环球市场与金融机构风险管理(编辑修改稿)

环球市场与金融机构风险管理(编辑修改稿)内容摘要：

onship managers. 牢记客户经理的角色 In a nut shell, risk management as graphically presented 风险管理简要图示 Four markets to be watched for Exposure 信贷限额需要观察的四个市场 Loans 贷款 Credit Cards, Corporates 信用卡，公司 业务 Derivatives 衍生品 OTC , Exchanges 柜台交易， 证券交易 Capital Markets 资本市场 Public issues, Syndication, Bonds 公共 项目，银团贷款，债券 Money Markets 货币市场 ST Loans , Overdrafts 短期贷款，透支 Credit Risk is Underpriced 信用风险被 价值低估 I want to bring this up, because you are business people, and pricing is important for you to acquire the business. Sometimes, business and credit do not agree. 我 想提出这一点，因为各位都是商业人士，而定价对商人赢得业务至关重要。 而有时，业务与信贷会产生矛盾。 Credit Pricing – based on grades 信贷定价－基于信用级别 What / How to price? 对什么 /如何定价。 Using Cost Plus Model 运用成本附加模型 Term Structure of Rates (Yield Curve) 利率的期限结构（收益曲线） M a t ur i t y i n Y e a r s期限（年）C os t of Fun ds 资金成本1 5 . 0 %2 5 . 5 %5 1 0 . 0 %Historical Loss Rate by IRB 内部评级法得出的历史损失率 R at in g评级H is t or ic al 5 Y ea r Lo s s R at e (% )五年历史损失率（％）A A A = 1 0 . 0 1A A = 2 0 . 1 9BB = 5 6 . 1 5PRICE BUILD UP USING COST PLUS BASIS 运用成本附加模型的价格构成 Bo rro w e r39。 s R i s k G ra d e 借款人风险级别 5L o a n M a t u ri t y 贷款期限 5 Ye a rs5 Ye a r l o s s ra t e (% ) 五年损失率 6 . 1 5 %C a p i t a l R a t i o (% ) 资本比率 8%T h re s h o l d R a t e o f R e t u rn (% ) 最低回报率 16%L o a n A m o u n t 贷款金额 1 , 0 0 0 , 0 0 0C a p i t a l R e q u i re d 所需资本金 8 % x 1 m i o = 8 0 , 0 0 0Price build up 价格构成 C h a rg e a t 1 6 % p a (0 . 1 6 x 8 0 k ) 1 2 , 8 0 0C o s t o f f u n d s @ 1 0 % F i x e d (1 0 % x 9 2 0 k ) 9 2 , 0 0 0A n n u a l l o s s p ro v i s i o n s (0 . 0 1 x 6 . 1 5 x 1 m i o / 5 ) 1 2 , 3 0 0Bre a k e v e n I n t e re s t I n c o m e (1 2 . 8 k + 9 2 k + 1 2 . 3 k ) 1 1 7 , 1 0 0L o a n I n t e re s t R a t e (1 1 7 k / 1 m i o ) 1 1 . 7 1 %M i n i m u m Sp re a d (1 1 . 7 1 1 0 . 0 0 ) 1 7 1 b p sIs this capital allocation correct? 这样的资本分配正确吗。  Yes, but 正确，但是  Drawback is that only expected loss is linked to the credit quality 弊端在于只有预期损失与信贷质量有关  And capital charge (8%) at 16% cost of equity may not be sufficient if loan default. 并且资本费用（ 8%）按股本成本的 16%在贷款出现违约后不足以弥补  At the rate of 17,100 ine (117,100 minus 100,000 funding cost) per 1,000,000 the bank will need million to cover the loss of 1,000,000 in 1 year!!! 按照每 1百万元 17,000元的净收入 (117,100减去融资成本 100,000)比例，银行需要 5千 8百万元来抵消在 1年内 1百万元的损失 !!!  Another drawback is that it assumes 2 states only – default or no default 另一个弊端是它只假设了两种状态 – 违约和不违约  It does not model the credit risk premium or discount resulting from credit migration – up or down. 没有建立由于信贷交易而导致的信贷风险费率或贴现率模式 – 上升或下降。 Effect of Rating Migration on Spread 评级的变动对管理费率的影响  Assumes the expected loss on a swap exposure is 45,797. Fixed at 8%. 假设一笔掉期交易的预期损失为 45,797， 固定利率 8%。  The customer is rated BBB. The implied spread is 200 bp 客户的评级为 BBB。 需要的相应费用为 200bp。  What is the impact on the spread if its grade bees BB? 如果客户的评级是 BB， 对于费用有何影响。 What should the charge be? 收取的费用应为多少。 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? 渣打银行使用什么方法。  Economic Profit model 经济效益模型  Credit default swap equivalent 信贷违约等量交换  EL by grades and tenor band 按照等级和期限范围 Monitoring 监督  Stress testing – portfolio changes by 2 notches 应变测试 – 组合按两个缺口变化  Top users of capital 顶级资本用户  Largest mark to market counterparties 最大市场化的交易对手  Scenario testing 类型测试  Sharing of information 信息共享  Fostering a willingness to change。