企业风险管理(中英文)ppt课件

EnterpriseRiskManagement企业风险管理,1,WhatisERM?,ERMistheapplicationofbasicriskmanagementprinciplestoallrisksfacinganorganizationERM是针对企业面临的所有风险进行风险管理OthernamesforERM又称Integratedriskmanagement综合风险管理Globalriskmanagement全球风险管理,2,BasicRiskManagementPrinciples基本风险管理原则,Identifyinglossexposures风险损失认定Measuringlossexposures损失衡量Evaluatingthedifferentmethodsforhandlingrisk对于风险处理不同方法的评估Riskassumption风险设定Risktransfer风险转移Riskreduction风险减少Selectingamethod选择一种方法Monitoringresults监控结果,3,WhereDidERMComeFrom?ERM起源,Traditionalriskmanagement传统风险管理Formallydevelopedasafieldinthe1960s在60年代正式发展为一个领域Focusedon“pure”risks集中于“纯”风险Loss/nolosssituation损失/无损失情况Oftencouldbeinsured经常可以被保险Developedfrominsurancepurchasingarea发展于保险购买领域,4,NewElementsofRisk1970s70年代风险中的新元素,Foreignexchangerisk外汇风险EndofBrettonWoodsagreementin19721972年布雷顿森林制度协定的解体Commoditypricerisk商品价格风险Oilpricefluctuationsofthe1970s70年代石油价格的波动Equityrisk股票风险Developmentofoptionmarkets-1973期权市场的发展Interestraterisk利率风险U.S.FederalReserveBoardpolicyshift1979美联储委员会政策变动,5,FailuretoManageFinancialRisk管理金融风险的失败例子,Foreignexchangerisk外汇风险LakerAirlines1970s湖人航空公司Borrowingindollars以美元借款Revenueinpounds以英镑收入Interestraterisk利率风险U.S.SavingsandLoans1980s美存储信贷局Borrowingshort借款短期利率Lendinglong贷款长期利率Commoditypricerisk商品价格风险ContinentalAirlines1990大陆航空公司Fuelcostsnothedged没有做到燃料价格对冲OilpricedoubledwithGulfWar海湾战争石油价格加倍,6,The“New”RiskManagement-1980s“新式”风险管理,Financialriskmanagement金融风险管理Dealtwithfinancialrisk面对金融风险Foreignexchangerisk外汇风险Interestraterisk利率风险Equityrisk股票风险Commoditypricerisk商品价格风险Usederivativestohedgefinancialrisk利用金融衍生物对冲金融风险,7,FinancialRiskManagementToolbox金融风险管理工具,Forwards远期Futures期货Swaps掉期交易Options期权,8,ForwardContracts远期合约,Aforwardcontractobligatesonepartytosellandanotherpartytobuyanasset远期合约是在交易双方中，规定一方必须卖出，一方必须买进资产的交易Theexchangetakesplaceinthefuture交割发生在将来Thepriceisfixedtoday价格在交易时确定Nopaymentismadeuntilmaturity交割日前不需付款Thebuyerhasagainiftheassetvalueincreases如果资产增值，买方获利,9,FuturesContracts期货合约,Afutureobligatesonepartytobuyandanothertosellaspecifiedassetinthefutureatapriceagreedontoday一份期货合约规定交易双方必须在将来某一时间以双方协商约定的价格，买方购买，卖方出售一定量的资产Futuresarestandardizedcontractstradedonorganizedexchanges期货是标准合约，并在专门的期货交易所进行的交易Pricechangesaresettledeachday根据价格变化每日结算Marginaccountsmustmaintained交纳保证金并维持在一固定水平,10,SwapContracts掉期交易合约,Anagreementbetweentwopartiestoexchange(orswap)periodiccashflows一份在交易双方进行周期性现金流交换的协定Ateachpaymentdate,onlythenetvalueofcashflowsisexchanged只在每个交割日交易净现金流Thecashflowsarebasedonanotionalprincipalornotionalamount现金流基于名义本金交易量进行计算Thenotionalamountisonlyusedtodeterminethecashflows名义交易量只用来确定现金流,11,OptionContracts期权合约,Optionsprovidetheright,butnottheobligation,tobuyorsellanassetatafixedprice期权提供权利而不是义务进行一定价格的买卖资产Calloptionisrighttobuy买进期权取得买进权利Putoptionisrighttosell卖出期权取