風險管理楊一民課件

1、New Game for Financial Market金融市場新游戲& New Game Field for Risk Management風險管理新環(huán)境Yimin Yang (楊一民)Vice President & Sr. ManagerRisk Analytics1介紹 PNCIt used to be a bank, but now (曾經(jīng)叫做銀行,但現(xiàn)在是)PNC Bank15th largestUS Bank$70 Billion AssetBlackRockOne of the best &fastest growingInvestment Company on Wall S

2、treet$300 Billion Asset Under MgntPFPCBrokerage& ProcessingCapital MarketInvestmentPNC Financial Service Group(PNC 金融服務集團)2介紹Risk AnalyticsRisk Analytics (Centralized Risk Mngt Team)CROCapital Allocation資本配置Reserve Adequacy準備金Asset Mngt (ALCO)資產(chǎn)管理Portfolio Mngt組合管理PNC Board董事會報告 more PNCCommittees主要

3、管理委員會CEOPresidentCCOCFODecision-Making Support 決策分析輔助Credit Risk$50 BillionOperationalRiskBasel IIMarketRiskInvestmentBusinessLinesRisk Management 風險管理TradingAnalytics3Now, back to our topics言歸正傳4兩個熱門話題 Two Current Hot Topics The Game(新游戲)Credit Risk, more specifically (信用風險)Credit Derivatives (信用衍生

4、品)The Game Field (新環(huán)境)New Regulatory Environment, more specifically (新監(jiān)管要求) Basel II (巴塞爾協(xié)議)5Credit Risk &Credit Derivatives信用風險與信用衍生產(chǎn)品6What is Credit Derivative什么是信用衍生品What is Credit Risk (什么是信用風險)The risk that a company is unable/unwilling to make promised payment (不能按時支付)What are Credit Derivativ

5、es (什么是信用衍生品)Financial products that price & transfer credit risk (用于轉移信用風險的金融產(chǎn)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 Squared 7Example: Credit Default Swap

6、(CDS) 例一Most of Credit Derivatives are CDS (70%) (市場主要產(chǎn)品)It is similar to buy/sell insurance for default(類似破產(chǎn)保險)Protection Buyer買保方Protection Seller賣保方Underlying Asset(GE Bond, for example)持有風險資產(chǎn)比如GE債券Regular % Fee 定期付費(保險費)(Libor + Spread)Payment IF the underlying asset defaults當GE發(fā)生破產(chǎn)時,付損失費8Exampl

7、e: (Collateralized Debt Obligation( CDO)例二CDO is Todays market favorite(市場寵兒)A 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.)1億風險資產(chǎn)Return=0.5%Return=1.

8、5%Return=3%Return=7%9Example: CDX.HY例三Popular Dow Jones CDX.HY (Dow Jones 推出的CDS指數(shù)之一)100 liquid BB/B-rated CDS ENTITIES, equally weighted. (一百家高風險公司組成)Reset every 6 months5 year is the most common maturityOver 20 industriesStandardized 6 Loss Tranches (六個標準斷)0-3% Equity, 3%-7%, 7%-10%, 10%-15%, 15%-

9、30%, 30%-100%Investors buy & trade these tranches, just like buying stocks or any other financial products (象一般投資一樣買賣)HY stands for High-Yield (there is also CDX.IG for Investment Grade with 125 names) (Dow Jones還有其他指數(shù))10Example: CDX.HY例三30% (三十個公司破產(chǎn))15% (十五個公司破產(chǎn))10% (十個公司破產(chǎn))7.0% (七個公司破產(chǎn))3.0% (三個公司破

10、產(chǎn))0.0% (沒有公司破產(chǎn))Each Tranche is traded at a different price (風險不同,定價不同)Equity Tranche (0%-3%) has the highest risk, therefore, highest returnSuper Senior Tranche (30%-100%) offers the lowest return (spread)11Global Market(全球市場)12Major Players(主要運動隊)13Key Drivers(主要原因)Hedge Portfolio Risk(風險抵消)Take Ex

11、posure in Credit Risk (投資信用風險)Enhance Profitability (增加回報)Improve Risk Management & Reduce Regulatory Capital (風險與資本管理)Increase Asset & Liability Management Capability (資產(chǎn)管理)Credit is now a TRADABLE asset (已成交易資產(chǎn))14Challenges To Financial Practitioners (主要的挑戰(zhàn))Understanding of Default Risk (深入了解違約風險)

12、Default Probability Modeling(違約率模型)Default Risk Pricing for various markets(不同市場違約風險定價)Portfolio Management (組合管理)Correlation & Portfolio Loss Distribution(相關性與損失分別)Risk Management & Capital Allocation(風險管理與資本配置)Cross-Market Risk Hedging Techniques (跨越不同市場的風險分化手段)15Single name Default Modeling (單個公司

13、違約率模型)Structural Model (結構性模型)Asset Value-Based Type: A firm will default if its asset value falls below certain thresholdCreditMetricsKMVReduced-Form Type Model (簡化性模型)Intensity-based first-passageMarket Price (Risk Neutral Default Probability)-Based (市場價格性模型)CDS & Bond SpreadStatistical/Actuarial

14、(統(tǒng)計性模型)Moodys RiskCalc16Structural Model(結構性模型)Asset Value-Based ModelCreditMetricsAsset follows a normal distribution with mean and standard deviation . Debt is assumed to be deterministic. The default probability is thenKMVAsset market value (not book value) follows a (lognormal) diffusion process

15、 (Brownian process )17Structural Model(結構性模型)KMVThis 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(結構性模型)KMVBy Itos Lemma, we obtainAnother condition is added to solve the Call price (Equity) KMV i

