新巴塞爾資本協(xié)定與風險管理(文件)
【正文】 posure ? Exposures adjusted for market volatility and product sensitivity: ? Basis point measure ? Value at Risk measure ? Integration of financial risk ? Capital at Risk measure ? Investor profitability measures: ? P/E ratio ? RoE/RoA ? Valuebased measures: ? Economic Value Added (EVA) Profitability Organization the pyramid of risk management Transactions Global risk –return targets Poles, subsidiaries... Business units Topdown Revenues and risk (capital) allocations Bottomup Aggregate risks and profitability and monitor 3 sides: ?Target revenue ?Risk limits ?Guidelines applicable to business unit policies Measurement－ from traditional measures of risk to VaR Market risk Risk measures volatilities sensitivities “Greek letters” Market values Credit risk Rating / Maturities/ Industries Watch lists Concentration Portfolio monitoring Interest rate risk Gaps Liquidity Interest rate Duration gaps Other risk VaR 12 Operations
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