第23章经济资本金与RAROC课件

,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2012,16.,#,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,经济资本金与,RAROC,第,23,章,1,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,经济资本金,经济资本金是指在某个指定的展望期并在一定的置信水平下，银行为能够承担一定的损失,而必须,持有的资本金数量,2,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,用于计算经济资本金的模型,Loss over time horizon,Expected,Loss,X%Worst,Case Loss,Capital,3,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,参数选择,展望期的期限通常是一年，置信水平通常与银行的管理目标有关,通常，,一个大的国际性银行的管理目标是保持,其,AA,的,信用等级,，其应选,择的,置信平为,99.95,%,这是因为，统计表明具有,AA,级别,的公司一年的违约概率,为,0.05%,4,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,Basel II,的监管环境,总体风险,业务风险,(,无监管,资本金,),:,战略,风险,声誉风险,非业务,风险,(,设定监管资本金,):,信用风险,市场,风险,操作,风险,5,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,1,年期的市场,风险损失分布,Loss,Gain,6,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,1,年期,的,信用风险,损失,分布,Loss,7,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,1,年期,的操作风险,损失分布,Loss,8,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,不同风险分布的特征,二阶,矩,(,标准差,),三阶矩,(,偏态,),四阶矩,(,峰度,),市场风险,高,0,低,信用风险,中,中,中,操作风险,低,高,高,9,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,风险的相对重要性,Type of Business,Most Important Risk,Commercial Banking,Credit Risk,Investment Banking&Trading,Market Risk and Credit Risk,Asset Management,Operational Risk,10,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,欧洲增长,信托（,European Growth Trust,）,不能,有超过,10%,的,基金投放于非,公开,发行的,资产,基金经理,Peter Young,违反了这一规则,德意志银行的,整体损失,超过,了,2,亿,英镑,11,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,不同风险之间的,相互,作用,信用风险,市场风险,操作风险,LGD,和,PD,与市场价值相关,操作风险取决于市场移动或信用事件,12,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,经济资本金的汇总,金融机构对于不同的,业务和风险类别,要,计算经济资本金,但接下来，金融,机构,需要面对将,所有的损失分布进行汇总以产生整个机构所需 要的经济资本金,总量的问题,13,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,合并损失分布,假定相关性,完美,(,全相关,),:,会高估整体资本金,达,40%,假设,为风险服从,正态分布,:,汇总时会低估整体,资本金达,40%,混合型方法,:,可以进行较好地估计,14,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,例,:,经济资本金的估计,业务类别,1,业务类别,2,市场风险,30,40,信用风险,70,80,操作风险,30,90,15,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,相关性,每个业务类别中信用风险同市场风险的相关性为,:0.5,操作风险同市场风险及信用风险的相关性,均为,:0.2,不同业务类別上不同风险,类型,的,相关性,为,:0,在不同业务类别上所有市场,风险的相关性,为,:0.4,在不同业务类別上所有信用风险的相关性 为,:0.6,在不同业务类别上所有操作风险的,相关性,为,:0.0,16,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,总的经济,资本金,第一个业务类别的整体经济资本金估计为,:100.0,第二个,业务类别的整体经济资本金估计为,:153.7,整个企业的经济资本金是,:203.2,风险分散所带来 的,好处为,253.7,203.2=50.5,银行应,如何对这收益进行分配呢,?,银行,应如何对,这,经济资本金,进行,分配呢,?,17,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,可选项,按照将经济资本金所占的比例分配,经济资本金,对每个业务部门计算附加,资本金，,然后对业务部门所设定的资本金与附加资本金成一定,比例,第,i,个,业务部门所设定的资本金,为 ，,x,i,为第,i,个,业务类别的投资,数量,18,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,德意志银行的经济资本金,(millions of Euros),19,信用风险,12,785,市场风险,13,160,操作风险,3,682,信用风险、市场风险、操作风险的分散效应,(3,534),业务风险,1,085,总体经济资本金,27,178,总体风险加权资产,346,204,1,类资本充足率（占整体风险加权资产的比率）,8.7%,总体,1,类资本充足率（核心,+,附加）（占整体风险加权资产的比率）,12.3%,总体资本充足率（占整体风险加权资产的比率）,14.1%,Risk Management and Financial,德意志银行的经济资本金分配,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,20,企业银行及证券,14,828,全球交易业务,1,291,资产和财富管理,2,717,私人客户业务,6,677,企业投资,902,整合及调解,762,总计,27,178,德意志银行的经济资本金分配Risk Management a,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,RAROC,RAROC,是,将一个业务部门的回报,与经济资本金进行,比较,分母是分配给业务部门的经济资本金,分,子,是预期收益,.,既可以是税前,收,入,也,可以是税后,收入,，,由,经济资本金所带来的无风险利息 收入也应在分子项有所考虑,有时也被称为,RORAC,21,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,例,某,AA,级,银行在某地区放贷，每年贷款的,平均损失为,1%,对应于,99.9,%,置信水平,的最坏损失,即损失超过这一数量的概率仅,为,0,.1%,为整个贷 款量,的,5,%,每,100,美元,贷款所对应的经济资本金,为,4,美元,22,Risk Management and Financial,Risk Management and Financial Institutions 3e,Chapter 23,Copyright John C.Hull 2019,续,资金,费用,与利息的差价为,2.5%,，,贷款部门