新巴塞爾資本協(xié)定與風(fēng)險管理(編輯修改稿)
2025-03-27 21:10 本頁面
【文章內(nèi)容簡介】 ures: ? P/E ratio ? RoE/RoA ? Valuebased measures: ? Economic Value Added (EVA) Profitability 9 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 10 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 11 Operations / Reporting : ? Limits ?Delegations ?Target return : Ex ante ?New transactions ?Hedging ?Portfolio RR enhancement : ex post ? Followup ?Reporting RR ?Corrective actions 12 ?目的：推廣銀行業(yè)者對於新巴塞爾資本協(xié)定之重視，強(qiáng)
教學(xué)課件相關(guān)推薦
鄂ICP備17016276號-1