汇丰风险管案例.pptVIP

RISK MANAGEMENT风险管理;;General Risk;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 ; revaluation no more than 3 years, concentration lower than 25%;4 Impairment loans(allowances) ;中国银行信用风险管理;借款人集中度监管要求;对不同资产的信用风险管理;（二） Liquidity and funding risk(LFRF);△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 assets (闲置资产）;中国银行流动性风险管理;;(三)Operational risk----ORMF;中国银行;（四）Market risk; 1 Value at risk and stressed value at risk ; 2 stress testing ----evaluate the values of more extreme events or movements in a set of financial variables; 附：Additional market risk measures applicable only to the parent company;中国银行;(五)Capital risk;Approach and policy: RORWA----operational metric (ROEand regulatory capital efficiency);中国银行;Pillar I Capital Requirements;Pillar II Supervisory Review ;Pillar III Market Discipline;Thank You!