风险管理（杨一民）(1).ppt

NewGameforFinancialMarket金融市场新游戏&NewGameFieldforRiskManagement风险管理新环境,YiminYang(杨一民)VicePresident&Sr.ManagerRiskAnalytics,2,介绍PNC,Itusedtobeabank,butnow(曾经叫做银行,但现在是),PNCBank15thlargestUSBank$70BillionAsset,BlackRockOneofthebest&fastestgrowingInvestmentCompanyonWallStreet$300BillionAssetUnderMgnt,PFPCBrokerage&Processing,CapitalMarketInvestment,PNCFinancialServiceGroup(PNC金融服务集团),3,介绍RiskAnalytics,RiskAnalytics(CentralizedRiskMngtTeam),4,Now,backtoourtopics,言归正传,5,两个热门话题TwoCurrentHotTopics,TheGame(新游戏)CreditRisk,morespecifically(信用风险)CreditDerivatives(信用衍生品)TheGameField(新环境)NewRegulatoryEnvironment,morespecifically(新监管要求)BaselII(巴塞尔协议),6,CreditRisk&CreditDerivatives,信用风险与信用衍生产品,7,WhatisCreditDerivative什么是信用衍生品,WhatisCreditRisk(什么是信用风险)Theriskthatacompanyisunable/unwillingtomakepromisedpayment(不能按时支付)WhatareCreditDerivatives(什么是信用衍生品)Financialproductsthatprice&transfercreditrisk(用于转移信用风险的金融产品)CreditDefaultSwap(CDS),AssetSwapCashFlowCollateralDebtObligation(CDO),SyntheticCDONth-to-defaultbaskets,SingleTrancheCDO,CDOOptionStandardizedIndexTranches,CDOSquared,8,Example:CreditDefaultSwap(CDS)例一,MostofCreditDerivativesareCDS(70%)(市场主要产品)Itissimilartobuy/sellinsurancefordefault(类似破产保险),ProtectionBuyer买保方,ProtectionSeller卖保方,UnderlyingAsset(GEBond,forexample)持有风险资产比如GE债券,Regular%Fee定期付费(保险费)(Libor+Spread),PaymentIFtheunderlyingassetdefaults当GE发生破产时,付损失费,9,Example:(CollateralizedDebtObligation(CDO)例二,CDOisTodaysmarketfavorite(市场宠儿)Aportfolioistranchedtoabsorblosses.Investorscaninvestindifferenttranches,EquityTranche$10mm,Mazzanine$15mm,SeniorTranche$35mm,SuperSenior$40mm,$100mmAsset(AportfolioofCorp.bond,e.g.)1亿风险资产,10,Example:CDX.HY例三,PopularDowJonesCDX.HY(DowJones推出的CDS指数之一)100liquidBB/B-ratedCDSENTITIES,equallyweighted.(一百家高风险公司组成)Resetevery6months5yearisthemostcommonmaturityOver20industriesStandardized6LossTranches(六个标准断)0-3%Equity,3%-7%,7%-10%,10%-15%,15%-30%,30%-100%Investorsbuy&tradethesetranches,justlikebuyingstocksoranyotherfinancialproducts(象一般投资一样买卖)HYstandsforHigh-Yield(thereisalsoCDX.IGforInvestmentGradewith125names)(DowJones还有其他指数),11,Example:CDX.HY例三,EachTrancheistradedatadifferentprice(风险不同,定价不同)EquityTranche(0%-3%)hasthehighestrisk,therefore,highestreturnSuperSeniorTranche(30%-100%)offersthelowestreturn(spread),12,GlobalMarket(全球市场),13,MajorPlayers(主要运动队),14,KeyDrivers(主要原因),HedgePortfolioRisk(风险抵消)TakeExposureinCreditRisk(投资信用风险)EnhanceProfitability(增加回报)ImproveRiskManagement&ReduceRegulatoryCapital(风险与资本管理)IncreaseAsset&LiabilityManagementCapability(资产管理)CreditisnowaTRADABLEasset(已成交易资产),15,ChallengesToFinancialPractitioners(主要的挑战),UnderstandingofDefaultRisk(深入了解违约风险)DefaultProbabilityModeling(违约率模型)DefaultRiskPricingforvariousmarkets(不同市场违约风险定价)PortfolioManagement(组合管理)Correlation&PortfolioLossDistribution(相关性与损失分别)RiskManagement&CapitalAllocation(风险管理与资本配置)Cross-MarketRiskHedgingTechniques(跨越不同市场的风险分化手段),16,