SunGard信用风险管理解决方案.ppt

1、Agenda,SunGard Overview 概论 Credit Risk: Best Practices Credient Background 背景 Credient Components 组成 Credient Demonstration Closing Statements 结束语 Q limit authorisations; violations follow-up. 从纸面签字处理.到风险管理人员集成的风险管理工作流程：交易批准，限额授权，违约及时处理 Dealers requesting approval to. broadcasting to the Dealers of

2、Identified Preferred Low Risk Counterparties, Countries, Currencies, Industries, etc. 从交易员请求批准.到向交易员公布首选的低风险管理人、国家、币种、行业等。 From static reports to. the ability to revisit the analysis and apply different mathematics real-time 从静态报表.到实时、多次生成分析报表并进行不同的演算。,Automation 自动化,Intelligence 智能化,Interactivity 交

3、互性,Trends in Analysis & Mathematics 分析和演算趋势,From Mark-To-Market plus add-on to. the application of comprehensive scenario analysis 从“盯市”加上补充.到综合各种模拟情景分析 From blanket measures of risk on long term instruments to. specific knowledge of the exposure profile per transaction over the life of the instrume

4、nt 从衡量长期产品工具的风险.到具体地了解每笔交易在其生命周期 所承担的风险量 From choosing between “Slow & Accurate” or “Quick & Dirty” analytics to. Real-time integration of sophisticated analytics results into the aggregated dealing positions 从过去要么 “迟缓但精确”， 或要么“迅速但粗放” .转向将实时的 合分析结果汇总和平衡到累积的交易中。,Sophistication 老练,Granularity 信息详细度,Sp

5、eed and Accuracy 快速、精确,Trends in Data Management 数据管理趋势,From data held uniquely in separate systems to. integrated processes through the use of middleware tools 从数据在分离的系统中单独处理.到运用中间件进行集成处理。 From a lack of common data standards to. the use of a self describing (XML) data format that adopts industry s

6、tandards, eg Network Trade Model (NTM), FpML etc 从缺乏共同的数据标准.到使用统一的自描述XML标准数据格式，比 络交易模型NTM，FpML等。,Integration/Consolidation Control Over Data 对数据的集成和整合,Standardisation 标准化,Trends in Management Reporting 管理报表的需求趋势,From fixed reporting tools to. the ability to receive data then tailor them to your need

7、s Real-Time 从固定的报表生成工具.到可接收数据并按自己的需要实时定制报表 From knowing a reporting application to. the ability to access reports through simple browser technologies 从学习了解一个报表生成工具.到通过简单的浏览器技术就可得到报表 From the need to be on-site to receive the reports to the ability to access information and reports via the Web 从需要亲自到

8、现场取得报表.到通过网络就能得到所要的信息,Flexibility 灵活性,Usability 可用性,Accessibility 易得到,Credient Risk Server风险运行单元,Functionality Overview 应用功能概述,Credient Risk Server (CRS),Fourth Generation Product Offering 第四代产品可提供的 Open Design (Unix / Oracle) 开放式设计 Global real-time 全球范围的实时性 Live at a Japanese Bank since July 2000 2

9、000年7月以来日本银行的应用 Fully Table Driven Definition 完整的表格驱动式定义,风险运行单元,CRS - Global Real-time Solution,Limit Organisation 限额结构 Focused at Counterparties, Counterparty-group, Countries, Currencies & Industries 侧重于交易方、交易方集团、国家、币种和行业 Local, Regional & Global 地域的、局域的和全球的 Time Bands 时间段 Swing Limits & Limit Spr

10、eading 限额转移和限额分布 Policy Driven Exposure Calculations 政策主导的敞口计算,全球实时的解决方案,Risk Policy Definition 风险政策定义,Multi Dimensional Risk Model: 多维风险管理模型 Pre-Settlement or Credit Risk 预清算风险或信用风险 Settlement Risk 清算风险 Sovereign or Country Risk 政策风险 Regulatory and Economic Exposure 监管和经济风险 Closeout Netting 停约净值 Co

11、llateralisation 抵押品,CRS - Risk Policy Definition,Multi Dimensional Data Model: 多样化度量数据的模型 Settlement Risk 结算风险 Pre-Settlement Risk 结算前的风险 Sovereign or Country Risk 政策风险 Counterparty Risk (Multi-Level) 交易方风险（多层级） Industry Risk 行业风险 Portfolio Risk 投资组合风险 Issuer Risk 发行人风险,风险的政策界定,CRS - Risk Policy Def

