渣打风险管理手册

渣打风险管理手册内容摘要：

summary of definitions of the main types of risk, also refer database B 101. The main types of risk that need to be considered are: Credit Risk In assessing credit risk we seek to establish the probability that a counterparty will not repay it‟s obligations to the bank. The better the quality of the customer, the lower is the expected probability of default. The assessment of this risk is carried out by the nature of the counterparty and can be broadly categorised into the following: Corporates – These include Local Franchises and MNC segments of the Corporate Bank and are approved by Credit Officers with delegated lending authority within the Risk Handbook Page 6 Country and if beyond their authority then at Regional Credit Officer level or Group level. Non Corporates – These include Governments, Banks, Financial Institutions and Investment Institutions. Given that the nature of these counterparties are very different from that of Corporates, the same are assessed and approved by Markets and Institutions Risk Management (MIRM) which is an independent approving unit within the Risk Management function. MIRM on a centralised basis supports the bank‟s business in setting and approving credit limits on counterparties to support the following activities: – 1. Asset Liability Management – This is done on a portfolio basis and against pre agreed norms with regard to counterparty rating, nature of instrument and amount of exposure and does not need specific approval on a counterparty basis. These are controlled on an oversight basis with regard to outstandings and credit quality. 2. Normal Business – This is done on a product basis (. Trade Finance, FEX, Derivatives, Fixed Ine Securities, Syndication‟s, etc.) and with reference to a specific counterparty on whom credit limits are established. Sovereign Risk and Country Risk – are they the same? NO, Sovereign Risk is the counterparty credit risk of a borrower who is a government or a wholly owned entity of a government. Hence sovereign risk is assessed as part of the risk approval process for Non Corporates and should not be confused with Country Risk. Country Risk (also refer database B 301 and B 326) Country Risk arises when the bank has a cross border exposure on a counterparty on which we have Credit Risk. Country Risk is the risk that our counterparty is unable to meet its contractual obligations as a result of adverse economic conditions or actions taken by governments in the relevant country. Given that this is independent of the counterparty credit risk, we assess this risk in addition to credit risk. Since the assumption of country risk requires capital allocation, we also price for it in accordance to the risk of the country on which an exposure is being taken. Country risk arises in all cases other than in those that are onshore transactions in domestic currency. Nominated Country Risk Allocation Holders manage and monitor this risk under the supervision of Group Country Risk in London. (also refer database B327 and B329, for details of allocation holders and country status) A modular elearning solution is also available on „Peoplewise‟ for Country Risk. Market and Liquidity Risk (also refer Group Market Risk Policy Database) Unlike Credit and Country Risk where the risk needs to be assessed at a counterparty level, Market and Liquidity risk are assessed in the main on a portfolio basis. However, in the case of large or plex exposures this could also be evaluated at a transaction level. Typically these risks are evaluated with the use of sophisticated statistical models which are employed to quantify these risks at transaction or portfolio level. Group Market Risk is responsible for the overall Risk Handbook Page 7 framework and management/ control of market and liquidity risk within the anisation. They evaluate and implement the models and validate the assumptions in the models on a continuous basis. At a business and country level, they monitor and control these risks by delegating authority to Local Management who are primarily responsible to ply with the group guidelines. These can be briefly explained as under: 1. Market Risk is the risk to the Group39。 s earnings and capital due to changes in the market level of interest rates, securities, foreign exchange and equities, as well as the volatilities of those prices. Group Market Risk prescribes the unified framework for the assessment and control of market price risk. A risk monitoring limit and reporting structure is set out for portfolios of products, instruments, and ine streams, where the economic value is directly or indirectly sensitive to changes in variable market prices, such as spot foreign exchange or interest rates. 2. Liquidity risk management involves the ability to manage and maintain adequate liquidity at all times. Good liquidity risk management will result in the bank being in a position (in the normal course of business) to meet all it‟s obligations, to repay depositors, to fulfil mitments to lend and to meet any other mitments it may have made. Of critical importance is the need to avoid having to liquidate assets or to raise funds at unfavourable terms resulting in financial loss or long term damage to the reputation of the Bank. Prudent liquidity management is of paramount importance as the ultimate cost of a lack of liquidity is being out of business, which we cannot afford. Operational Risk (also refer database B 501) In addition to other established risk classes discussed so far, the bank also views Operational risk as a separate risk class. Like Credit, Market and Liquidity risks, Operational Risk too has evolved in the Group and now has it‟s own established policies (also refer database sub chapter B 500) and procedures (also refer databa。