汇丰风险管理案例.ppt

1、a,1,RISK MANAGEMENT风险管理,HSBC/BOC 汇丰银行/中国银行,0103091 0103113 王晓丽 周莹莹,a,2,a,3,General Risk,Quantitative metrics And Qualititative metrics There are some of the core metrics that are measured,monitored and presented to Board monthly,a,4,1 personal lending (2)credit quality : CRR：10 grade or 23 grade (PD

2、) depending on the degree of sopistication of the BASEL 2 adopted 2 wholesale lending Commercial company: risk rating system-IRB(internal rating based) (BASEL TWO) EL(expected loss)-10 grade,一）Credit risk,model for impairment allowance: roll-rate migration analysis,a,5,revaluation no more than 3 yea

3、rs, concentration lower than 25,3 Collateral :(including loan commitments,revaluation based on local market conditions Example:HONG KONG property companies Europe facilities of working capital,a,6,4 Impairment loans(allowances,5 concentration of exposure,a,7,中国银行信用风险管理,内部评等法 贷款质量五大类正常、关注、次级、可疑和损失 贷款

4、客户的集中度控制 目前，本行符合有关借款人集中度的监管要求,a,8,借款人集中度监管要求,a,9,对不同资产的信用风险管理,1)贷款和垫款以及贷款减值准备-依性质分类披露 (2)重组贷款分为“次级”或以下级别-6月观察 (3)衍生金融工具：交易对手的信用风险 考量交易对手的信用程度及各项合同的到期期限等因素。 缺陷：信用风险加权金额并未考虑任何净额结算协议的影响,a,10,二） Liquidity and funding risk(LFRF,BASEL III ：International framwork for liquidity risk measurement,a,11,a,12,In

5、herent liquidity risk categorisation (low/medium/high-prescribed stress secenerio) 1 (1)purpose-monitor the structural long-term funding position core funding ratio,a,13,2) purpose-monitor resilience(恢复的能力) to severe liquidity stressed coverage ratio=stressed cash inflows /stressed cash outflow (1 o

6、r 3 months) requriment: 100% incorporationg Group-defined stress senatios,a,14,3(1)contratual maturity of financial liabilities,a,15,3（2）concentration of funding,a,16,3(3) avaliable unencumbered assets (闲置资产,4(1)LCR (EU endorsement) (2)NSFR (uncertain of calibration) it may expect to announce until

7、2014,a,17,中国银行流动性风险管理,中国银行依据资产负债表日至合同到期日的剩余期限对该集团的资产和负债进行了到期分析。 未谈及到LCR以及NSFR,a,18,a,19,三)Operational risk-ORMF,Scenario analysis,a,20,中国银行,深化操作风险管理工具应用 优化操作风险管理信息系统 无披露,a,21,四）Market risk,notes: report on a quartly basis or even monthly for large subsidiaries,a,22,1 Value at risk and stressed value

8、 at risk,Contract,a,23,2 stress testing -evaluate the values of more extreme events or movements in a set of financial variables,tail risk beyond VAR,注:The use of these managements are limited in HSBC,3 Sensitive analysis 4 GAP risk 5 ABS/MBS exposures,a,24,附：Additional market risk measures applicab

9、le only to the parent company,a,25,中国银行,市场风险,1 利率风险 2 外汇风险 3 价格风险,1）VAR 99%置信水平；历史模拟法 （2）压力测试-极端事件,利率重定价缺口,简单描述,a,26,五)Capital risk,Capital measurement and allocation,a,27,Approach and policy: RORWA-operational metric (ROEand regulatory capital efficiency,Regulatory capital (1)core tier 1 capital (2)other tier 1 (2)tier 2,a,28,中国银行,资本,1 信用风险 2 市场风险-内部模型监管 3 操作风险-标准法,工具方法：风险量化为主 压力测试 二维评级矩阵 资本收益率 RORAC 经济增加