汇丰风险管理案例课件

RISKMANAGEMENT

风险管理HSBC/BOC汇丰银行/中国银行01030910103113王晓丽周莹莹GeneralRisk

QuantitativemetricsAndQualititativemetricsTherearesomeofthecoremetricsthataremeasured,monitoredandpresentedtoBoardmonthly.revaluationnomorethan3years,concentrationlowerthan25%3Collateral:(includingloancommitments)revaluationbasedonlocalmarketconditionsExample:HONGKONGpropertycompaniesEuropefacilitiesofworkingcapital4Impairmentloans(allowances)5concentrationofexposure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。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。（二）Liquidityandfundingrisk(LFRF)BASELIII：Internationalframworkforliquidityriskmeasurement(2)purpose----monitorresilience(恢复的能力)tosevereliquidity△stressedcoverageratio=stressedcashinflows/stressedcashoutflow(1or3months)requriment:≥100%

△incorporationgGroup-definedstresssenatios3(1)contratualmaturityoffinancialliabilities3（2）concentrationoffunding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(三)Operationalrisk----ORMF

△Scenarioanalysis（四）Marketrisknotes:△reportonaquartlybasisorevenmonthlyforlargesubsidiaries.1Valueatriskandstressedvalueatrisk

Contract:

2stresstesting----evaluatethevaluesofmoreextremeeventsormovementsinasetoffinancialvariables"tailriskbeyondVAR"注:TheuseofthesemanagementsarelimitedinHSBC3Sensitiveanalysis4GAPrisk5ABS/MBSexposures中国银行市场风险1利率风险2外汇风险3价格风险（1）VAR99%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(五)CapitalriskCapitalmeasurementandallocationPillarICapita