《风险管理杨一民》PPT课件.ppt

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1、New Game for Financial Market金融市场新游戏金融市场新游戏&New Game Field for Risk Management风险管理新环境风险管理新环境Yimin Yang(杨一民)Vice President&Sr.ManagerRisk Analytics1介绍 PNCnIt used to be a bank,but now (曾经叫做银行,但现在是)PNC Bank15th largestUS Bank$70 Billion AssetBlackRockOne of the best&fastest growingInvestment Company o

2、n Wall Street$300 Billion Asset Under MgntPFPCBrokerage&ProcessingCapital MarketInvestmentPNC Financial Service GroupPNC Financial Service Group(PNC(PNC 金融服务集团金融服务集团)2介绍Risk AnalyticsRisk Analytics (Centralized Risk Mngt Team)CROCapital Allocation资本配置Reserve Adequacy准备金Asset Mngt(ALCO)资产管理Portfolio

3、Mngt组合管理PNC Board董事会报告 more PNCCommittees主要管理委员会CEOPresidentCCOCFODecision-Making Support 决策分析辅助Credit Risk$50 BillionOperationalRiskBasel IIMarketRiskInvestmentBusinessLinesRisk Management 风险管理TradingAnalytics3Now,back to our topics言归正传言归正传4两个热门话题 Two Current Hot Topics nThe Game(新游戏)qCredit Risk,m

4、ore specifically(信用风险)Credit Derivatives(信用衍生品)nThe Game Field(新环境)qNew Regulatory Environment,more specifically(新监管要求)Basel II(巴塞尔协议)5Credit Risk&Credit Derivatives信用风险与信用衍生产品6What is Credit Derivative什么是信用衍生品nWhat is Credit Risk(什么是信用风险)qThe risk that a company is unable/unwilling to make promised

5、 payment(不能按时支付)nWhat are Credit Derivatives(什么是信用衍生品)qFinancial products that price&transfer credit risk(用于转移信用风险的金融产品)Credit Default Swap(CDS),Asset SwapCash Flow Collateral Debt Obligation(CDO),Synthetic CDONth-to-default baskets,Single Tranche CDO,CDO OptionStandardized Index Tranches,CDO Square

6、d 7Example:Credit Default Swap(CDS)例一qMost of Credit Derivatives are CDS(70%)(市场主要产品)qIt is similar to buy/sell insurance for default(类似破产保险)Protection Buyer买保方Protection Seller卖保方Underlying Asset(GE Bond,for example)持有风险资产比如GE债券Regular%Fee 定期付费(保险费)(Libor+Spread)Payment IF the underlying asset defa

7、ults当GE发生破产时,付损失费8Example:(Collateralized Debt Obligation(CDO)例二nCDO is Todays market favorite(市场宠儿)qA portfolio is tranched to absorb losses.Investors can invest in different tranchesEquity Tranche$10mmMazzanine$15mmSenior Tranche$35mmSuper Senior$40mm$100mm Asset(A portfolio of Corp.bond,e.g.)1 1亿

8、风险资产亿风险资产Return=0.5%Return=1.5%Return=3%Return=7%9Example:CDX.HY例三nPopular Dow Jones CDX.HY(Dow Jones 推出的CDS指数之一)q100 liquid BB/B-rated CDS ENTITIES,equally weighted.(一百家高风险公司组成)Reset every 6 months5 year is the most common maturityOver 20 industriesqStandardized 6 Loss Tranches(六个标准断)0-3%Equity,3%-

9、7%,7%-10%,10%-15%,15%-30%,30%-100%qInvestors buy&trade these tranches,just like buying stocks or any other financial products(象一般投资一样买卖)qHY stands for High-Yield(there is also CDX.IG for Investment Grade with 125 names)(Dow Jones还有其他指数)10Example:CDX.HY例三30%(三十个公司破产三十个公司破产)15%(十五个公司破产十五个公司破产)10%(十个公司

10、破产十个公司破产)7.0%(七个公司破产七个公司破产)3.0%(三个公司破产三个公司破产)0.0%(没有公司破产没有公司破产)qEach Tranche is traded at a different price(风险不同,定价不同)Equity Tranche(0%-3%)has the highest risk,therefore,highest returnSuper Senior Tranche(30%-100%)offers the lowest return(spread)11Global Market(全球市场)12Major Players(主要运动队)13Key Drive

11、rs(主要原因)nHedge Portfolio Risk(风险抵消)nTake Exposure in Credit Risk(投资信用风险)nEnhance Profitability(增加回报)nImprove Risk Management&Reduce Regulatory Capital(风险与资本管理)nIncrease Asset&Liability Management Capability(资产管理)qCredit is now a TRADABLE asset(已成交易资产)14Challenges To Financial Practitioners(主要的挑战)nUn

