整合性风险管理.ppt

1,整合性風險管理,2,起源,純粹風險純粹風險的不確定性及不可預測性，使得國際再保市場獲利不佳，導致再保費用不斷上漲，保險公司和企業均面臨成本上升之問題。財務金融風險衍生性金融商品的不當使用，引發金融問題。跨國多角化經營，營收成長及經營據點的增加面臨的風險種類增多，避險成本上升，降低企業營運效率。規避重疊部分之風險、成本浪費及降低管理效率。,3,ERMDefined:,COSO將ERM定義為企業管理過程中的一部份，而此部份專門是指與風險打交道的部份，包括企業辨認潛在風險、衡量風險、決定管理風險的方式(接受、規避、分散或降低)，予以執行、評估及回饋，讓企業的風險不要超過風險胃納(riskappetite)。此行動的主體是企業(法人)，非自然人；且所管理之風險為企業所面臨之全部風險，非部份的。Source:COSOEnterpriseRiskManagementIntegratedFramework.2004.COSO.,4,WhyERMIsImportant,Underlyingprinciples:Everyentity,whetherfor-profitornot,existstorealizevalueforitsstakeholders.Valueiscreated,preserved,orerodedbymanagementdecisionsinallactivities,fromsettingstrategytooperatingtheenterpriseday-to-day.ERMsupportsvaluecreationbyenablingmanagementto:Dealeffectivelywithpotentialfutureeventsthatcreateuncertainty.Respondinamannerthatreducesthelikelihoodofdownsideoutcomesandincreasestheupside.,5,TheERMFramework,上方之標示，為四類目標：策略性(Strategic)營運(Operations)報導(Reporting)遵循(Compliance)右方之標示，為企業之單位。前方之標示，為八個組成要素。,6,八個組成要素,InternalEnvironment(內部環境)ObjectiveSetting(目標設定)EventIdentification(事項辨認)RiskAssessment(風險評估)RiskResponse(風險回應)ControlActivities(控制活動)Information&Communication(資訊與溝通)Monitoring(監督),7,實施ERM,企業實施ERM，有七個主要步驟：成立和培訓跨功能的風險管理小組辨認風險和機會訂出風險容忍度辨認風險和機會間的關連性訂定機會和風險優先順序確定為緩和風險或利用機會所必要的適當行動建立ERM系統，持續地對事件與趨勢作適當的監控與反應,8,S&PsEvaluationofERM,StrategicRiskManagement,RiskControlProcesses,RiskManagementCulture,Risk&EconomicCapitalModels,ExtremeEventManagement,*風險管理文化、風險控制、巨額事件管理、風險與資本模型、策略風險管理*評等等級分：不足(Weak)、適當(adequate)、強(strong)、卓越(excellent),9,保險業之經營以保險業務為主，未來可藉由整合性風險管理體系的導引，取得在保費量、安全、利潤三者間的均衡，提升資本效率，使公司健全發展。引進整合模型，建立企業整體風險管理制度，為信評加分。,10,IRM定義&功能,定義整合性風險管理(Integratedriskmanagement,IRM)，是承保多險種、多年期整合計畫，不對單一風險作個別安排，而是以整體觀念來處理保險公司同時面臨的風險，包含可保風險、不可保風險、財務風險等。同時對資產負債表的兩邊做避險。功能透過財務投資資產價值可與純粹風險所造成之損失相抵銷的特性，來綜合公司的財務風險與純粹風險管理，增強資本負載量，促進資金使用效率，並減少避險成本。,11,以整體的保障來承擔風險進而降低整個交易成本，減緩和穩定分保公司核保循環，提供企業更大的彈性和長期穩定的再保險契約。,12,InsuranceCompanysRisk,InsuranceRisk,MarketRisk,CreditRisk,UnderwritingRiskPricingRiskProductDesignRiskClaimsRiskEconomicEnvironmentAccumulationRiskPolicyholderBehaviorReservingRisk,InterestRiskEquity&PropertyRiskCurrencyRiskBasisRiskReinvestmentRiskConcentrationriskAsset/LiabilityMismatchOff-BalanceSheetDerivatives,DefaultRiskMarketRiskPremiumSettlementRiskCountryRiskConcentrationrisk,OperationalRisk,FraudErrorsSystemInterruptionsLiquidityRisk,Non-integratedRiskGovernanceStructureincreasesprobabilityof:,missingactivemanagementofsomerisksconflictsofinterestinefficienciesandblurredresponsibilities,13,Processsteps,EstablishContext,MonitorandReview,Identifyrisks,Analyze/Quantifyrisks,Integraterisks,Assess/Prioritizerisks,Treat/exploitrisks,資料來源：CAS,14,資料來源：MunichRe,15,Processsteps(Cont.),RiskstrippingAdisaggregationoftheoverallrisks.Quantificationoftheindividualrisks.RiskmappingToidentifypossiblediversificationeffects.Toanalyzedependencystructure.Toidentifynon-correlatedrisks.,16,Processsteps(Cont.),Riskpacking&hedgingToexploitallpossiblediversificationeffects.Considernon-correlatedornegativelycorrelatedriskstoriskpackages.Objective:leadtoaleftwarddisplacedandcompressedriskcostdistribution.RiskcostcontrollingTorealizehowIRMcanbeanalyzedandquantified.,17,Costbenefits,Costreduction,Riskcostbudgeting,Economicscope.Costsforcomprehensivecoverageofcombinedindividualrisksarelower.Savinginadministrativecosts.,Themulti-yearapproachandacomprehensiveriskcoveragewillcontributetothecoststabilization.,Offerfromasingleprovider.Idealprequisite:a100%participationbyareinsureroratleastaleadingreinsurer.,Coststabilization,18,Instruments,Conventionalreinsurance,Finiteriskreinsurance,Multiple-triggerconcepts,Capitalmarketconcepts,Mixofinstruments,ConsultingServices(precondition),19,Instruments(Cont.),ConsultingservicesAnindispenstablepreconditionforIRM.Todothemarketanalysis、productdevelopment、pricingandrating、riskselection、portfolioanalysisandstructuring.ConventionalreinsuranceAnimportantcomponentofintegratedcoverageconcepts.Buttheycanjustpartiallysatisfytheneedsofanintegratedcoverage.,20,Instruments(Cont.),FiniteriskreinsuranceAlimitedrisktransfertothereinsurerAnemphasisonprofit-sharingwitthecedantAmulti-yeardesignTheexplicitallowancemadeforinvestmentincomeinthepricingcalculation.,21,Instruments(Cont.),Multiple-triggerconceptsToidentifytheinfluencingfactorsandtheirimpactontheassetsandliabilitiesportfolios.Beexpectedtooffercostadvantagescomparedtoseveralcoverswithseparatetriggers.,22,Instruments(Cont.)Multiple-triggerconcepts,資料來源：MunichRe,23,Instruments(Cont.),CapitalmarketconceptsCapacityshortagesofthetraditionalreinsurancemarket.Innovativecapitalmarketinstrumentssuchasderivativesandthesecuritizationof(insurance)risks.Contingentcapitalmakeaccesstoliquidfundsacompensatoryeffectonthebalancesheet,24,Instruments(Cont.),MixofinstrumentsMulti-line/Multi-year,資料來源：MunichRe,25,Provider&Demander,Provider許多大型的再保險公司皆有提供，如：MunichRe.、CentreReSolution、AIG、XLCapitalDemander保險公司或一般企業,26,結論,Insurershaveanewwaytomanagerisk.Ithasevolvedintoabasicrequirementforlastingsurvivalinthecompetitiveenvironment.Anewwayforinsurerstoofferadditionalservicestoindustrialenterprises.,27,關鍵性要素：,需有明確的風險管理共識