12、inition (2),Local, Regional and Global Dimensions & Aggregation 地域的、局域的和全球的度量和聚合 Every Transaction - Every Dimension 每一笔交易-每一个度量 Measure only or Limit 测量和限额 All Instruments 各类工具 Multi-Date Profiles 各种时间的案卷,风险的政策界定 （2）,Deal Exposures交易敞口,Notional Principal Amount名义本金额 Weighted Notional Principal加权名义本

13、金 Mark-to-Market + Potential Future Exposure (MTM+PFE)“盯市”潜在远期敞口 MTM + stepped PFE Monte Carlo Simulation蒙特卡罗摸拟 Credient MC2 : Real-time Monte Carlo approximation 实时蒙特卡罗近似摸拟,Checks, Limits & Violations检查、限额和违约,Policy Checking Warnings政策性警告 Blocked Deals禁止交易 Do not deal with不能与做交易 Limit Deals有限的交易 Do

14、 not deal more than.交易不能超过. Time - Outs 超时 Do not deal with a duration longer than.交易持续时间不能超过. Category Limits种类限额 Do not deal out of this category.交易不能超出范围,Counterparty Risk Management交易方风险管理,Counterparty Risk with Global Obligor 全体债务人风险 Industry Risk 行业风险 Portfolio Risk 投资组合风险 Issuer Risk 发行机构风险 L

15、ocal, Regional and Global Dimensions & Aggregation 本地、区域和全球风险维度分布与累积,Country Risk Management国家风险管理,Country Risks: 国家风险 Domicile注册地 Ultimate最终偿付方 Cross Border跨国界 Region地区 Including Time Bands 跨时段 Credit & Settlement Risk 信用和清算风险 and, of course: GLOBAL, REAL-TIME AGGREGATION 全球的，实时累积风险,Limits, Exposur

16、es & Aggregations Management 限额、敞口和聚合的管理,Availability 可用量,Branch Exposure 分支机构已用量,Global Exposure 全部敞口,65,Regulatory Compliance符合监管要求,Global Risk Aggregation 全球风险聚合,Global Multi-Product Exposure,地区多产品累积,产品1,产品2,产品3,产品4,地区1,地区2,地区3,地区4,地区5,全机构单个产品累积,全机构多个产品累积,Credient Analytics: Credit Risk 信用风险管理,Co

17、unterparty Portfolio Analysis 投资组合分析 High performance Monte Carlo simulation 高效蒙特卡罗模拟 Calculations incorporate netting and collateral 轧差和合抵押品品的计算 Incremental exposure updates for intra-day portfolio impact 根据当日投资组合的变化更新敞口 Credit loss simulation 违约损失模拟,Credient Analytics: Market Risk 市场风险,Powerful si

18、mulation engine 强大的模拟引擎 Intra-day and distributed processing capability 日间和分布处理能力 Sophisticated reporting 强大成熟的报表生成能力 Back testing-enabled 后台可测试能力 Powered by SunGard Market Simulator Technology 借助SunGard强大的市场摸拟器技术 Value At Risk (VAR) 风险度量 Analytic VAR分析型VAR Monte Carlo Simulation蒙特卡罗摸拟 Historical Si

19、mulation历史摸拟 Stress Testing压力测试,Credient Risk Server风险管理运行单元,System Overview 系统概述,Architecture 体系结构,Market Data Static Data,Deal Data,- Component Architecture 基于组件的体系结构 Distributed Architecture分布式体系结构 Standard Interface (XML) 标准接口（XML）,Credient 工作流,Credient 参考,Credient 报表,中间件,其它未来组件,市场数据 统计数据,交易数据,A

20、rchitecture 体系结构,3 tier Architecture 三层客户/服务器模式,Powerful User Interface 强大的用户界面,Credient Risk Server (CRS) 风险管理运行单元,Designed for Advanced Analytics 为高级分析而设计 Built-in Portfolio Manager 嵌入式投资组合管理 Built-in Netting Engine嵌入式轧差引擎 What if Analysis 假设分析 Plug-in with internal or external Analytics Engine (C

21、redient Analytics) 可插接式内部或外部分析引擎 Workflow Capabilities 工作流程 High Performance Server 高性能运行,Credient Analytics 风险分析,Plug-in Analytics Engine, covering: 嵌入式分析引擎 Full Monte-Carlo Simulation Engine 完全的蒙特卡罗模拟引擎 High Speed Monte-Carlo Approximation Engine 高速蒙特卡罗近似引擎 Credit Loss Calculation Engine 信用损失计算引擎,

