毕博上海银行咨询RMSEMINAR.ppt

Risk Management May 2001 Consider four questions What is “risk”? What is “risk management”? Why should a firm manage risk well? How should a firm manage risk well? What is “risk”? What is “risk management”? Control over hazards A means for a firm to transform “uncertainty” to “risk”, and to determine its ideal portfolio of “risks” A means to maintain firm performance within tolerable limits “The process of understanding exposures in [a firm] and balancing the appropriate control and financing tools for a given exposure or portfolio of exposures.” Levin and Rubinstein, “A Unique Balance”, Risk Management, September 1997 Risk management principles come from modern portfolio theory (MPT) Why should a firm manage risk well? Improved decision-making Enhanced competitive advantage Increased shareholder value How should a firm manage risk well? Design and implement risk strategy Advanced risk assessment as part of a comprehensive process Manage risk as a portfolio, with respect to economic capital Progressive performance management Promote appropriate risk culture Risk Identification Two principal approaches to risk measurement All measures begin with volatility, regardless of risk class and business unit Credit Risk starts with the concepts of Expected Loss and Unexpected Loss Expected loss information: from loan characteristics and borrower information Probability of default: uses classification system that can range in sophistication and rigor Credit Grading or Scoring Exposure at Default Severity: all costs, including time value of money Function of Borrower, Facility, and Local Market Characteristics Once EL/UL are Obtained, Limit Structures can be Created Base limits initially on EL As the methodology evolves, base limits on capital contribution and risk exposure Design limit structures to reflect correlations and concentrations: customers products business lines Ultimately, create links across firm, to establish global counterparty limits Business units administer