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新巴塞爾資本協(xié)定與風(fēng)險(xiǎn)管理(編輯修改稿)

2025-03-27 21:25 本頁(yè)面
 

【文章內(nèi)容簡(jiǎn)介】 y 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 / Reporting : ? Limits ?Delegations ?Target return : Ex ante ?New transactions ?Hedging ?Portfolio RR enhancement : ex post ? Followup ?Reporting RR ?Corrective actions ?目的:推廣銀行業(yè)者對(duì)於新巴塞爾資本
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