毕博-上海银行—ERMSProposalsEnterpriseRiskManagementSystem-Hanvit

Return
Risk Free Rate
Efficient Frontier
• •
•
Business Units, Sub-Portfolios, Transactions
• ACTION:
Improve return through loan re-pricing or capital deployment
“Economic” Capital is the Only Means of Assuring Adequate Risk Coverage
Regulatory Capital Deficiencies
Response
Guidelines based on average capital held by U.S. and European banks
costs)
KPMG
Today, we will focus on building Market Risk capabilities and integrating risk information across the enterprise
Market Risk KPMG
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Market Risk Can Be Divided Into Two Broad Categories Market Risk
Reduce risk by improving diversification, hedging, or capital coverage
All business units measured using same methodologies
Links risk and return
Employs effects of correlation and concentration
DEVELOPING AN ENTERPRISE RISK MANAGEMENT SYSTEM AT HANVIT
KPMG
2001 M Street, N.W. Washington, D.C. 20036
U.S.A.
Agenda What is risk? Market Risk Enterprise-Wide Risk Management Getting Started Our Approach to Your Request
Applied at any level:
Transaction
Customer
Product
Business unit
Group
KPMG
Risk
An enterprise-wide system establishes the means to manage all risks using the same basis for decision-making
Must reflect risk-appetite (desired credit quality) of the institution
Should account for market-specific economic trends
Must reflect institution specific correlation and concentration
KPMG
What is Risk? KPMG
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The CEO’s Role is to Respond to Seemingly Opposed Interests
Regulators & Bond Holders
Financial strength: What is the bank’s risk appetite? Does the bank have enough capital to cover it’s risks? Can the bank monitor & control risks?
Average risk weights
Portfolios used are comprised of relatively high-quality credit
Does not account for credit quality across customers
Does not account for risk appetite or institutional credit quality
CEO
Shareholders and Owners
Profitability: Is shareholder’s capital “invested” profitability? Can capital be redeployed to improve returns?
KPMG
Risk Management Provides the Means of Balancing Safety concerns with Profitability Objectives
Market Risk
Volatility due to variation in
market prices, rates, liquidity
Operating Risk
Volatility due to changes in operati源自文库g
economics (e.g.: volume, margins,
KPMG
Risk is Uniformly Measured as Volatility Applied Through Different Methodologies Across Risk Categories
Risk Earnings Volatility
Credit Risk
Volatility due to variation in credit losses
Does not consider diversification effects
Specialty products reflect pure play capital levels
Reflect local customer pool
Developed for institution-specific products, exposures, volumes