风险管理riskmanagement课件

风险管理riskmanagement2024/4/17风险管理riskmanagementWhereWe’regoingIntroductionandEnterpriseRiskManagementValueatRiskValueatRisk:ModelBuilding–PortfoliosValueatRisk:ModelBuilding–VolatilityValueatRisk:HistoricalSimulationCreditRiskLiquidityRisksandTradingRisksOperationalRisk,CountryandSovereignRiskRegulationRAROCandReview2风险管理riskmanagementLastWeekRegulationsBaselI,II,IIIBISSolvencyCapitalNetting风险管理riskmanagementThisweekEconomicCapitalRAROCCapitalAllocationReview风险管理riskmanagementQuote“Playingitsafeistheriskiestchoicewecanevermake.”

SarahBanBreathnach风险管理riskmanagementQuote"Allcoursesofactionarerisky,soprudenceisnotinavoidingdanger(it’simpossible),butcalculatingriskandactingdecisively.Makemistakesofambitionandnotmistakesofsloth.Developthestrengthtodoboldthings,notthestrengthtosuffer.“NiccoloMachiavelli,ThePrince风险管理riskmanagementEconomicCapitalAbank’sownassessmentofthecapitalitrequires

7风险管理riskmanagementModelUsedforEconomicCapital

(SameasRegulatoryCapital)

LossoveroneyearExpectedLossXpercentileCapital8风险管理riskmanagementChoiceofParametersForabankwishingtomaintainaAA-rating,capitalischosensothatXisabout99.97%andtimehorizonisoneyearThisisbecausestatisticsfromratingagenciesshowthatanAA-ratedcompanyhasaprobabilityofonlyabout0.03%ofdefaultinginoneyear9风险管理riskmanagementTheBaselIIRegulatoryEnvironmentTotalRiskBusinessRisk(noregulatorycapital):RiskfromStrategicDecisionsReputationRiskNon-BusinessRisk(regulatorycapital):CreditRiskMarketRiskOperationalRisk10风险管理riskmanagementOne-yearMarketRiskGains/LossDistributionLossGain11风险管理riskmanagementOne-yearCreditRiskLossDistributionLoss12风险管理riskmanagementOneYearOperationalRiskLossDistributionLoss13风险管理riskmanagementCharacteristicsofDistributionsSecondMoment(Variance)ThirdMoment(Skewness)FourthMoment(Kurtosis)MarketRiskHighZeroLowCreditRiskModerateModerateModerateOperationalRiskLowHighHigh14风险管理riskmanagementImportanceofRisksTypeofBusinessMostImportantRiskCommercialBankingCreditRiskInvestmentBanking&TradingMarketRiskandCreditRiskAssetManagementOperationalRisk

15风险管理riskmanagementEuropeanGrowthTrust(ExampleofOperationalRiskinAssetManagement)Nomorethan10%ofEGTcouldbeinvestedinunlistedsecuritiesPeterYoungthefundmanagerviolatedthisruleThecosttoDeutscheBankwasabout$200million16风险管理riskmanagementInteractionsofRisks

CreditRiskMarketRiskOperationalRiskLGDandPDdependonmarketvalueOperationalriskscanbecontingentonmarketmovesorcreditevents17风险管理riskmanagementIntegratedRiskManagementTypicallyabankcalculateseconomiccapitalfordifferenttypesofriskanddifferentunitsItisthenfacedwiththeproblemofaggregatingtherisks18风险管理riskmanagementCombiningtheDistributionsAssumeperfectcorrelation:overstatescapitalbyabout40%Assumedistributionsarenormalforthepurposesofaggregation:understatescapitalbyabout40%Hybridapproach: seemstoworkreasonablewell19风险管理riskmanagementExample:EconomicCapitalEstimates

BusinessUnit1BusinessUnit2MarketRisk3040CreditRisk7080OperationalRisk309020风险管理riskmanagementCorrelationsMarketandcreditriskwithinthesamebusinessunit:0.5Marketandoperationalriskorcreditandoperationalriskwithinthesamebusinessunit:0.2Marketrisksacrossbusinessunits:0.4Creditriskacrossbusinessunits:0.6Operationalriskacrossbusinessunits:0.021风险管理riskmanagementTotalEconomicCapitalBusinessUnit1:100.0BusinessUnit2:153.7Wholebank:203.2 Diversificationbenefitis253.7–203.2=50.5 Howshouldthisbeallocatedtothebusinessunits? Equivalentlyhowshouldthetotaleconomiccapitalof203.2beallocated?22风险管理riskmanagementAlternativesAllocateeconomiccapitalinproportiontothestandaloneeconomiccapitalsAllocateeconomiccapitalinproportiontomarginalcontributionofbusinessunitstototaleconomiccapitalSeteconomiccapitalforbusinessunitiequaltowherexiisthesizeofbusinessuniti23风险管理riskmanagementDeutscheBankEconomicCapital(millionsofEuros)

CreditRisk12,013MarketRisk12,738OperationalRisk5,253Diversificationbenefits(4,515)BusinessRisk1,682Totaleconomiccapital27,171Totalrisk-weightedassets300,369CommonEquityTier1Capital(%ofRWA)12.8%AllTier1Capital(%ofRWA)16.9%Tier1plusTier2capital(%ofRWA)18.5%24风险管理riskmanagementAllocationofDeutscheBankCapitalCorporatebankingandsecurities14,828Globaltransactionbanking1,291Assetandwealthmanagement2,717Privatebusinessclients6,677Corporateinvestments902Consolidationandadjustments762Total27,17825风险管理riskmanagementRAROCRAROCisthereturnoneconomiccapitalforabusinessunitThedenominatoristheeconomiccapitalallocatedtothebusinessunitThenumeratoristheexpectedprofit.Thiscanbebeforeoraftertaxandcanincludeinterestattherisk-freerateontheeconomiccapitalItissometimesalsoreferredtoasRORAC26风险管理riskmanagementExampleWhenlendinginacertainregionoftheworldanAA-ratedbankestimatesitsaveragelossesfromdefaultsas1%ofoutstandingloansperyearThe99.97%worstcaselossis5%ofoutstandingloansEconomiccapitalper$100ofloansistherefore$427风险管理riskmanagementExamplecontinuedThebank’sspreadbetweencostoffundsandinterestchargedis2.5%andadministrativecostsare0.7%28风险管理riskmanagementEx-antevsEx-postRAROCwasoriginallysuggestedasatooltobeusedonanex-antebasis.ThismeansthatwehavetoforecasttheexpectedlossItisthenusedasatooltoallocatecapitaltothemostprofitablepartsofthebusinessItisalsosometimesusedonanex-postbasisforperformanceevaluation.Realizedlossthenreplacesexpectedloss29风险管理riskmanagementReview风险管理riskmanagementWhereWe’regoingIntroductionandEnterpriseRiskManagementValueatRiskValueatRisk:ModelBuilding–PortfoliosValueatRisk:ModelBuilding–VolatilityValueatRisk:HistoricalSimulationCreditRiskLiquidityRisksandTradingRisksOperationalRisk,CountryandSovereignRiskRegulationRAROCandReview31风险管理riskmanagementIntroductionandEnterpriseRiskManagementRiskvsReturnTypesofRiskEnterpriseRiskManagementIdentifyingPerformanceandRisk32风险管理riskmanagementValueatRiskValueatRiskParametricVaRExpectedShortfallCoherenceinRiskMeasure33风险管理riskmanagementValueatRisk:ModelBuilding–PortfoliosModelBuildingapproachExpectedShortfallAuto-correlationPortfolioMeasuresIncrementalVaRComponentVaRMarginalVaRMaximumVaR34风险管理riskmanagementValueatRisk:ModelBuilding–VolatilityModelRiskVolatilityCalculationEWMAGARCHCorrela