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毕博上海银行咨询毕博上海银行咨询ERMS Proposals Enterprise Risk Management System- Hanvit.ppt

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# DEVELOPING AN ENTERPRISE RISK MANAGEMENT SYSTEM AT HANVIT 2001 M Street, N.W. Washington, D.C. 20036 U.S.A. Agenda What is risk? Market Risk Enterprise-Wide Risk Management Getting Started Our Approach to Your Request What is Risk? The CEO’s Role is to Respond to Seemingly Opposed Interests Financial strength: What is the bank’s risk appetite? Does the bank have enough capital to cover it’s risks? Can the bank monitor control risks? Risk Management Provides the Means of Balancing Safety concerns with Profitability Objectives “Economic” Capital is the Only Means of Assuring Adequate Risk Coverage Guidelines based on average capital held by U.S. and European banks Average risk weights Portfolios used are comprised of relatively high-quality credit Does not account for credit quality across customers Does not account for risk appetite or institutional credit quality Does not consider diversification effects Specialty products reflect pure play capital levels Reflect local customer pool Developed for institution-specific products, exposures, volumes Must reflect risk-appetite (desired credit quality) of the institution Should account for market-specific economic trends Must reflect institution specific correlation and concentration Risk is Uniformly Measured as Volatility Applied Through Different Methodologies Across Risk Categories Market Risk Can Be Divided Into Two Broad Categories The Industry Standard For Measuring Market Risk In Trading Is “Value-at-risk” Value-at-Risk (VAR) uses past history of market movements and statistics to quantify market risk VAR can be calculated at any level of operations: VAR provides a consistent framework for comparing market risk and return for various activities Value At Risk Combines Two Market Risk Elements . . . VAR Can Be Aggregated Firm-wide Using Correlation Estimates . . . Market data is converted to VAR and translated to Capital VAR Can Be Used As A Common Currency Of Risk To Compare Positions . . . Altho