12、derstanding of Default Risk(深入了解违约风险)qDefault Probability Modeling(违约率模型)qDefault Risk Pricing for various markets(不同市场违约风险定价)nPortfolio Management(组合管理)qCorrelation&Portfolio Loss Distribution(相关性与损失分别)qRisk Management&Capital Allocation(风险管理与资本配置)qCross-Market Risk Hedging Techniques(跨越不同市场的风险分化手段

13、)15Single name Default Modeling(单个公司违约率模型)nStructural Model(结构性模型)qAsset Value-Based Type:A firm will default if its asset value falls below certain thresholdCreditMetricsKMVnReduced-Form Type Model(简化性模型)Intensity-based first-passagenMarket Price(Risk Neutral Default Probability)-Based(市场价格性模型)CDS&

14、Bond SpreadnStatistical/Actuarial(统计性模型)Moodys RiskCalc16Structural Model(结构性模型)nAsset Value-Based ModelqCreditMetricsAsset follows a normal distribution with mean and standard deviation .Debt is assumed to be deterministic.The default probability is thenqKMVAsset market value(not book value)follows

15、 a(lognormal)diffusion process(Brownian process )17Structural Model(结构性模型)qKMVThis can be easily solvedTo estimate the market value,one uses Mertons view:Equity is a Call option on Asset with Debt as the strike 18Structural Model(结构性模型)qKMVBy Itos Lemma,we obtainAnother condition is added to solve t

16、he Call price(Equity)KMV is very successful(it was sold to Moodys last year for$220mm)19Reduced-Form Model(简化性模型)nFirst Passage Default Model:Default occurs when the Asset hits the Debt for the 1st time.That is,the default time and default probabilityqIntensity-based model:Conditional on any realiza

17、tion of the default intensity ,the default process follows a Poisson arrival.If let be the information available up to time t,then20Reduced-Form Model(简化性模型)qIntensity-based modelMean reverting with jumpsCox-Ingersoll-Ross Process(Affine process)21Market Price Model(市场价格性模型)qFinancial products such

18、as Bond,CDS,Asset Swap,etc.contain substantial amount of information about(Risk Neutral)default probability of a companyqVarious Theoretical&Empirical models are trying to estimate Implied Default Probability by a market price(or vice versa)CreditGrade,CreditEdgeSpread=Risk Neutral Default Prob.+Liq

19、uidity(Size)Premium=Function of Empirical&Market Price of Risk+Liquidity(Size)Premium22Statistical Model(统计模型)nMoodys RiskCalcqBased on Moodys HistoryqA logistic model using 7-10 financial transformed ratiosProfitabilityCapital StructureLiquidity23Default Correlation Modeling(违约率相关度)nDefault Correla

20、tion Is Crucial To CDOSeniorTrancheEquityTrancheLow CorrelationSeniorTrancheLoss AverageHigh CorrelationSeniorTranche24Default Correlation Modeling(违约率相关度)qCorrelation of default events of two firms isHere and are default probabilities for the two firmsqAsset Value-Based Model:through asset correlat

21、ionTo obtain asset correlation,it is very popular to use factor model25Default Correlation Modeling(违约率相关度)Factor model example:(and are standard normal dist).The asset correlation=,the joint default probqIntensity-Based Model:through correlation of intensitiesIntensity model example:the default tim

22、es are given by26Default Correlation Modeling(违约率相关度)Here is a Poisson Process with intensity The default correlation is thenqCopula is becoming one of the most important methods for modeling correlationWhat is a Copula?Suppose that and are marginal distributions for and .Let be the joint distributi

23、on,then there is a function(copula)C such that27Default Correlation Modeling(违约率相关度)qUsing the copula for default time,the default correlation is28Default Correlation Modeling(违约率相关度)nIn the pricing of CDX,correlation is the keyqThe model is assumed to be homogenous,and the correlation is assumed to

24、 be constant between all companiesqMarket observed price for each tranche is inputted to the model to solve an implied correlation.Depending on the way of estimating the accumulative losses for each tranche,one obtainImplied Correlation:attempt to mimic the success of Implied Volatility for Option p

25、ricingBase Correlation:is getting the markets attention29The New Game Field金融业面临一个新的环境30Major Reasons(产生的主因)nSignificant Financial Losses&Failures(许多重大损失)nComplex Financial Products,Operation&Organization(复杂的金融产品,运作与机构)nInvestors Concerns (投资者的顾虑)nRegulatory Disciplines(监管政策)31Basel II(巴塞尔协议)qBank f

