证券公司风险评价体系及其标准的确立

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隐胃邶
7 years ago
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1 Shanghai Stock Exchange Joint Research Program PVaR An Exploration of PVaR on Risk Management System of Securities Corporations Project Team of Haitong Securities Co., Ltd April 02 I

2 PVaR IOSCO IOSCO J.P. MORGAN CHASE J.P. MORGAN CHASE J.P. MORGAN CHASE PVAR PVAR PVAR PVAR PVAR 27 II

3 5. PVAR PVAR FUZZY LOGIC III

4 PVaR (CAPM) 1

5 ( ) Value at Risk(VaR ) (Risk Metrics) (Risk Adjusted Return on Capital RAROC) J.P. Credit Metrics Credit Suisse Financial Products(CSFP)Credit Risk + VAR (LTCM) 2

6 ( ) J.P. VAR Credit MetricsCredit Metrics KMV 3

7 J.P. Risk Metrics Credit Metrics IT

8 % 17.3% 20.7%

9 %27.3%23.8%26.9%43.0% WTO 6

10 0.2 1 (1999) (1) (2) (3) (1995) (1999). (1) (2) (2000) (1) 7

11 (2), (3), (1999),,, (1999) (1) (2) (3) 2 (2000) (VaR) 3 VaR ( ) (2000) (1) (2) (VAR)(3) (Raroc)(4) (Credit Metrics)(5) (6) (2000) VAR (1) VAR (2)VaR VaR (3)VaR 8

12 (2000) VaR VaR (2000) VaR (1998) (1999) (1) (2) (3) (4) (5) AXION (Risk Monitor) Algorithmics (Eiskwatch) Askari (Risk Book) (Financial Engineering Associates, Inc.) 9

13 IOSCO 10

15 VAR VAR IOSCO 12

16 1.3 J.P. Morgan Chase J.P. Morgan Chase J.P. Morgan Chase 13

17 VAR SVA J.P. Morgan Chase J.P. Morgan Chase A. J.P. Morgan Chase J.P. Morgan Chase 8%-8.25% B. 14

18 C. J.P. Morgan Chase J.P. Morgan Chase J.P. Morgan Chase D. J.P. Morgan Chase Value-at-risk, VAR; NIT BPV J.P. Morgan Chase J.P. Morgan Chase VAR VAR J.P. Morgan Chase DEaR VAR E. 15

19 Web F

22 3. PVaR

24 PVaR + PVaR, Procedures + VaR PVaR

25 VaR, Value at Risk Procedures 3-1 PVaR PVaR VAR PVaR P P PVaR VaR VaR VaR Value at Risk 22

26 JP VaR VaR VaR VaR VaR - VaR VAR (VaR ) VaR VaR 23

27 4. PVaR 4.1 PVaR 4-1 ; 50% 24

28 25

30 / PVaR

31 4-3 28

32 29

33 5. PVaR

36 : 33

37 [2001]15 [1999]14 [1996]21 [1996]18 34

39 <2001>

41 ... 38

47 A A B A

48 5-8 A B B A 70% 30% 45

51 5 5% = / 100% ( ) 12 2 = ( ) 30% ( ) 8 48

52 49

53 5-11 a) b) c) 50

54 a) b) c) d) e) f) g) h) 51

55 52

56 6. PVaR PVaR VaR VaR VaR

57 n 2 1 Cox hgersoll Ross EGRACH(p,q) GRACH(p,q)

58 VAR VAR / / / / / = / / = / = + / = / = / VaR VaR

59 = + / = / = / 56

60 6.2 FUZZY LOGIC VAR LAZadeh PNMarinos [01] critical point 57

61 A B

62 VAR 6-2 IF THEN 59

63 60

64 J.P. VAR Credit Metrics Credit Metrics KMV 10 PVaR PVaR VAR 61

65 PVaR P VaR VaR VaR PVaR 1Amendment to the Capital Accord to Incorporate Market RisksJanuary 1996 Basle Committee on Banking Supervision 2Charles GoodhartFinancial Regulation-Whyhowand where now? Routledge1998 3Goldman Sachs 2000 Annual Report 4http:// principles_and_practices_for_t.htm 5http:// 6http:// 7http:// 8http:// 9IFCI Risk Institute, Key Risk Concepts, 62

66 10J.P. Morgan Chase's 2000 Annual Report, Morganchase.com/ar/pdf/art/full.pdf 11Kevin DowdFinancial Risk Management Financial Analysts Journal July/August Merrill Lynch's 2000 Annual Report, 13Nomura, 14The International Organization of Securities Commissions (1998), Objectives and Principles of Securities Regulation, 15The Technical Committee of The International Organization of Securities Commissions (1998), Risk Management and Control Guidance for Securities Firms and Their Supervisors 16The Technical Committee of The International Organization of Securities Commissions (1998), Methodologies for Determining Minimum Capital Standards for Internationally Active Securities Firms Which Permit the Use of Models Under Prescribed Conditions 17The Treasury Management Association, Principles and Practices for The Oversight & Management of Financial Risk VAR VAR VaR VaR TRM VAR VaR

67 , VAR ( ) 39 (Ernst&Young) (2001) (). VAR

41213 - risk and recovery_Zh_1.indd

41213 - risk and recovery_Zh_1.indd 经济学人信息部报告赞助方 :ACE KPMG SAP 及 Towers Perrin 关于本研究在艰危时期管理风险 : 是由经济学人信息部编写的简报, 由 ACE KPMG SAP 及 Towers Perrin 提供赞助本简报提供的调查结果和发表的观点不一定反映赞助方的