22、Credient Analytics,Fully integrated with the Credient Risk Server 完全与风险运行单元集成 Counterparty Portfolio Analysis 交易方投资组合分析 Full Monte Carlo simulation 蒙特卡罗模拟 Fast analytic Monte Carlo approximation 蒙特卡罗近似值的快速分析 Results in time to affect dealers decisions 及时产生结果以影响交易员的决策 Credit loss simulation 风险损失的模拟,分

23、析单元,Credient Analytics: Real Time 实时,Very high speed Monte-Carlo approximation engine 非常高速的蒙特卡罗近似引擎 Developed in collaboration with Oxford University 与牛津大学合作开发 Patent Pending在申请过程中的专利,Credient Analytics: Credit Loss 信用分析:贷款损失,Powered by SunGard Credit Simulator Technology借助SunGard强大的市场摸拟器技术 Credit L

24、oss Engine信用损失引擎 “Enhanced Credit Metrics” principle“增强型信贷风险资产组合模型Credit Metrics”规则,Credient Workflow 工作流程,Basic components of a workflow system 一个工作流系统的基本组件 Currently available: 目前的功能 Violation classification 违约分类 Violation Monitor 违约监视,Credient Collateral 抵押品管理,Collateral Management system 抵押品管理系统

25、 Derived from SunGard Collateral 来自于SunGard 抵押品管理系统 Deals fed from CRS 来自于CRS交易数据 Net collateral fed to CRS抵押品数据返回CRS,Credient Collateral,Manages the process of calling and pledgingcollateral to mitigate Credit Exposures 管理的要求和抵押的过程以降低风险敞口 Rehypothecation 再抵押权 Global / multi-centre capability 全球/多中心

26、的能力 Cross business capability 交叉业务的能力 Multiple asset types 多种资产形态 Flexible framework for defining agreement rules 界定协议规则的灵活框架 Trade reconciliation 交易对帐,抵押品单元,Credient Reports 报表,Credient Reporting Engine 报表生成引擎 Enterprise wide access via web browser 用户可通过浏览器访问 Enterprise level control 企业级控制 Access p

27、ermissions 访问权限 Scheduling 访问时间控制 Report distribution 报表传送 Publication Wizard for new reports 自动的新报表生成工具,Credient Reports,Web User Interface 网络化用户界面 Reporting, customised reporting, centralised administration & distribution 报告，定制化的，集中管理和分配 Credient Analytics 分析 Credient Risk Server 风险运行 Credient Col

28、lateral 抵押品 Drilldown and customisation 深入的和定制化的 Desktop integration, amend and re-publish 桌面集成，修改和再发行,报告,Credient Reference,Reference data feed handling utilising NTM / XML standards for reference or counterparty static data 用NTM/XML标准进行参考数据的输入处理 Utilises the banks preferred master database for ref

29、erence data or provide Credient as the master 使用银行选择的数据库处理参考数据，或将Credient做为主要的数据库 Can utilise external static data databases or services 可使用外部静态数据库或服务功能,参照单元,Credient Marketer,Client gateway to risk information, market information, and Banks tools. From 客户获取风险信息：市场信息的通道，银行的工具， 主要为： Simple transactio

30、n lists 简单的交易记录 P&L reports, to 损益表 Sharing of Analytic tools 分析工具共享 Creation of services for the banks clients 为银行的客户创新的服务 Creating opportunities, confirming relationships and building customer loyalty 创造机会，确立关系及建立客户的忠诚度,市场单元,Credient Middleware,Provides complete business integration solutions: 提供完

31、整的商业集成方案 Integration middleware 集成中间件 Platform independent 独立的平台 Message oriented middleware 以信息为基础的中间件 Participation in Standards Associations for XML & Fpml 使用XML &Fpml 协议,中间件,Risk Backbone,NTM (Network Trade Model) is a library of XML based message definitions NTM（网络交易模型）基于XML标准的信息来源 Single gateway to Banks internal backbone, and/or 银行内部骨干的单一网关，和/或 Adapters built for Banks systems 适用于银行系统的适配器,骨干传输,Credient Future 未来组件,Credient Legal法律 Credient Marketer市场人员 Credient Ratings评级 Credient Risk Serv