【正文】 Overlapping concepts underpinning different kinds of risk 重疊的概念支持不同種類的風(fēng)險(xiǎn) Operational 操作 MR 市場風(fēng)險(xiǎn) Legal 法律 CP Risk Culture 風(fēng)險(xiǎn)文化 Skills and Tools技能與手段 Radar Chart for control of trade 交易管理圖 Current Deal Counterparty 交易對(duì)手 Mgmt Involvement 管理人員參與 Sophistication of Instrument 單據(jù)復(fù)雜性 Currency Risk 貨幣風(fēng)險(xiǎn) Interest Rate Risk 利率風(fēng)險(xiǎn) System of Limits 額度體制 Country Risk 國別風(fēng)險(xiǎn) Legal Risk Limit 法律風(fēng)險(xiǎn)限制 Maturity of Market 市場成熟度 Nightmares are 惡夢(mèng)在于 ? Cross borders and cross currency money flows 跨境及貨幣兌換現(xiàn)金流 ? Derivatives makes leveraging difficult to resist 衍生工具使杠桿作用難以抵御 ? Off balance sheet instrument and all its plexity….表外單據(jù)及其復(fù)雜性 …. And finally, may I present a possible meltdown. Imagine it starts with : The Japanese government, banks, insurance panies hold USD500 bn in US TBs. Were they to liquidate … then a similar 1929!? 最后，請(qǐng)?jiān)试S我提出一種可能的毀滅性情景。一張印尼信用卡的應(yīng)收款被紐約的一個(gè)基金購買然后再賣給蘇黎士的 HNWI！ Today,Credit Risk is Like Milk 今天，信貸風(fēng)險(xiǎn)就像牛奶 In the dairy, milk from a cow is first separated into ponents and then reconstituted into various grades to suit the consumer tastes: low fat, high fat, light cream etc… Likewise, credit risk can be segmented and redistributed to avoid the possibility that an entire issue will be downgrade because of poor performance in an isolated segment. The transaction is partitioned into separate, deposed the risk and repackaged to suit difference types of investors. 在牧場，奶牛產(chǎn)的牛奶首先被分離成不同的成份，然后再配制出適應(yīng)消費(fèi)者口味的不同等級(jí)的牛奶：低脂奶，高脂奶，清淡奶等等 … 同樣，信貸風(fēng)險(xiǎn)可以分成不同的類別并且重新分配以避免因?yàn)槟骋活悇e表現(xiàn)不佳而使整個(gè)貸款降低等級(jí)的可能性。 相互作用即為市場風(fēng)險(xiǎn)。交易包括發(fā)起人、出售方、托管方和擔(dān)保人。 ? Emergence of technology 技術(shù)創(chuàng)新的出現(xiàn) New transactions /New Risks 新的交易 / 新的風(fēng)險(xiǎn) ? Thus credit culture and lending strategies go through a rethink and redesigned. 所以信貸文化和借貸策略要重新認(rèn)識(shí)和重新設(shè)計(jì)。我們可以空投信貸！ New transactions /New Risks 新的交易 / 新的風(fēng)險(xiǎn) ? Derivatives this is not to say that total financial risk has increased, because derivatives are zero sum game. But derivatives require additional exposure to be monitored, and credit evaluation of additional risks. 衍生產(chǎn)品 – 不是說總的金融資產(chǎn)的風(fēng)險(xiǎn)增加了，因?yàn)檠苌ぞ呤秋L(fēng)險(xiǎn)平衡的交易。 ? Structured finance transactions, such as collateralised mortgage obligations, and asset back securities. 結(jié)構(gòu)性融資交易，如附加抵押要求，和資產(chǎn)擔(dān)保證券。 ? What has caused this interest in credit management? 什么原因產(chǎn)生的對(duì)信貸管理的關(guān)注？ ? I believe, the interest es more from pressures of the regulators, the emergence of trading markets for loans and the pursuit of ROE. 我認(rèn)為，這種關(guān)注更多的是來自監(jiān)管方面的壓力，貸款交易市場的出現(xiàn)以及對(duì) ROE的追求。 垃圾債券的違約在 1990年和 1991年間增加了超過 10%，然而銀行借貸市場達(dá)到了創(chuàng)紀(jì)錄的金額。 ? What is the impact on the spread if its grade bees BB? 如果客戶的評(píng)級(jí)是 BB， 對(duì)于費(fèi)用有何影響？ What should the charge be? 收取的費(fèi)用應(yīng)為多少？ D o w n g ra d e f ro m BBB (2 0 0 b p ) t o I n cre me n t a l Sp re a d T ra n si t i o n a l % I n cre me n t a l Ex p e ct e d L o ss o n 4 5 , 7 9 7BB 1 5 0 (3 5 0 2 0 0 )9 . 5 %5 . 3 0 % 2319 . 5 % x 4 5 , 7 9 7 x 5 . 3 %B 280 1 . 1 7 % 581 0 . 8 % x 4 5 , 7 9 7 x 1 . 1 7 %CCC 900 0 . 1 2 % 91 7 % x 4 5 , 7 9 7 x 0 . 1 2 %= 2 9 8What does SCB use? 渣打銀行使用什么方法？ ? Economic Profit model 經(jīng)濟(jì)效益模型 ? Credit default swap equivalent 信貸違約等量交換 ? EL by grades and tenor band 按照等級(jí)和期限范圍 Monitoring 監(jiān)督 ? Stress testing – portfolio changes by 2 notches 應(yīng)變測試 – 組合按兩個(gè)缺口變化 ? Top users of capital 頂級(jí)資本用戶 ? Largest mark to market counterparties 最大市場化的交易對(duì)手 ? Scenario testing 類型測試 ? Sharing of information 信息共享 ? Fostering a willingness to change limit risk exposure 建立調(diào)整風(fēng)險(xiǎn)額度的意愿 Issues for risk management 風(fēng)險(xiǎn)控制的要點(diǎn) A Challenging Environment 一個(gè)充滿挑戰(zhàn)的環(huán)境 Challenges in the New Economy 新經(jīng)濟(jì)環(huán)境中的挑戰(zhàn) ? Mergers and acquisitions affect risk and risk management 兼并與收購影響風(fēng)險(xiǎn)及風(fēng)險(xiǎn)管理 ? Japanese banks example how much do we expect from the mergers?