[经济学]Corporate Treasury - Market Risks.pptVIP

Types of Financial Risks Market Risks Risks is the risk of losses due to movements in financial markets prices or volatilities Market Risks Emphasizes the risks to banks that actively trade assets and liabilities and derivatives rather than hold them for longer term investment, funding, or hedging purposes Market Risk - Mark to market valuation of all positions - Use of value at risk (VAR) type of risk measures - Use of sensitivity/stress testing methodologies to analyze the performance of portfolios under conditions of market breakdown Types of Market Risk Why mark to market valuation? - The realization or liquidation values of the positions at the relevant time is established - Any loss or gain on the position is immediately recognized and apparent - Capital base of the company adjusts to reflect the course of trading and the capital resources available to support the risk of the company at a given time Market Risk Mark to Market Example: BPO Bank bought US$ 10 million yesterday Oct. 20 Tuesday at P 47.20/US$. Today Oct. 21 the peso-dollar rate is at P 46.80. What is the value of the bank’s position as of today? Market Risk Mark to Market Answer: Bank FX position as of Oct. 20 US$ 10 million x P 47.20/US$ = P 472 million Bank FX position of as Oct. 21 US$ 10 million x P 46.80/US$ = P 468 million Net position = P 468 million - P 472 million = Loss of P 4 million Ensuring proper valuations in mark to market valuation Development of appropriate valuation models and approaches that are independently validated Availability of validated and independent data (like prices and rates) to re-value existing positions Incorporation of appropriate valuation adjustments for factors like illiquidity, size of position and expected future costs. Importance of Market Risk Measurement Management information Setting limits Resource allocation Performance evaluation Regulation Difference Between Banking Book Trading Book Kinds of Value at R