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RAROCandReview Lecture10 WhereWe regoing IntroductionandEnterpriseRiskManagementValueatRiskValueatRisk ModelBuilding PortfoliosValueatRisk ModelBuilding VolatilityValueatRisk HistoricalSimulationCreditRiskLiquidityRisksandTradingRisksOperationalRisk CountryandSovereignRiskRegulationRAROCandReview LastWeek RegulationsBaselI II IIIBISSolvencyCapitalNetting Thisweek EconomicCapitalRAROCCapitalAllocationReview Quote Playingitsafeistheriskiestchoicewecanevermake SarahBanBreathnach Quote Allcoursesofactionarerisky soprudenceisnotinavoidingdanger it simpossible butcalculatingriskandactingdecisively Makemistakesofambitionandnotmistakesofsloth Developthestrengthtodoboldthings notthestrengthtosuffer NiccoloMachiavelli ThePrince EconomicCapital Abank sownassessmentofthecapitalitrequires ModelUsedforEconomicCapital SameasRegulatoryCapital Lossoveroneyear ExpectedLoss Xpercentile Capital ChoiceofParameters ForabankwishingtomaintainaAA rating capitalischosensothatXisabout99 97 andtimehorizonisoneyearThisisbecausestatisticsfromratingagenciesshowthatanAA ratedcompanyhasaprobabilityofonlyabout0 03 ofdefaultinginoneyear TheBaselIIRegulatoryEnvironment TotalRisk BusinessRisk noregulatorycapital RiskfromStrategicDecisionsReputationRisk Non BusinessRisk regulatorycapital CreditRiskMarketRiskOperationalRisk One yearMarketRiskGains LossDistribution Loss Gain One yearCreditRiskLossDistribution Loss OneYearOperationalRiskLossDistribution Loss CharacteristicsofDistributions ImportanceofRisks EuropeanGrowthTrust ExampleofOperationalRiskinAssetManagement Nomorethan10 ofEGTcouldbeinvestedinunlistedsecuritiesPeterYoungthefundmanagerviolatedthisruleThecosttoDeutscheBankwasabout 200million InteractionsofRisks CreditRisk MarketRisk OperationalRisk LGDandPDdependonmarketvalue Operationalriskscanbecontingentonmarketmovesorcreditevents IntegratedRiskManagement TypicallyabankcalculateseconomiccapitalfordifferenttypesofriskanddifferentunitsItisthenfacedwiththeproblemofaggregatingtherisks CombiningtheDistributions Assumeperfectcorrelation overstatescapitalbyabout40 Assumedistributionsarenormalforthepurposesofaggregation understatescapitalbyabout40 Hybridapproach seemstoworkreasonablewell Example EconomicCapitalEstimates Correlations Marketandcreditriskwithinthesamebusinessunit 0 5Marketandoperationalriskorcreditandoperationalriskwithinthesamebusinessunit 0 2Marketrisksacrossbusinessunits 0 4Creditriskacrossbusinessunits 0 6Operationalriskacrossbusinessunits 0 0 TotalEconomicCapital BusinessUnit1 100 0BusinessUnit2 153 7Wholebank 203 2Diversificationbenefitis253 7 203 2 50 5Howshouldthisbeallocatedtothebusinessunits Equivalentlyhowshouldthetotaleconomiccapitalof203 2beallocated Alternatives AllocateeconomiccapitalinproportiontothestandaloneeconomiccapitalsAllocateeconomiccapitalinproportiontomarginalcontributionofbusinessunitstototaleconomiccapitalSeteconomiccapitalforbusinessunitiequaltowherexiisthesizeofbusinessuniti DeutscheBankEconomicCapital millionsofEuros AllocationofDeutscheBankCapital RAROC RAROCisthereturnoneconomiccapitalforabusinessunitThedenominatoristheeconomiccapitalallocatedtothebusinessunitThenumeratoristheexpectedprofit Thiscanbebeforeoraftertaxandcanincludeinterestattherisk freerateontheeconomiccapitalItissometimesalsoreferredtoasRORAC Example WhenlendinginacertainregionoftheworldanAA ratedbankestimatesitsaveragelossesfromdefaultsas1 ofoutstandingloansperyearThe99 97 worstcaselossis5 ofoutstandingloansEconomiccapitalper 100ofloansistherefore 4 Examplecontinued Thebank sspreadbetweencostoffundsandinterestchargedis2 5 andadministrativecostsare0 7 Ex antevsEx post RAROCwasoriginallysuggestedasatooltobeusedonanex antebasis ThismeansthatwehavetoforecasttheexpectedlossItisthenusedasatooltoallocatecapitaltothemostprofitablepartsofthebusinessItisalsosometimesusedonanex postbasisforperformanceevaluation Realizedlossthenreplacesexpectedloss Review WhereWe regoing IntroductionandEnterpriseRiskManagementValueatRiskValueatRisk ModelBuilding PortfoliosValueatRisk ModelBuilding VolatilityValueatRisk HistoricalSimulationCreditRiskLiquidityRisksandTradingRisksOperationalRisk CountryandSovereignRiskRegulationRAROCandReview IntroductionandEnterpriseRiskManagement RiskvsReturnTypesofRiskEnterpriseRiskManagementIdentifyingPerformanceandRisk ValueatRisk ValueatRiskParametricVaRExpectedShortfallCoherenceinRiskMeasure ValueatRisk ModelBuilding Portfolios ModelBuildingapproachExpectedShortfallAuto correlationPortfolioMeasuresIncrementalVaRComponentVaRMarginalVaRMaximumVaR ValueatRisk ModelBuilding Volatility ModelRiskVolatilityCalculationEWMAGARCHCorrelationCalculation ValueatRisk HistoricalSimulation HistoricalSimulationApproachExtensionsComparisontomodelbuildingStresstestingBack testing CreditRisk CreditRatingDefaultProbabilitiesMeasuringCreditRiskCreditVaR LiquidityRisksandTradingRisks LiquidityRiskFundingandTradingLiquidityBlackholesTradingRisksDeltaGammaRho
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