《风险管理杨一民》PPT课件.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 CDOisToday smarketfavorite 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 Moody sRiskCalc 17 StructuralModel 结构性模型 AssetValue BasedModelCreditMetricsAssetfollowsanormaldistributionwithmeanandstandarddeviation Debtisassumedtobedeterministic ThedefaultprobabilityisthenKMVAssetmarketvalue notbookvalue followsa lognormal diffusionprocess Brownianprocess 18 StructuralModel 结构性模型 KMVThiscanbeeasilysolvedToestimatethemarketvalue oneusesMerton sview EquityisaCalloptiononAssetwithDebtasthestrike 19 StructuralModel 结构性模型 KMVByIto sLemma weobtainAnotherconditionisaddedtosolvetheCallprice Equity KMVisverysuccessful itwassoldtoMoody slastyearfor 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 Moody sRiskCalcBasedonMoody sHistoryAlogisticmodelusing7 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 isgettingthemarket sattention 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 Investors Concerns 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 StandardforRiskCapitalRequirementforAllFinancialInstitutions BASELIIAccord 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 Asingleindicatorasaproxyforfirm sexposuretooperationalriskGrossIncomeStandardizedApproach 标准方法 DistinguishesbetweenbusinesslinesandbusinessvolumeStandardizedlossfactors beta forbusinesslinesInternalMeasurementApproach 内部度量高级方法 Bottom UpApproachKe