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1、MarketRiskMeasurementandManagementParametricVaRNormalVaRVaR-(z)VaR=(z)RTJensensInequalityEkl+r)lE(l+r)InterestRateTermStructureModel1LognormalVaRVaR=1-CU-z#dr=dwdw=vdtVaR=(1-el#)PtTModel2HybridApproachAge-WeightedSimulationMethodi1(l)=5dr=dt+dwHo-LeeModeld=(t)dt+dwVasicekModeldr=(r)dt+dwVolatility-W
2、eightedSimulationMethod.i-*三11jtriModel3dr=(t)dt+etdwCox-Ingersoll-Ross(CIR)ModelEmpiricalPropertiesofCorrelationMeanreversionispresentifthereisanegativedr=k(-r)dt+Vrdwrelationshipbetweenthechangeofavariable,St-St,andthevariableSt-.St=a(UsSt-)St-Model4dr=ardt+rdwTheSalomonBrothersModeldln(r)=a(t)dt+
3、dwTheBlack-KarasinskiModeldln(r)=k(t)ln(t)ln(r)dt+(t)dwCreditRiskMeasurementandManagementExpectedLoss(EL)EL=PD(1-RR)EAD=PDLGDEADEquity=VN(d)Ke-rN(d)i7Debt=KeTTJPUt=VN(-dJ+KeTTN(d2)In(S/Ke-r) fDefault Correlation12 -口1n2p =_ qI 1(l -1) 2(l-2)Binomial Trees of PDCumulative Default ProbabilityUnexpecte
4、dLoss(CreditVaR)UL=CreditVaR=WCL-ELMood,sKMVModelDefault=ST50%LTzif1.5Default=ST+(0.7-0.3STLT)LTzifotherwiseDefiNamestMarginalDefaultProbabilityPD,rg=PDCUmUlatedPDcumulatedKt+ktForwardProbabilityp11Forw=Deft+kDeftNamessurvvedtExponentialDistributionCumulativeDefaultTimeDistributionP(t*t)=1-F(t)=e-tS
5、urvival RateSR黑裁=11 - PDIj 11 - PDmulatedAverage Default RateI 1 PDcumulatedI =(I- ADR 1 PDCFmUlatedl=e-ADRxtSingleFactorModel=隔+12jKi-肘P=111-%i=l,2InferCreditRiskfromCorporateBondPricesRisk-NeutralProbabilityofDefault$1S1PDRRS1(1-PD)1+YTM(1+Rf)1lYTM-RfnPD=EGnIYTM=YTM-Rf*PDxLGDMertonModelConcentrati
6、onriskNlCxP(l-P)N-X=：p(l-P)N-xNX!(NX)!CreditValueAdjustmentmCVA=LGDIEE(t)PD(t,t)i=iIiCVA=EPESpreadg3ex08 一匕 EScored PerformanceNettingFactorEE(netting)n+n(n-l)Nettingfactor=EE(nonetting)nOperationalandIntegratedRiskManagementTheBaseloperationalriskchargeBasicIndicatorApproachORCbia=GI(=15%)TheStanda
7、rdizedApproachORCTSA=t|XGIWAdvancedMeasurementApproachORCama=UL(1year,99.9%confidence)Risk-AdjustedReturnonCapital(RAROC)Risk-AdjustedReturnRAROC=EconomicCapital(EC)Risk-AdjustedreturnRAR=Revenues+ReturnonEC-Expenses-ELAdjustedRAROC(ARAROC)AdjustedRAROC=RAROC-(Rw-rf)BaselAccordBaselIRisk-WeightedAss
8、etsRiskWeight(%)AssetCategory0Cash,GoldBullion,ClaimsonOECD20ClaimsonOECDBanksandOECDPublicSectorEntities50UninsuredResidentialMortgageLoans100AllOtherClaims1996AmendmentMarketRiskChargeMaxVaRt-,mcVaRavgSRCwhere:VaRt-previousdaysVaRVaRavg：averagevalue-at-riskoverthelast60daysm:multiplicativefactor(3
9、)SF:specificriskchargeBaselIlPillarPillar1:MinimumCapitalRequirementTotalCapitalRWAcredit+MRCMarketX12.5+ORCp12.5Pillar2:SupervisoryReviewProcessPillar3:MarketDisciplineCreditRisk-InternalRatingsBasedApproachWCL99.9%,i-yearHEFADJXLGDXVCDRjNRR=mmx(EU%,)空11三M0)creditequivalentamountN=maxVi,0+(0.4+0.6X
10、NRR)i=lN1.aLOperationalRisk-BasicIndicatorApproachBlA=0.15X必也JqOperationalRisk-StandardizedApproachBusinessLineBetaFactorCorporateFinance18%TradingandSales18%RetailBanking12%CommercialBanking15%PaymentandSettlement18%AgencyServices15%AssetManagement12%RetailBrokerage12%Ksa=11max11(Gh-8-s),O/3years1-
11、3OperationalRisk-AdvancedMeasurementApproach99.9%,1yearVaRBasel2.5StressedValueatRisk(SVaR)MaxVaRt-,McVaRavg+MaXlSVaRt-,MSXSVaRavgIncrementalRiskCapital(IRC)One-year99.9%VaRforlossesfromcreditsensitiveproductsinthetradingbookBaselIIIMinimumCapitalRequirementTier1equitycapital4.5%TotalTier1capital6%T
12、otalcapital8%CapitalConservationBuffer(CCB)AfterCCBadjustment:Tier1equitycapital7%TotalTier1capital8.5%Totalcapital10.5%CountercyclicalBufferRecommended:0-2.5%StandardizedApproachORC=BIC-ILMILM=Ln(exp(l)-1+()08)RiskManagementandInvestmentManagementpMarketTimingAbilityNoMarketTimingrp-rf=a+b(rM-rf)Ma
13、rketTiming(HenrikssonandMerton)rprf=a+b(mf)+c(m11)D+eMarketTiming(TreynorandMazuy)rp-rf=a+b(rM-rf)+c(m一rf)2+ePortfolioVaRDiversifiedVaRVaRp=IVaR,+VaR+2pVaRIVaR2MarginalVaROVaRpMVaRA=OVaIncrementalVaRIncrementalVaRAMVaRAWAComponentVaRCVaRA=MVaRAXVAPortfolioRiskManagementGlobalMinimumPortfolioMVaRi=MVaRjOptimalPortfolioPositionireturnriskfreerateM%R；Positionjreturnriskfreerate=MV三;RiskBudgetingWeightofportfoliomanagedbymanageriIR,(PortfoliozStrackingerrorvolatility)IRPX(ManagerrStrackingerrorVrlatiIitylSurplusExpectedsurplus=A(1Ra)L(1Rl)surpiu三=IA2衣+L2匕2AJ
