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 14 2015 /12
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
(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 16 2015 /12
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 SNB2015 1 15 1.20 1 41% -Swatch 10%20082010 MR Darrin Benhart ( ) 2. ( C o r r e l a t i o n R i s k Management) 2015 /12 17
MR Darrin Benhart 2014 2015 MR Darrin Benhart 3. MR Darrin Benhart 60 84Experian 2014 60 8.6% MR Darrin Benhart ( ) ( ) 2013 1 BCBSBCBS 239 Principles for Effective Risk Data Aggregation and Risk Reporting BCBS 239 18 2015 /12
( ) BCBS 239 2 BCBS 239 (Data Governance Disciplines)(Data Quality Management) (Metadata) BCBS 239 11 1. IT 2. ITIT 3. 4. 5. 6. 7. 8. 9. 2015 /12 19
1 BCBS 239 10. 11. IT BCBS 239 BCBS(G-SIBs) 2016 ( ) BCBS 239 IT BCBS 2015 1Progress In adopting the principles for effective risk data aggregation and risk reporting 201437 G-SIBs31Non-G-SIBs6 3 2.43 3.3(1 4 ) 2( IT) 6( ) 3( ) 11() 8( ) 9( ) (G-SIBs) 2016 20 2015 /12
2 BCBS 239 ( 2014 ) BCBS (1) 2 IT (3) (4) ( ) BCBS 239 - MR Dilip KrishnBCBS 239 IT 4 4 Process and Governance Framework Technology Model Integration MR Dilip Krishn 3 4 2015 /12 21
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) 22 2015 /12
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
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 24 2015 /12
25 2015 /12 LCR NSFR IT 2013 ; 2015 (LCR) 2013 (TR) 2014 GARP
( ) PIT 26 2015 /12