SinglenameDefaultModeling(单个公司违约率模型),StructuralModel(结构性模型)AssetValue-BasedType:AfirmwilldefaultifitsassetvaluefallsbelowcertainthresholdCreditMetricsKMVReduced-FormTypeModel(简化性模型)Intensity-basedfirst-passageMarketPrice(RiskNeutralDefaultProbability)-Based(市场价格性模型)CDS&BondSpreadStatistical/Actuarial(统计性模型)MoodysRiskCalc,17,StructuralModel(结构性模型),AssetValue-BasedModelCreditMetricsAssetfollowsanormaldistributionwithmeanandstandarddeviation.Debtisassumedtobedeterministic.ThedefaultprobabilityisthenKMVAssetmarketvalue(notbookvalue)followsa(lognormal)diffusionprocess(Brownianprocess),18,StructuralModel(结构性模型),KMVThiscanbeeasilysolvedToestimatethemarketvalue,oneusesMertonsview:EquityisaCalloptiononAssetwithDebtasthestrike,19,StructuralModel(结构性模型),KMVByItosLemma,weobtainAnotherconditionisaddedtosolvetheCallprice(Equity)KMVisverysuccessful(itwassoldtoMoodyslastyearfor$220mm),20,Reduced-FormModel(简化性模型),FirstPassageDefaultModel:DefaultoccurswhentheAssethitstheDebtforthe1sttime.Thatis,thedefaulttimeanddefaultprobabilityIntensity-basedmodel:Conditionalonanyrealizationofthedefaultintensity,thedefaultprocessfollowsaPoissonarrival.Ifletbetheinformationavailableuptotimet,then,21,Reduced-FormModel(简化性模型),Intensity-basedmodelMeanrevertingwithjumpsCox-Ingersoll-RossProcess(Affineprocess),22,MarketPriceModel(市场价格性模型),FinancialproductssuchasBond,CDS,AssetSwap,etc.containsubstantialamountofinformationabout(RiskNeutral)defaultprobabilityofacompanyVariousTheoretical&EmpiricalmodelsaretryingtoestimateImpliedDefaultProbabilitybyamarketprice(orviceversa)CreditGrade,CreditEdgeSpread=RiskNeutralDefaultProb.+Liquidity(Size)Premium=FunctionofEmpirical&MarketPriceofRisk+Liquidity(Size)Premium,23,StatisticalModel(统计模型),MoodysRiskCalcBasedonMoodysHistoryAlogisticmodelusing7-10financialtransformedratios,Profitability,CapitalStructure,Liquidity,24,DefaultCorrelationModeling(违约率相关度),DefaultCorrelationIsCrucialToCDO,25,DefaultCorrelationModeling(违约率相关度),CorrelationofdefaulteventsoftwofirmsisHereandaredefaultprobabilitiesforthetwofirmsAssetValue-BasedModel:throughassetcorrelationToobtainassetcorrelation,itisverypopulartousefactormodel,26,DefaultCorrelationModeling(违约率相关度),Factormodelexample:(andarestandardnormaldist).Theassetcorrelation=,thejointdefaultprobIntensity-BasedModel:throughcorrelationofintensitiesIntensitymodelexample:thedefaulttimesaregivenby,27,DefaultCorrelationModeling(违约率相关度),HereisaPoissonProcesswithintensityThedefaultcorrelationisthenCopulaisbecomingoneofthemostimportantmethodsformodelingcorrelationWhatisaCopula?Supposethatandaremarginaldistributionsforand.Letbethejointdistribution,thenthereisafunction(copula)Csuchthat,28,DefaultCorrelationModeling(违约率相关度),Usingthecopulafordefaulttime,thedefaultcorrelationis,29,DefaultCorrelationModeling(违约率相关度),InthepricingofCDX,correlationisthekeyThemodelisassumedtobehomogenous,andthecorrelationisassumedtobeconstantbetweenallcompaniesMarketobservedpriceforeachtrancheisinputtedtothemodeltosolveanimpliedcorrelation.Dependingonthewayofestimatingtheaccumulativelossesforeachtranche,oneobtainImpliedCorrelation:attempttomimicthesuccessofImpliedVolatilityforOptionpricingBaseCorrelation:isgettingthemarketsattention,30,TheNewGameField,金融业面临一个新的环境,31,MajorReasons(产生的主因),SignificantFinancialLosses&Failures(许多重大损失)ComplexFinancialProducts,Operation&Organization(复杂的金融产品,运作与机构)InvestorsConcerns(投资者的顾虑)RegulatoryDisciplines(监管政策),32,BaselII(巴塞尔协议),BankforInternationalSettlementistheCentralBankofCentralBanks(国际清算银行是中央银行的中央银行)ItsBaselCommitteeSetsUpaFramework/StandardforRiskCapitalRequirementforAllFinancialInstitutionsBASELIIAccord(其BASEL委员会为所有金融机构制定了资本适足率框架与标准)ManyEuropeanBanks&BanksinDevelopedCountrieshavedecidedtoFollowAdvancedApproach(大多数发达国家银行将采用最高级标准)MajorUSBanksWillalsoFollowAdvancedApproach(美国的大型银行会采用最高级标准)NonBasel-compliantbankswillbedisadvantaged(不遵守者处于不利地位),33,KeyRequirements(巴塞尔协议主旨),Risk-BasedCapitalforFinancialRisks(风险为依据的资本要求)CreditRisk(1988Accord)(信用风险)MarketRisk(1996Amendment)(市场风险)OperationalRisk(NewBaselAccord)(运营风险)ThreePillars(三大支柱)MinimumCapitalRequirement(最低资本要求)SupervisoryReviewProcess(监管与审阅程序)MarketDisciplines&RiskDisclosures(市场纪律与风险公开),34,KeyRequirements(巴塞尔协议主旨),CapitalRatio(资本比率)TypeofCapital(三类资本)Tier1Core(核心资本)Tier2Supplementary(次级资本)Tier3Formarketriskonly(只对部分市场风险可用)On-BalanceSheet&Off-BalanceSheetRiskCharges(表内及表外业务风险折算),35,BaselApproaches(巴塞尔协议方法),Goal(目的)Toquantifyallrisksusingappropriatemodels,withrecognitionofriskdiversification&mitigationtechniques(用模型来量化一切风险,同时接纳风险分散及转移技术)CreditRisk(信用风险)StandardizedApproach(标准方法)StandardRiskWeightExternalRatingBasedFoundationInternalRatingBasedApproach(基本内部评级方法)InternalRatingSystemUseofProbabilityofDefault(PD)AdvancedInternalRatingBasedApproach(高级内部评级方法)InternalRatingSystemUseofPD,LossGivenDefault(LGD)andExposureAtDefault(EAD),36,BaselApproaches(巴塞尔协议方法),MarketRisk(市场风险)StandardizedApproach(标准方法)MarketCharges(RiskWeights)forInterestRateRiskMaturityZonesNettingwithinbandsMarketChargesforEquityRiskNetPositionMarketChargesforCurrencyRiskUseofmaximumoftotallongorshortpositionsMarketChargesforCommodityNettingbutnotcompleteoffsetMarketChargesforOptionSimplifiedApproachIntermediateApproachInternalmodelsApproach,37,BaselApproaches(巴塞尔协议方法),MarketRisk(市场风险)InternalModelsApproach(内部模型高级方法)ReliesonInternalRiskManagementSystemQualitativeRequirementsIndependentRiskControlUnitBack-testingSeniorManagementInvolvementIntegrationofriskmodelswithday-to-daymanagementUseofLimitsStressTestingCompliance,38,BaselApproaches(巴塞尔协议方法),OperationalRisk(运营风险)BasicIndicatorApproach(基本指标方法)AsingleindicatorasaproxyforfirmsexposuretooperationalriskGrossIncomeStandardizedApproach(标准方法)DistinguishesbetweenbusinesslinesandbusinessvolumeStandardizedlossfactors(beta)forbusinesslinesInternalMeasurementApproach(内部度量高级方法)Bottom-UpApproach