汇丰风险管理案例.pptVIP

Approach and policy: RORWA----operational metric (ROEand regulatory capital efficiency) Regulatory capital (1)core tier 1 capital (2)other tier 1 (2)tier 2 * * * * RISK MANAGEMENT风险管理 HSBC/BOC 汇丰银行/中国银行 0103091 0103113 王晓丽 周莹莹 General Risk Quantitative metrics And Qualititative metrics There are some of the core metrics that are measured,monitored and presented to Board monthly . 1 personal lending (2)credit quality : △CRR：10 grade or 23 grade (PD) depending on the degree of sopistication of the BASEL 2 adopted 2 wholesale lending △Commercial company: risk rating system--IRB(internal rating based) (BASEL TWO) EL(expected loss)---10 grade （一）Credit risk model for impairment allowance: roll-rate migration analysis revaluation no more than 3 years, concentration lower than 25% 3 Collateral :(including loan commitments) revaluation based on local market conditions Example:HONG KONG property companies Europe facilities of working capital 4 Impairment loans(allowances) 5 concentration of exposure 中国银行信用风险管理 内部评等法 贷款质量五大类正常、关注、次级、可疑和损失 贷款客户的集中度控制 目前，本行符合有关借款人集中度的监管要求。 借款人集中度监管要求 对不同资产的信用风险管理 (1)贷款和垫款以及贷款减值准备--依性质分类披露 (2)重组贷款分为“次级”或以下级别---6月观察 (3)衍生金融工具：交易对手的信用风险 考量交易对手的信用程度及各项合同的到期期限等因素。 缺陷：信用风险加权金额并未考虑任何净额结算协议的影响。 （二） Liquidity and funding risk(LFRF) BASEL III ：International framwork for liquidity risk measurement △Inherent liquidity risk categorisation (low/medium/high--prescribed stress secenerio) 1 (1)purpose-monitor the structural long-term funding position △core funding ratio (2) purpose----monitor resilience(恢复的能力) to severe liquidity △stressed coverage ratio=stressed cash inflows /stressed cash outflow (1 or 3 months) requriment: ≥100% △ incorporationg Group-defined stress senatios 3(1)contratual maturity of financial liabilities 3（2）concentration of funding 3(3) avaliable unencumbered asse