風(fēng)險(xiǎn)管理_risk_management（PPT41頁).ppt

RAROCandReview,Lecture10,1,WhereWeregoing,IntroductionandEnterpriseRiskManagementValueatRiskValueatRisk:ModelBuildingPortfoliosValueatRisk:ModelBuildingVolatilityValueatRisk:HistoricalSimulationCreditRiskLiquidityRisksandTradingRisksOperationalRisk,CountryandSovereignRiskRegulationRAROCandReview,2,LastWeek,RegulationsBaselI,II,IIIBISSolvencyCapitalNetting,Thisweek,EconomicCapitalRAROCCapitalAllocationReview,Quote,“Playingitsafeistheriskiestchoicewecanevermake.”SarahBanBreathnach,Quote,Allcoursesofactionarerisky,soprudenceisnotinavoidingdanger(itsimpossible),butcalculatingriskandactingdecisively.Makemistakesofambitionandnotmistakesofsloth.Developthestrengthtodoboldthings,notthestrengthtosuffer.“NiccoloMachiavelli,ThePrince,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,EconomicCapital,Abanksownassessmentofthecapitalitrequires,7,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,ModelUsedforEconomicCapital(SameasRegulatoryCapital),Lossoveroneyear,ExpectedLoss,Xpercentile,Capital,8,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,ChoiceofParameters,ForabankwishingtomaintainaAA-rating,capitalischosensothatXisabout99.97%andtimehorizonisoneyearThisisbecausestatisticsfromratingagenciesshowthatanAA-ratedcompanyhasaprobabilityofonlyabout0.03%ofdefaultinginoneyear,9,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,TheBaselIIRegulatoryEnvironment,TotalRisk,BusinessRisk(noregulatorycapital):RiskfromStrategicDecisionsReputationRisk,Non-BusinessRisk(regulatorycapital):CreditRiskMarketRiskOperationalRisk,10,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,One-yearMarketRiskGains/LossDistribution,Loss,Gain,11,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,One-yearCreditRiskLossDistribution,Loss,12,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,OneYearOperationalRiskLossDistribution,Loss,13,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,CharacteristicsofDistributions,14,RiskManagementandFinancialInstitutions3e,Chapter23,CopyrightJohnC.Hull2012,ImportanceofRisks,15,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,EuropeanGrowthTrust(ExampleofOperationalRiskinAssetManagement),Nomorethan10%ofEGTcouldbeinvestedinunlistedsecuritiesPeterYoungthefundmanagerviolatedthisruleThecosttoDeutscheBankwasabout$200million,16,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,InteractionsofRisks,CreditRisk,MarketRisk,OperationalRisk,LGDandPDdependonmarketvalue,Operationalriskscanbecontingentonmarketmovesorcreditevents,17,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,IntegratedRiskManagement,TypicallyabankcalculateseconomiccapitalfordifferenttypesofriskanddifferentunitsItisthenfacedwiththeproblemofaggregatingtherisks,18,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,CombiningtheDistributions,Assumeperfectcorrelation:overstatescapitalbyabout40%Assumedistributionsarenormalforthepurposesofaggregation:understatescapitalbyabout40%Hybridapproach:seemstoworkreasonablewell,19,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,Example:EconomicCapitalEstimates,20,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,Correlations,Marketandcreditriskwithinthesamebusinessunit:0.5Marketandoperationalriskorcreditandoperationalriskwithinthesamebusinessunit:0.2Marketrisksacrossbusinessunits:0.4Creditriskacrossbusinessunits:0.6Operationalriskacrossbusinessunits:0.0,21,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,TotalEconomicCapital,BusinessUnit1:100.0BusinessUnit2:153.7Wholebank:203.2Diversificationbenefitis253.7203.2=50.5Howshouldthisbeallocatedtothebusinessunits?Equivalentlyhowshouldthetotaleconomiccapitalof203.2beallocated?,22,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,Alternatives,AllocateeconomiccapitalinproportiontothestandaloneeconomiccapitalsAllocateeconomiccapitalinproportiontomarginalcontributionofbusinessunitstototaleconomiccapitalSeteconomiccapitalforbusinessunitiequaltowherexiisthesizeofbusinessuniti,23,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,DeutscheBankEconomicCapital(millionsofEuros),24,AllocationofDeutscheBankCapital,RiskManagementandFinancialInstitutions3e,Chapter23,CopyrightJohnC.Hull2012,25,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,RAROC,RAROCisthereturnoneconomiccapitalforabusinessunitThedenominatoristheeconomiccapitalallocatedtothebusinessunitThenumeratoristheexpectedprofit.Thiscanbebeforeoraftertaxandcanincludeinterestattherisk-freerateontheeconomiccapitalItissometimesalsoreferredtoasRORAC,26,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,Example,WhenlendinginacertainregionoftheworldanAA-ratedbankestimatesitsaveragelossesfromdefaultsas1%ofoutstandingloansperyearThe99.97%worstcaselossis5%ofoutstandingloansEconomiccapitalper$100ofloansistherefore$4,27,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,Examplecontinued,Thebanksspreadbetweencostoffundsandinterestchargedis2.5%andadministrativecostsare0.7%,28,RiskManagementandFinancialInstitutions4e,Chapter26,CopyrightJohnC.Hull2015,Ex-antevsEx-post,RAROCwasoriginallysuggestedasatooltobeusedonanex-antebasis.ThismeansthatwehavetoforecasttheexpectedlossItisthenusedasatooltoallocatecapitaltothemostprofitablepartsofthebusinessItisalsosometimesusedonanex-postbasisforperformanceevaluation.Realizedlossthenreplacesexpectedloss,29,Review,WhereWeregoing,IntroductionandEnterpriseRiskManagementValueatRiskValueatRisk:ModelBuildingPortfoliosValueatRisk:ModelBuildingVolatilityValueatRisk:HistoricalSimulationCreditRiskLiquidityRisksandTradingRisksOperationalRisk,CountryandSovereignRiskRegulationRAROCandReview,31,IntroductionandEnterpriseRiskManagement,RiskvsReturnTypesofRiskEnterpriseRiskManagementIdentifyingPerformanceandRisk,32,ValueatRisk,ValueatRiskParametricVaRExpectedShortfallCoherenceinRiskMeasure,33,ValueatRisk:ModelBuildingPortfolios,ModelBuildingapproachExpectedShortfallAuto-correlationPortfolioMeasuresIncrementalV