风险管理（杨一民）(1)

NewGameforFinancialMarket金融市场新游戏&NewGameFieldforRiskManagement风险管理新环境YiminYang(杨一民)VicePresident&Sr.ManagerRiskAnalytics2介绍PNCItusedtobeabank,butnow(曾经叫做银行,但现在是…)PNCBank15thlargestUSBank$70BillionAssetBlackRockOneofthebest&fastestgrowingInvestmentCompanyonWallStreet$300BillionAssetUnderMgntPFPCBrokerage&ProcessingCapitalMarketInvestment……PNCFinancialServiceGroup(PNC金融服务集团)3介绍RiskAnalyticsRiskAnalytics(CentralizedRiskMngtTeam)CROCapitalAllocation资本配置ReserveAdequacy准备金AssetMngt(ALCO)资产管理PortfolioMngt组合管理PNCBoard董事会报告more……PNCCommittees主要管理委员会CEOPresidentCCOCFODecision-MakingSupport决策分析辅助CreditRisk$50BillionOperationalRiskBaselIIMarketRiskInvestmentBusinessLinesRiskManagement风险管理TradingAnalytics4Now,backtoourtopics言归正传5两个热门话题TwoCurrentHotTopicsTheGame(新游戏)CreditRisk,morespecifically(信用风险)CreditDerivatives(信用衍生品)TheGameField(新环境)NewRegulatoryEnvironment,morespecifically(新监管要求)BaselII(巴塞尔协议)6CreditRisk&CreditDerivatives信用风险与信用衍生产品7WhatisCreditDerivative什么是信用衍生品WhatisCreditRisk(什么是信用风险)Theriskthatacompanyisunable/unwillingtomakepromisedpayment(不能按时支付)WhatareCreditDerivatives(什么是信用衍生品)Financialproductsthatprice&transfercreditrisk(用于转移信用风险的金融产品)CreditDefaultSwap(CDS),AssetSwapCashFlowCollateralDebtObligation(CDO),SyntheticCDONth-to-defaultbaskets,SingleTrancheCDO,CDOOptionStandardizedIndexTranches,CDOSquared8Example:CreditDefaultSwap(CDS)例一MostofCreditDerivativesareCDS(70%)(市场主要产品)Itissimilartobuy/sellinsurancefordefault(类似破产保险)ProtectionBuyer买保方ProtectionSeller卖保方UnderlyingAsset(GEBond,forexample)持有风险资产比如GE债券Regular%Fee定期付费(保险费)(Libor+Spread)PaymentIFtheunderlyingassetdefaults当GE发生破产时,付损失费9Example:(CollateralizedDebtObligation(CDO)例二CDOisToday’smarketfavorite(市场宠儿)Aportfolioistranchedtoabsorblosses.InvestorscaninvestindifferenttranchesEquityTranche$10mmMazzanine$15mmSeniorTranche$35mmSuperSenior$40mm$100mmAsset(AportfolioofCorp.bond,e.g.)1亿风险资产Return=0.5%Return=1.5%Return=3%Return=7%10Example:CDX.HY例三PopularDowJonesCDX.HY(DowJones推出的CDS指数之一)100liquidBB/B-ratedCDSENTITIES,equallyweighted.(一百家高风险公司组成)Resetevery6months5yearisthemostcommonmaturityOver20industriesStandardized6LossTranches(六个标准断)0-3%Equity,3%-7%,7%-10%,10%-15%,15%-30%,30%-100%Investorsbuy&tradethesetranches,justlikebuyingstocksoranyotherfinancialproducts(象一般投资一样买卖)HYstandsforHigh-Yield(thereisalsoCDX.IGforInvestmentGradewith125names)(DowJones还有其他指数)11Example:CDX.HY例三30%(三十个公司破产)15%(十五个公司破产)10%(十个公司破产)7.0%(七个公司破产)3.0%(三个公司破产)0.0%(没有公司破产)EachTrancheistradedatadifferentprice(风险不同,定价不同)EquityTranche(0%-3%)hasthehighestrisk,therefore,highestreturnSuperSeniorTranche(30%-100%)offersthelowestreturn(spread)12GlobalMarket(全球市场)EstimatedGlobalCreditDerivativeMarket(US$Billion)01803505868931398219135845088672583631000002000400060008000100001200019961997199819992000200120022003200420052006200713MajorPlayers(主要运动队)ProtectionBuyers51%16%16%3%7%6%1%CommercialBanksInvestmentBanksHedgeFundsCorporatesInsuranceMutual/PensionFundsOtherProtectionSellers38%16%15%2%20%8%1%14KeyDrivers(主要原因)HedgePortfolioRisk(风险抵消)TakeExposureinCreditRisk(投资信用风险)EnhanceProfitability(增加回报)ImproveRiskManagement&ReduceRegulatoryCapital(风险与资本管理)IncreaseAsset&LiabilityManagementCapability(资产管理)CreditisnowaTRADABLEasset(已成交易资产)15ChallengesToFinancialPractitioners(主要的挑战)UnderstandingofDefaultRisk(深入了解违约风险)DefaultProbabilityModeling(违约率模型)DefaultRiskPricingforvariousmarkets(不同市场违约风险定价)PortfolioManagement(组合管理)Correlation&PortfolioLossDistribution(相关性与损失分别)RiskManagement&CapitalAllocation(风险管理与资本配置)Cross-MarketRiskHedgingTechniques(跨越不同市场的风险分化手段)16SinglenameDefaultModeling(单个公司违约率模型)StructuralModel(结构性模型)AssetValue-BasedType:AfirmwilldefaultifitsassetvaluefallsbelowcertainthresholdCreditMetricsKMVReduced-FormTypeModel(简化性模型)Intensity-basedfirst-passageMarketPrice(RiskNeutralDefaultProbability)-Based(市场价格性模型)CDS&BondSpreadStatistical/Actuarial(统计性模型)Moody’sRiskCalc17StructuralModel(结构性模型)AssetValue-BasedModelCreditMetricsAssetfollowsanormaldistributionwithmeanandstandarddeviation.Debtisassumedtobedeterministic.ThedefaultprobabilityisthenKMVAssetmarketvalue(notbookvalue)followsa(lognormal)diffusionprocess(Brownianprocess)AAAADAW1AAADP¥AAAWAAdddt18StructuralModel(结构性模型)KMVThiscanbeeasilysolvedToestimatethemarketvalue,oneusesMerton’sview:EquityisaCalloptiononAssetwithDebtasthestrike220AAAATWTAADAe20ln()12()DAAAAATTP¥EEEEWEEdddt19StructuralModel(结构性模型)KMVByIto’sLemma,weobtainAnotherconditionisaddedtosolvetheCallprice(Equity)KMVisverysuccessful(itwassoldtoMoody’slastyearfor$220mm)E(i.e.andhavethesamerandomsource)AEdWdWAEEAAEEA(=MarketPriceofRisk)AEAErr20Reduced-FormModel(简化性模型)FirstPassageDefaultModel:DefaultoccurswhentheAssethitstheDebtforthe1sttime.Thatis,thedefaulttimeanddefaultprobabilityIntensity-basedmodel:Conditionalonanyrealizationofthedefaultintensity,thedefaultprocessfollowsaPoissonarrival.Ifletbetheinformationavailableuptotimet,theninf0:tttADt()Pr{}1()tetPtobtEe