风险管理_risk_management（PPT41页)

RAROCandReviewLecture101WhereWe’regoing1.IntroductionandEnterpriseRiskManagement2.ValueatRisk3.ValueatRisk:ModelBuilding–Portfolios4.ValueatRisk:ModelBuilding–Volatility5.ValueatRisk:HistoricalSimulation6.CreditRisk7.LiquidityRisksandTradingRisks8.OperationalRisk,CountryandSovereignRisk9.Regulation10.RAROCandReview2LastWeekRegulationsBaselI,II,IIIBISSolvencyCapitalNettingThisweekEconomicCapitalRAROCCapitalAllocationReviewQuote“Playingitsafeistheriskiestchoicewecanevermake.”SarahBanBreathnachQuoteAllcoursesofactionarerisky,soprudenceisnotinavoidingdanger(it’simpossible),butcalculatingriskandactingdecisively.Makemistakesofambitionandnotmistakesofsloth.Developthestrengthtodoboldthings,notthestrengthtosuffer.“NiccoloMachiavelli,ThePrinceRiskManagementandFinancialInstitutions2e,Chapter15,Copyright©JohnC.Hull2009RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015EconomicCapitalAbank’sownassessmentofthecapitalitrequires7RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015ModelUsedforEconomicCapital(SameasRegulatoryCapital)-0.200.20.40.60.811.20510152025303540LossoveroneyearExpectedLossXpercentileCapital8RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015ChoiceofParametersForabankwishingtomaintainaAA-rating,capitalischosensothatXisabout99.97%andtimehorizonisoneyearThisisbecausestatisticsfromratingagenciesshowthatanAA-ratedcompanyhasaprobabilityofonlyabout0.03%ofdefaultinginoneyear9RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015TheBaselIIRegulatoryEnvironmentTotalRiskBusinessRisk(noregulatorycapital):RiskfromStrategicDecisionsReputationRiskNon-BusinessRisk(regulatorycapital):CreditRiskMarketRiskOperationalRisk10RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015One-yearMarketRiskGains/LossDistribution00.050.10.150.20.250.30.350.40.45-6-4-20246LossGain11RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015One-yearCreditRiskLossDistribution00.10.20.30.40.50.605101520Loss12RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015OneYearOperationalRiskLossDistributionLoss13RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015CharacteristicsofDistributionsSecondMoment(Variance)ThirdMoment(Skewness)FourthMoment(Kurtosis)MarketRiskHighZeroLowCreditRiskModerateModerateModerateOperationalRiskLowHighHigh14RiskManagementandFinancialInstitutions3e,Chapter23,Copyright©JohnC.Hull2012ImportanceofRisksTypeofBusinessMostImportantRiskCommercialBankingCreditRiskInvestmentBanking&TradingMarketRiskandCreditRiskAssetManagementOperationalRisk15RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015EuropeanGrowthTrust(ExampleofOperationalRiskinAssetManagement)Nomorethan10%ofEGTcouldbeinvestedinunlistedsecuritiesPeterYoungthefundmanagerviolatedthisruleThecosttoDeutscheBankwasabout$200million16RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015InteractionsofRisksCreditRiskMarketRiskOperationalRiskLGDandPDdependonmarketvalueOperationalriskscanbecontingentonmarketmovesorcreditevents17RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015IntegratedRiskManagementTypicallyabankcalculateseconomiccapitalfordifferenttypesofriskanddifferentunitsItisthenfacedwiththeproblemofaggregatingtherisks18RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015CombiningtheDistributionsAssumeperfectcorrelation:overstatescapitalbyabout40%Assumedistributionsarenormalforthepurposesofaggregation:understatescapitalbyabout40%Hybridapproach:seemstoworkreasonablewellninjjiijtotalEEE1119RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015Example:EconomicCapitalEstimatesBusinessUnit1BusinessUnit2MarketRisk3040CreditRisk7080OperationalRisk309020RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015CorrelationsMarketandcreditriskwithinthesamebusinessunit:0.5Marketandoperationalriskorcreditandoperationalriskwithinthesamebusinessunit:0.2Marketrisksacrossbusinessunits:0.4Creditriskacrossbusinessunits:0.6Operationalriskacrossbusinessunits:0.021RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015TotalEconomicCapitalBusinessUnit1:100.0BusinessUnit2:153.7Wholebank:203.2Diversificationbenefitis253.7–203.2=50.5Howshouldthisbeallocatedtothebusinessunits?Equivalentlyhowshouldthetotaleconomiccapitalof203.2beallocated?22RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015AlternativesAllocateeconomiccapitalinproportiontothestandaloneeconomiccapitalsAllocateeconomiccapitalinproportiontomarginalcontributionofbusinessunitstototaleconomiccapitalSeteconomiccapitalforbusinessunitiequaltowherexiisthesizeofbusinessunitiiixEx23RiskManagementandFinancialInstitutions4e,Chapter26,Copyright©JohnC.Hull2015DeutscheBankEconomicCapital(millionsofEuros)24CreditRisk12,013MarketRisk12,738OperationalRisk5,253Diversifi