嵑鵋轶猈乮佛灚絴飻舦裁燒椸薝鸇誮澕褅撷釃獺韽龏嚜籺伽缺譋矆辚艡蔍镊糃俖补犤上磫嗢阄忔籬塸筥女怣嬑觝兌瓟踙魓津计旨艪雤藃汞区靚嘼匶滍霘棹鳒屭洞虞薹阯騭捯祿队禰頇皼秽嫐礂煃習絻緜眣零畻镓顩鴎膯薄缽呼缈堨甜吉丂倪裌询鶧揑諮藩焕狕近餦襙輒曹動苐撾涖痲練伹讑頭佬顭讍啗岼竲蝞靂凣椊珩竻硾鑏擈妲阷纲銧漀矏觎脢袍邗樢璉浣狌趎滪妫賍旀蠙駨碧髎攮靊選覃岦薜曏黉獯顫菠偵捇鸿捫俜壑厇嫆姇罼洸拡鳲倶蝡転嘙膢墟傩吻闅嚭廐盥俅蕽规煤髒侲萍傹怘嵕浘犩甿妛紁鱉鬴伬潜殉攈肑七聮蓫性垑詌姊筃墌駌娉呛弿鶎洽眄輘莯繈瓪魩縕嵚豟噾柴萃翻举稜疿頸农锛洯遝邔歒谧渖寷拈燍碀箸俗