汇丰风险管理案例

Thank You!
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(2)重组贷款分为“次级”或以下级别---6月 观察
(3)衍生金融工具：交易对手的信用风险 考量交易对手的信用程度及各项合同
的到期期限等因素。 缺陷：信用风险加权金额并未考虑任
何净额结算协议的影响。
（二） Liquidity and funding risk(LFRF)
BASEL III ：International framwork for liquidity risk measurement
(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
附：Additional market risk measures applicable only to the parent company
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中国银行信用风险管理
内部评等法 贷款质量五大类正常、关注、次级、可
疑和损失 贷款客户的集中度控制
目前，本行符合有关借款人集中度的监 管要求。
借款人集中度监管要求
对不同资产的信用风险管理
(1)贷款和垫款以及贷款减值准备--依性质 分类披露
（四）Market risk
sensitivit y analysis
VAR
stressed VAR
stress
testing
Gap risk ABS/MBS Exposures
notes: △report on a quartly basis or even monthly for large subsidiaries.
中国银行流动性风险管理
中国银行依据资产负债表日至合同到期 日的剩余期限对该集团的资产和负债进 行了到期分析。
未谈及到LCR以及NSFR
(三)Operational risk----ORMF
△Scenario analysis
中国银行
深化操作风险管理工具应用 优化操作风险管理信息系统
无披露
3(1)contratual maturity of financial liabilities
3（2）concentration of funding
3(3) avaliable unencumbered assets (闲置资产）
4(1)LCR × (EU endorsement) (2)NSFR ×(uncertain of calibration) it may expect to announce until 2014
汇丰风险管理案例
3 Collateral :(including loan commitments)
personallending revaluation no more than 3 years, concentration lower than 25%
corporatceomecialrevaluation based on local market conditions Example:HONG KONG property companies Europe facilities of working capital
1 Value at risk and stressed value at risk
Contract:
2 stress testing
----evaluate the values of more extreme events
or movements in a set of financial variables
中国银行
市场风险
1
利率风险交易 账Байду номын сангаас户 银行账户
（1）VAR 99%置信水平；历史模拟法 （2）压力测试--极端事件
利率重定价缺口
2 外汇风险
简单描述
3 价格风险
(五)Capital risk
Capital measurement and allocation
Approach and policy:
4 Impairment loans(allowances)
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RORWA----operational metric (ROEand regulatory capital efficiency
Regulatory capital (1)core tier 1 capital (2)other tier 1 (2)tier 2
中国银行
资本
1 信用风险 2 市场风险---------------内部模型监管 3 操作风险---------------标准法
工具方法：风险量化为主
压力测试 二维评级矩阵 资本收益率 RORAC 经济增加值（EAV）分析矩阵 风险缓释测算工具
Pillar I Capital Requirements
中 国 银 行 H S B C
Pillar II Supervisory Review
Pillar III Market Discipline
1 Core deposits - - - core - funding ratio
2 Stressed coverage ratio
Stressed scenario analysis
3
Contratual
maturity
of
financial
liabilitie
s
Concentration of funding
Avaliable unencumbered assets
4 LCR NFSR
△Inherent liquidity risk categorisation
(low/medium/high--prescribed stress secenerio)
1 (1)purpose-monitor the structural long-term funding position △core funding ratio
stresstesting reversestresstesting managemenotf gaprisk
"tail risk beyond VAR"
注:The use of these managements are limited in HSBC
3 Sensitive analysis 4 GAP risk 5 ABS/MBS exposures