巴塞爾資本協(xié)定與風(fēng)險(xiǎn)管理.ppt

,新巴塞爾資本協(xié)定與風(fēng)險(xiǎn)管理,主講人：財(cái)政部金融局 曾局長(zhǎng)國(guó)烈,九十三年五月二十一日,目 錄,新巴塞爾資本協(xié)定 銀行的風(fēng)險(xiǎn)管理 金融局與銀行公會(huì)新巴塞爾資本協(xié)定共同研究小組,新巴塞爾資本協(xié)定的三大支柱,風(fēng)險(xiǎn)管理,PILLAR,PILLAR,PILLAR,新巴塞爾資本協(xié)定的目標(biāo) 提昇銀行的風(fēng)險(xiǎn)管理,ASSETS (on- and off-balance sheet ),Credit Portfolio Trading Portfolio,LIABILITIES (on- and off-balance sheet ),Deposits & Debt,(Equity) Capital,Balance sheet risks due to (maturity) mismatches in Interest rates Exchange rates Liquidity,Transaction risks Credit risk、Market risk、Operational risk,銀行風(fēng)險(xiǎn)的型態(tài),Monitor Identify and avoid,Limit Management,Stress Testing Scenario Analysis Market VaR, Credit VaR,Risk Analysis,Facilitate Pricing Allocate Economic Capital,RAROC,Active Portfolio Management,風(fēng)險(xiǎn)管理的步驟,INTEGRATED RISK MANAGEMENT,Strategy,Organization,Operations/Reporting,銀行風(fēng)險(xiǎn)管理面臨關(guān)鍵的六項(xiàng)挑戰(zhàn),2. Establish an independent firm-wide risk management function.,1. Transition from a risk- control culture to value-based management.,3. Establish a common risk language. 4. Develop a capital allocation framework.,5. Specify key information requirements for senior management. 6. Develop an integrated systems infrastructure to support information delivery.,Measurement,Growth,Value Creation,Risk,StrategyBalance risks and return,Growth measures include: Volume increases Quality of asset base Geographic penetration Percent revenue increase - over a five-year period,Absolute exposure Exposures adjusted for market volatility and product sensitivity: Basis point measure Value at Risk measure Integration of financial risk Capital at Risk measure,Investor profitability measures: P/E ratio RoE/RoA Value-based measures: Economic Value Added (EVA),Profitability,Organization- the pyramid of risk management,Transactions,Global risk return targets,Poles, subsidiaries.,Business units,Top-down Revenues and risk (capital) allocations,Bottom-up Aggregate risks and profitability and monitor,3 sides: Target revenue Risk limits Guidelines applicable to business unit policies,Measurementfrom traditional measures of risk to VaR,Market risk,-Risk measures volatilities sensitivities “Greek letters” -Market values,Credit risk,-Rating / Maturities/ Industries -Watch lists -Concentration -Portfolio monitoring,Interest rate risk,-Gaps Liquidity Interest rate Duration gaps,Other risk,VaR,12,Operations / Reporting,1.Guidelines: Limits Delegations Target return,2.decision-making: Ex ante New transactions Hedging Portfolio R&R enhancement,3.Monitoring: ex post Follow-up Reporting R&R Corrective actions,目的：推廣銀行業(yè)者對(duì)於新巴塞爾資本協(xié)定之重視，強(qiáng)化銀行業(yè)之風(fēng)險(xiǎn)管理以提升銀行業(yè)之競(jìng)爭(zhēng)力。 目標(biāo)：研究新巴塞爾資本協(xié)定之內(nèi)容、對(duì)於我國(guó)風(fēng)險(xiǎn)管理之影響與挑戰(zhàn)及考量我國(guó)之金融環(huán)境，研提適用我國(guó)銀行業(yè)者之新巴塞爾資本協(xié)定之內(nèi)容，修訂銀行資本適足性管理辦法等相關(guān)法令之提案。,財(cái)政部金融局與銀行公會(huì)新巴塞爾資本協(xié)定共同研究小組,共同研究小組工作進(jìn)度（第一階段）,共同研究小組工作進(jìn)度（第二階段）,共同研究小組工作進(jìn)度（第三階段）,共同研究小組工作進(jìn)度（第四階段）,共同研究小組工作進(jìn)度（第五階段）,第一階段研究報(bào)告（CP2) 第一階段修正研究報(bào)告（CP3) 第一階段初步試算(CP3) 第二階段研究報(bào)告（CP3),共同研究小組截至93.4之研究成果:,第一階段之初步試算,試算對(duì)象：標(biāo)準(zhǔn)法組9家參與銀行 試算版本：第三版諮詢文件(CP3) 試算基準(zhǔn)日：民國(guó)91年6月30日 試算項(xiàng)目：僅包括對(duì)銀行資本適足率影響比 較明顯之項(xiàng)目，包括消費(fèi)性貸款、 企業(yè)放款、國(guó)家主權(quán)、逾期放款、 銀行/保險(xiǎn)公司/證券公司、保證/ 信用衍生性商品及作業(yè)風(fēng)險(xiǎn)計(jì)七 大項(xiàng)目。,試算結(jié)果對(duì)銀行資本適足率總影響,9家參與試算行庫(kù)之資本適足率平均提升 0.1812%，變動(dòng)率為1.5873%。整體而言，新協(xié)定之標(biāo)準(zhǔn)法是有可能提升銀行之資本適足率，但最後結(jié)果仍視各銀行之資產(chǎn)品質(zhì)而定。,試算結(jié)果明細(xì),試算結(jié)果說(shuō)明,1.提升資本適足率之主要項(xiàng)目： A.傳統(tǒng)大型行庫(kù)在企業(yè)放款具有較多的風(fēng)險(xiǎn)抵減效果，至於全體參與銀行之平均影響數(shù)則為提高適足率0.32。 B.新銀行則在消費(fèi)性放款具有較多的風(fēng)險(xiǎn)抵減效果，而全體參與銀行之平均影響數(shù)則為提高資本適足率0.62。 2.降低資本適足率主要項(xiàng)目： A.新增作業(yè)風(fēng)險(xiǎn)之資本計(jì)提對(duì)各銀行皆有明顯負(fù)面影響，全體參與銀行平均影響數(shù)為資本適足率降低0.57。 B.逾期放款