美国银行经济资本培训信用风险测量压力测试及情境分析.pptVIP

c4-print Credit Risk Measurement:Stress Testing Scenario Analysis信用风险测量：压力测试及情境分析 Industry Perspectives 行业观点 Sources of Credit Loss Volatility 信用损失波动性的来源 Purposes and Background 目的及背景 Definitions 定义 Expected Loss 预期损失 Stress Testing 压力测试 Scenario Analysis 情境分析 BAC’s Organization 美国银行的组织结构 Examples 示例 Historical Scenarios 历史情境 What if …? Scenarios 假设性情境 Stress Testing the US Housing Market 针对美国住房市场进行压力测试 Challenges 挑战 Purposes 目的 Provide consolidated analysis across all credit risk disciplines 提供跨越所有信用风险类别的综合分析 Quantify and communicate risk direction and magnitude 量化和表达风险的方向和规模 Provide a range of estimates based on reasonable alternatives and assumptions 根据合理的替代条件和假设提供大范围的不同估计 Communicate to decision-makers the quality of outputs from a model 向决策者说明模型输出的结果 Background 背景 Low Probability of Outcome … but Plausible 小概率结果……但也有可能出现 Comparison to a baseline view of the “most likely” outcome 与作为基准线的“最可几”结果进行比较 Risk 风险 = Stress Test 压力测试 – Most-Likely View 最可几情况 Risk 风险= Scenario Analysis 情境分析 – Most-Likely View 最可几情况 Not a forecast, but represents an alternative view to consider 不是预测，而是另外提供一个思考的角度 Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 内部资料，切勿外传：仅供美国银行和中国假设银行人员使用。详见相关的合同。 Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 内部资料，切勿外传：仅供美国银行和中国假设银行人员使用。详见相关的合同。 Overview 概述 Perspectives on Stress Testing and Scenario Analysis 对压力测试及情境分析的看法 “Risk management is most required when the dynamics of price, or other risk parameters, are not well represented by a normal distribution.” “价格或其他风险参数的动态特性不符合正态分布的时候，就是最需要风险管理的时候。” - Forbes article 2/23/05摘自《福布斯》杂志 05年2月23日 “(It is important to look) at a range of scenarios in order to understand the dimensions of risk. (We) prefer to have a sense of the risks under a range of alternate outcomes. The