26、or International Settlement is the Central Bank of Central Banks(国际清算银行是中央银行的中央银行)qIts Basel Committee Sets Up a Framework/Standard for Risk Capital Requirement for All Financial Institutions BASEL II Accord(其BASEL委员会为所有金融机构制定了资本适足率框架与标准)qMany European Banks&Banks in Developed Countries have decided

27、 to Follow Advanced Approach(大多数发达国家银行将采用最高级标准)qMajor US Banks Will also Follow Advanced Approach(美国的大型银行会采用最高级标准)qNon Basel-compliant banks will be disadvantaged(不遵守者处于不利地位)32Key Requirements(巴塞尔协议主旨)nRisk-Based Capital for Financial Risks(风险为依据的资本要求)qCredit Risk(1988 Accord)(信用风险)qMarket Risk(1996

28、 Amendment)(市场风险)qOperational Risk(New Basel Accord)(运营风险)nThree Pillars(三大支柱)qMinimum Capital Requirement(最低资本要求)qSupervisory Review Process(监管与审阅程序)qMarket Disciplines&Risk Disclosures(市场纪律与风险公开)33Key Requirements(巴塞尔协议主旨)nCapital Ratio(资本比率)nType of Capital(三类资本)qTier 1 Core(核心资本)qTier 2 Suppleme

29、ntary(次级资本)qTier 3 For market risk only(只对部分市场风险可用)nOn-Balance Sheet&Off-Balance Sheet Risk Charges(表内及表外业务风险折算)34Basel Approaches(巴塞尔协议方法)nGoal(目的)qTo quantify all risks using appropriate models,with recognition of risk diversification&mitigation techniques(用模型来量化一切风险,同时接纳风险分散及转移技术)nCredit Risk(信用风

30、险)qStandardized Approach(标准方法)Standard Risk WeightExternal Rating BasedqFoundation Internal Rating Based Approach(基本内部评级方法)Internal Rating System Use of Probability of Default(PD)qAdvanced Internal Rating Based Approach(高级内部评级方法)Internal Rating SystemUse of PD,Loss Given Default(LGD)and Exposure At

31、Default(EAD)35Basel Approaches(巴塞尔协议方法)nMarket Risk(市场风险)qStandardized Approach(标准方法)Market Charges(Risk Weights)for Interest Rate RiskMaturity ZonesNetting within bandsMarket Charges for Equity RiskNet PositionMarket Charges for Currency RiskUse of maximum of total long or short positionsMarket Cha

32、rges for CommodityNetting but not complete offsetMarket Charges for Option Simplified ApproachIntermediate ApproachInternal models Approach36Basel Approaches(巴塞尔协议方法)qMarket Risk(市场风险)qInternal Models Approach(内部模型高级方法)Relies on Internal Risk Management SystemQualitative RequirementsIndependent Risk

33、 Control UnitBack-testingSenior Management InvolvementIntegration of risk models with day-to-day managementUse of LimitsStress TestingCompliance37Basel Approaches(巴塞尔协议方法)qOperational Risk(运营风险)Basic Indicator Approach(基本指标方法)A single indicator as a proxy for firms exposure to operational risk oGros

34、s IncomeStandardized Approach(标准方法)Distinguishes between business lines and business volumeStandardized loss factors(beta)for business linesInternal Measurement Approach(内部度量高级方法)Bottom-Up ApproachKey Issue:Internal Loss Data Requirement(5 Year of History)oProbability of Loss EventoLoss SeverityoExp

35、osure Indicator38Basel Implementation(巴塞尔协议落实)nDeadline(截止日)qJan.1,2007(2007年一月一日)Or a later date(或许更晚)nCost(费用)q$100mm for each large US Bank(平均一亿美元)qHuman Resources(人力资源)Risk Managers&Internal ControlsRisk Research&AnalyticsqInformation Systems(信息系统)Data SupportHardware&Software 39Math Tools For O

36、p.Risk(运营风险的数学方法)nA Significant Challenge(巨大的挑战)qIn Particular when less/no data availablenMethods Considered(试用中的方法)qFrequency ModelsPoisson,Binomial,Negative Binomial,Geometric,Hypergeometric,etc.Correlation is a problem?qSeverity ModelsHeavy tail distributionsLognormal,Pareto,Weibull,etcqExtreme

37、Value TheoryGEV Distribution40Math Tools For Op.Risk(运营风险的数学方法)qValue-at-Risk(VaR)Tail distributionExpected ShortfallqStochastic ProcessMarkov Process,Renewal Process,etc.qBayesian TechniquesqLinear Causal ModelsRegression ModelsFactor ModelsDiscriminant AnalysisRisk Scores qNon-linear ModelsNeural Networks/Bayesian NetworksFuzzy Logic41