资产负债培训- Risks Measures Risk Management.pptVIP

风险衡量基准与风险管理 Risk Measures and Risk Management. 风险衡量基准与风险管理. Jeremy Porter, FIA 博杰明 英国精算师 June / July 2005 （2005年6月／7月） Agenda 目录 ALM Risks faced by Life Insurers寿险公司面临的 ALM 风险 Essential Features of Risk Measures风险衡量基准的基本特征 Traps and Pitfalls 陷阱与缺陷 A Holistic Approach to Risk Measurement风险衡量的综合方法 Examples实例 ALM Risks. ALM 风险. ALM Risks ALM 风险 Most Economic Risks are also Statutory Risks 大多数经济风险亦是法定风险 Statutory Risks may not be Real 法定风险未必是实际风险 Statutory Risks 法定风险 Economic Risks and Statutory Risks 经济风险与法定风险 The relationship between economic and statutory risks is very specific to the local valuation regulations经济风险与法定风险之间的关系有赖于当地的准备金法规 In Hong Kong, the first example would immediately impact the insurance company’s statutory solvency在香港，第一个实例会立即影响到寿险公司的法定偿付能力 Because of the use of market based valuation interest rates因为采用基于市场的估值利率 Note that in Japan, the second example would not have any impact on the companies statutory liabilities (policy reserves)在日本，第二个实例不会对公司的法定负债（保单储备金）产生任何影响 Economic Risks 经济风险 Falling investment returns caused by 由于以下原因，致使投资回报减少 prolonged low interest rates, or 长期低利率，或 poor equity market performance, or 股市表现欠佳，或 falling real estate values, or 房地产价值下跌，或 asset defaults, etc. 资产违约等 Falling asset values at a bad time 资产价值下跌时机不当 high interest rates or falling equity markets at a time of significant surrender or maturity payments在大量解约或到期偿付时，利率高企或股市下滑 Un-hedged currency movements act against the insurer保险公司对货币兑换率未进行对冲 Unexpected removal (or failure) of a currency peg意外取消货币挂钩 Valuation Basis 估值基准 ALM problems that materialize are quite different under the following types of valuation basis:根据以下各类估值基准具体化的 ALM 问题相当不同： Passive Valuation Basis 被动的估值基准 Extremely important for companies working passive basis to be aware of 采用被动基准的公司必须知悉 the economic basis solvency 经济基准偿债力 the economic risks, as well as 经济风险，以及 the statutory basis solvency 法定基准偿债力 Extremely important for regulators in markets with a passive b