the Comptroller of the Currency OCC MR Darrin BenhartFinancial Reform and the Role of Regulators OCC Risk Perspectives Basel III (BIS) MR Jaime Caruan

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1 2015 GARP 16 Basel III G-SIBs (2015) GARP 1 6 t h A n n u a l R i s k M a n a g e m e n t Convention Global Association of Risk Professionals GARP 1 1 Portfolio Risk and Emerging Risk 2Big Data and Risk Management3 H o r i z o n 6 Capital Regulation and Reform7 Capital Collateral and Counterparty8 New Challenges and Tools for Energy Risk Managers Risk Culture and Governance 4 Risk Skills To o l s a n d B i a s e s 5 Operational Risk s Expanding (Bank for International Settlement BIS) MR Jaime Caruana(Office of /12

2 the Comptroller of the Currency OCC MR Darrin BenhartFinancial Reform and the Role of Regulators OCC Risk Perspectives Basel III (BIS) MR Jaime Caruana (OCC MR Darrin Benhart ( ) (Basel Committee on Banking Supervision BCBS) 2010 (Basel III) (micro prudential) (macro prudential) (BIS) MR Jaime Caruana 1. Global Systemically Important Banks G-SIBs Basel III (1) (Leverage Ratio) (Liquidity Coverage Ratio LCR) (Net Stable Funding Ratio NSFR) 2015 /12 15

3 (internalize) (2) (G-SIBs) BCBS (G-SIBs) (internalize) (3) Basel III (4) ; Financial Stability Board FSB (haircuts ) 2. Consistency in the calculation of risk weighted assets Basel II BCBS /12

4 MR Jaime Caruana (. ) ( ) OCC OCC Risk Assessment System RASOCC RAS (OCCMR Darrin Benhart 1. ( C o n c e n t r a t i o n R i s k Management) MR Darrin Benhart Swiss National Bank SNB % -Swatch 10% MR Darrin Benhart ( ) 2. ( C o r r e l a t i o n R i s k Management) 2015 /12 17

5 MR Darrin Benhart MR Darrin Benhart 3. MR Darrin Benhart 60 84Experian % MR Darrin Benhart ( ) ( ) BCBSBCBS 239 Principles for Effective Risk Data Aggregation and Risk Reporting BCBS /12

6 ( ) BCBS BCBS 239 (Data Governance Disciplines)(Data Quality Management) (Metadata) BCBS IT 2. ITIT /12 19

7 1 BCBS IT BCBS 239 BCBS(G-SIBs) 2016 ( ) BCBS 239 IT BCBS Progress In adopting the principles for effective risk data aggregation and risk reporting G-SIBs31Non-G-SIBs (1 4 ) 2( IT) 6( ) 3( ) 11() 8( ) 9( ) (G-SIBs) /12

8 2 BCBS 239 ( 2014 ) BCBS (1) 2 IT (3) (4) ( ) BCBS MR Dilip KrishnBCBS 239 IT 4 4 Process and Governance Framework Technology Model Integration MR Dilip Krishn /12 21

9 1. (Data Integration) (Haddoop) (ETL) 2. ( D a t a S t o r a g e a n d Processing) (Relational Database Management System RDBMS) 3. (Data Access and Visualization) 4. ( D a t a M a n a g e m e n t Tools) MR Asprey15-15 Fact-Based Analysis - 15 MR Rob Ceske ( ) Basel IIIBasel III Basel II ;2% 4.5% 4% 6%2.5% (Capital Conservation Buffer) /12

10 The Dodd Frank Wall Street Reform and Consumer Protection Act Comprehensive Capital Analysis and Review CCARCCAR (Comprehensive Liquidity Analysis and 5 ; (LCR) (NSFR) 30 ( ) Dodd-Frank Review CLAR ) CLAR ( ) Dodd-Frank 165 d 2015 /12 23

11 FSB TLAC GARP 80% IT (Business Risk) (Financial Services- Information Sharing and Analysis Center FS-ISAC) FS-ISAC 2014 FS-ISAC (Depository Trust Cleaning Corp) Soltra Edge Basel III /12

12 /12 LCR NSFR IT 2013 ; 2015 (LCR) 2013 (TR) 2014 GARP

13 ( ) PIT /12

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最簡單的利率交換契約是單純型 (plain vanilla) 的利率交換合約, 舉例來說, 假設在 2011 年 3 月 1 日甲方與乙方簽定名目本金 1 億萬美的利率交換合約, 乙方同意未來的三主題報導 Regulars 利率交換交易集中結算制度之發展建議周行一〡國立政治大學財務管理學系教授徐政義〡國立中央大學財務金融學系副教授 6 2007 至 2008 年之間的金融風暴, 對全球金融市場乃至於經濟發展帶來嚴重的衝擊金融