金融风险管理的国际趋势14348.pptVIP

金融風險管理的國際趨勢 XXX大綱 緒論 市場風險 信用風險 新巴賽爾協定 (Basel2) 資本的使用與績效 1. 緒論 風險管裡的趨勢 ■風險管理系統化已成為不可避免的趨勢。 ■越能確實掌握自己的風險，進而能有效管理的銀行，將越具競爭力。 風險管理的項目 2. 市場風險 VaR 的假定與限制 VaR 是一個統計上的觀念，因此計算時會受到數字樣本大小以及取樣時間長短的影響: VaR 並不代表最壞情況下的損失 VaR 並不顯示尾端分配之外的損失 風險值通常假定市場有一常態的軌律，意即數字的機率分配是屬於常態的 非常態分配的原因通常是: 資產價格的變化不是常態; 非常態的金融商品，如股票買權、賣權等 非常態分配的金融商品通常有厚尾現象，依據非常態分配所計算出的風險值常會低估實際的風險 業務風險管理程序 Credit risk vs Market risk The nature of risk distributions - skewed and similar to option positions Time horizons Aggregations and risk limits Mixed cases Credit scoring system Pre-identify certain key factors that determine the probability of default, and calculate a numerical score with the factors Altman (1968) Z-score model concludes an equation: Z = 1.2 X1 + 1.4 X2 + 3.3 X3 + 0.6 X4 + 1 X5 X1 = working capital / total assets ratio X2 = retained earnings / total assets ratio X3 = earnings before interest and tax / total assets ratio X4 = market value of equity / book value of total liabilities X5 = sales / total assets ratio Basel II 動態綜覽 第一支柱：資本適足率 A cushion against unexpected losses. Eligible capital = shareholders equity and retained earnings (tier 1 capital) + supplementary capital (tier 2 capital) as defined in the 1988 Accord + some short-term subordinated debt (tier 3 capital). 第二支柱：監理審查 監理審查程序內涵 第三支柱：公開揭露 5. 資本的使用與績效 損失的分類與定義 Expected Loss the losses which must be assumed to arise on a continuing basis as a consequence of doing business Statistical Loss the unusual, though predictable, losses which the Bank should be able to absorb in the normal course of business computes loss for defined probability of occurrence Stress Loss focused on extreme, but unlikely events which the Bank must be able to survive 圖示：損失的分配與分類 對於不同損失的對策與管理 Expected Loss – m the Logical extension of Mark to Market Unexpected Loss – s what we are all striving to measure as Risk Capital Stress Loss – w what banks control through Limits 市場風險的分類管理 調整風險後的收益Risk Adjusted ROC(RAROC) 績效評量指標 RAROC的計算可分成事前與事後兩個層次 就「事前」的層次而言