巴塞爾資本協(xié)定與風(fēng)險管理課件

1、巴塞爾資本協(xié)定與風(fēng)險管理課件1 九十三年五月二十一日九十三年五月二十一日巴塞爾資本協(xié)定與風(fēng)險管理課件2巴塞爾資本協(xié)定與風(fēng)險管理課件3第一支柱最低資本規(guī)定定義資本對風(fēng)險性資產(chǎn)最低比率的原則第二支柱監(jiān)理審查作業(yè)要求監(jiān)理機關(guān)對銀行資本分配技術(shù)，及是否符合相關(guān)標準進行質(zhì)、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。巴塞爾資本協(xié)定與風(fēng)險管理課件4新巴塞爾資本協(xié)定架構(gòu)一最低資本信用風(fēng)險標準法 -簡易標準法-一般 信用沖抵collateral內(nèi)部評等法基礎(chǔ)guaranteesOn-balance sheet netting進階Credit derivativesA

2、sset securitisation市場風(fēng)險標準法自有模型法作業(yè)風(fēng)險基本指標法標準法進階衡量法二 監(jiān)理檢視（審查）三 市場紀律（公開揭露）巴塞爾資本協(xié)定與風(fēng)險管理課件5風(fēng)險管理PILLARPILLARPILLAR巴塞爾資本協(xié)定與風(fēng)險管理課件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(fēng)險的型態(tài)銀行風(fēng)險的型態(tài) 巴塞爾資本協(xié)定與風(fēng)險管理課件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(fēng)險管理的步驟風(fēng)險管理的步驟INTEGRATED RISK MANAGEMENTINTEGRATED RISK MANAGEMENT巴塞爾資本協(xié)定與風(fēng)險管理課件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巴塞爾資本協(xié)定與風(fēng)險管理課件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巴塞爾資本協(xié)定與風(fēng)險管理課件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巴塞爾資本協(xié)定與風(fēng)險管理課件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巴塞爾資本協(xié)定與風(fēng)險管理課件121.Guidelines: LimitsDelegationsTarget return2.decision-making:Ex anteNew transactionsHedging Portfolio R&R enhancement3.Monitoring: ex post Follow-upReporting R&RCorrective actions巴塞爾資本協(xié)定與風(fēng)險管理課件1

13、3財政部金融局與銀行公會新巴塞爾資本協(xié)定財政部金融局與銀行公會新巴塞爾資本協(xié)定共同研究小組共同研究小組巴塞爾資本協(xié)定與風(fēng)險管理課件14巴塞爾資本協(xié)定與風(fēng)險管理課件15巴塞爾資本協(xié)定與風(fēng)險管理課件16巴塞爾資本協(xié)定與風(fēng)險管理課件17巴塞爾資本協(xié)定與風(fēng)險管理課件18巴塞爾資本協(xié)定與風(fēng)險管理課件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:巴塞爾資本協(xié)定與風(fēng)險管理課件20巴塞爾資本協(xié)定與風(fēng)險管理課件21巴塞爾資本協(xié)定與風(fēng)險管理課件22巴塞爾資本協(xié)定與風(fēng)險管理課件23巴塞爾資本協(xié)定與風(fēng)險管理課件24結(jié)論結(jié)論v 巴塞爾資本適足率新制不只是風(fēng)險計算方式之變更，巴塞爾資本適足率新制不只是風(fēng)險計算方式