16、s very successful (it was sold to Moodys last year for $220mm)19Reduced-Form Model(簡化性模型)First Passage Default Model: Default occurs when the Asset hits the Debt for the 1st time. That is, the default time and default probabilityIntensity-based model: Conditional on any realization of the default in

17、tensity , the default process follows a Poisson arrival. If let be the information available up to time t, then20Reduced-Form Model(簡化性模型)Intensity-based modelMean reverting with jumpsCox-Ingersoll-Ross Process (Affine process)21Market Price Model(市場價格性模型)Financial products such as Bond, CDS, Asset

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

19、Size) Premium= Function of Empirical & Market Price of Risk + Liquidity(Size) Premium22Statistical Model(統(tǒng)計模型)Moodys RiskCalcBased on Moodys HistoryA logistic model using 7-10 financial transformed ratiosProfitabilityCapital StructureLiquidity23Default Correlation Modeling (違約率相關度)Default Correlatio

20、n Is Crucial To CDOSeniorTrancheEquityTrancheLow CorrelationSeniorTrancheLoss AverageHigh CorrelationSeniorTranche24Default Correlation Modeling (違約率相關度)Correlation of default events of two firms isHere and are default probabilities for the two firmsAsset Value-Based Model: through asset correlation

21、To obtain asset correlation, it is very popular to use factor model25Default Correlation Modeling (違約率相關度)Factor model example: ( and are standard normal dist). The asset correlation = , the joint default probIntensity-Based Model: through correlation of intensitiesIntensity model example: the defau

22、lt times are given by26Default Correlation Modeling (違約率相關度)Here is a Poisson Process with intensity The default correlation is thenCopula 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 di

23、stribution, then there is a function (copula) C such that27Default Correlation Modeling (違約率相關度)Using the copula for default time, the default correlation is28Default Correlation Modeling (違約率相關度)In the pricing of CDX, correlation is the keyThe model is assumed to be homogenous, and the correlation

24、is assumed to be constant between all companiesMarket 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 Volatili

25、ty for Option pricingBase Correlation: is getting the markets attention29The New Game Field金融業(yè)面臨一個新的環(huán)境30Major Reasons(產(chǎn)生的主因)Significant Financial Losses & Failures (許多重大損失)Complex Financial Products, Operation & Organization (復雜的金融產(chǎn)品,運作與機構)Investors Concerns (投資者的顧慮)Regulatory Disciplines(監(jiān)管政策)31Bas

26、el II(巴塞爾協(xié)議)Bank for International Settlement is the Central Bank of Central Banks(國際清算銀行是中央銀行的中央銀行)Its Basel Committee Sets Up a Framework/Standard for Risk Capital Requirement for All Financial Institutions BASEL II Accord (其BASEL委員會為所有金融機構制定了資本適足率框架與標準)Many European Banks & Banks in Developed Cou

27、ntries have decided to Follow Advanced Approach (大多數(shù)發(fā)達國家銀行將采用最高級標準)Major US Banks Will also Follow Advanced Approach(美國的大型銀行會采用最高級標準)Non Basel-compliant banks will be disadvantaged(不遵守者處于不利地位)32Key Requirements(巴塞爾協(xié)議主旨)Risk-Based Capital for Financial Risks(風險為依據(jù)的資本要求)Credit Risk (1988 Accord) (信用風險

28、)Market Risk (1996 Amendment) (市場風險)Operational Risk (New Basel Accord) (運營風險)Three Pillars(三大支柱)Minimum Capital Requirement (最低資本要求) Supervisory Review Process (監(jiān)管與審閱程序) Market Disciplines & Risk Disclosures (市場紀律與風險公開) 33Key Requirements(巴塞爾協(xié)議主旨)Capital Ratio(資本比率)Type of Capital(三類資本)Tier 1 Core(

29、核心資本) Tier 2 Supplementary(次級資本) Tier 3 For market risk only(只對部分市場風險可用) On-Balance Sheet & Off-Balance Sheet Risk Charges(表內及表外業(yè)務風險折算)34Basel Approaches(巴塞爾協(xié)議方法)Goal(目的)To quantify all risks using appropriate models, with recognition of risk diversification & mitigation techniques (用模型來量化一切風險,同時接納風

30、險分散及轉移技術)Credit Risk(信用風險)Standardized Approach(標準方法)Standard Risk WeightExternal Rating BasedFoundation Internal Rating Based Approach (基本內部評級方法)Internal Rating System Use of Probability of Default (PD)Advanced Internal Rating Based Approach (高級內部評級方法)Internal Rating SystemUse of PD, Loss Given Def

31、ault (LGD) and Exposure At Default (EAD)35Basel Approaches(巴塞爾協(xié)議方法)Market Risk(市場風險)Standardized Approach (標準方法)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

32、 or short positionsMarket Charges for CommodityNetting but not complete offsetMarket Charges for Option Simplified ApproachIntermediate ApproachInternal models Approach36Basel Approaches(巴塞爾協(xié)議方法)Market Risk(市場風險)Internal Models Approach (內部模型高級方法)Relies on Internal Risk Management SystemQualitative

33、RequirementsIndependent Risk Control UnitBack-testingSenior Management InvolvementIntegration of risk models with day-to-day managementUse of LimitsStress TestingCompliance37Basel Approaches(巴塞爾協(xié)議方法)Operational Risk(運營風險)Basic Indicator Approach (基本指標方法)A single indicator as a proxy for firms exposure to operational risk Gross IncomeStandardized Approach (標準方法)Distinguishes between business lines and business volumeStandardized loss factors (beta) for