得卖出权利Optionsareonesidedagreements期权是单方协定Exercisingtheoptionforcesthesellertoperform出售者有义务应购买者要求履行期权合约Expirationdateisthedateatwhichtheoptionceasestoexist过期日是期权失效之日,12,NewElementsofRisk1990s90年代风险中的新元素,Failuretomanagederivativesappropriately不恰当地管理金融衍生物Financialmodelfailures金融模型失败Improperaccountingforderivatives对于衍生物的不适当的会计记账手段,13,MismanagementofFinancialRisk金融风险的不妥当管理,Mismanagementofderivatives衍生物的不善管理GibsonGreetingsBaringsBank巴林银行OrangeCounty,California橙县，加州Modelfailure金融模型失败LongTermCapitalManagement长期资本管理Accountingimproprieties不适当做账Enron安然公司ArthurAndersen安达信公司,14,The“New”RiskManagement-1990sandbeyond90年代以后的“新式”风险管理,EnterpriseRiskManagement企业风险管理Initialfocusonavoidingderivativedisasters最初致力于避免衍生工具带来的灾难Developingintooptimizingfirmvalue发展到最优化公司价值ChiefRiskOfficer设立首席风险执行官Sarbanes-OxleyActintheU.S.2002SOX法案Increasedfocusonriskmodels对风险模型的关注不断增长,15,ERMRiskCategories风险分类,Commonriskallocation风险分布Hazardrisk灾难风险Financialrisk金融风险Operationalrisk运营风险Strategicrisk战略风险BankviewNewBaselAccordCreditrisk信用风险Loanandcounterpartyrisk信贷风险Marketrisk(financialrisk)市场(金融)风险Operationalrisk运营风险,16,HazardRisk灾难风险,“Pure”losssituations“纯”损失状况Property财产Liability责任险Employeerelated与雇员有关Independenceofseparaterisks风险独立可分别对待Riskscangenerallybehandledby处理方式Insurance,includingselfinsurance保险，自保Avoidance避免Transfer转移,17,FinancialRisk金融风险,Components组成Foreignexchangerate汇率Equity股票Interestrate利率Commodityprice商品价格Correlationsamongdifferentrisks不同风险的相互作用Useofhedges,reinsuranceorrisktransfer使用对冲,再保险或风险转移Securitization证券化,18,OperationalRisk运营风险,Causesofoperationalrisk起因Internalprocesses内部流程People人Systems制度Examples例子Productrecall回收产品Customersatisfaction顾客满意度Informationtechnology信息技术Labordispute劳工争执Managementfraud管理层舞弊,19,StrategicRisk战略风险,ExamplesCompetition竞争Regulation法规Technologicalinnovation技术创新Politicalimpediments政治障碍,20,ERMApproach方法与措施,21,EvolutionofERM步骤,Controlfunction风险控制Howmuchcanwelose?可以承受多少损失Riskadjustedreturns风险调整后的收益Capitalallocation资金分配Compensation补偿基金Bonuses奖励基金Optimization最优化Maximizeshareholdervalue股东价值最大化Visionofthefuture预测将来,22,ImpedimentstoEffectiveERM有效执行ERM的障碍,Riskmodelsandtechnology风险模型和技术Organization组织Motivation动机Operatinginfrastructure操作设施Dataproblems数据问题Regionalfiefdoms地域限制问题HighfailurerateofITprojectsIT项目的高失败率,23,IncreasedUseofRiskModels风险模型使用率的增加,Technologicaladvances技术提高Theoreticaladvances理论发展Allocationofeconomiccapital经济资本的分配Usedfordivisionalprofitability部门利润Impactsbonuses影响奖金Duelingmodels众多模型中优胜劣汰,24,ChiefRiskOfficer首席风险执行官,ReportstoCFO,CEOorBoard向首席财务官、首席执行官或董事会报告Responsibleformanagingallaspectsofrisk负责管理公司所有方面的风险Understandtechnology理解技术Communicationskills交流技巧,25,HowERMCanIncreaseFirmValueERM怎样增加公司价值,ProcesscanfocusonprotectingValue价值Cashflows现金流Earnings利润Cannotprotectallthreeatonce不能同时保证三项ExamplesReducingtaxes