3. 2012年台湾金融研训院-GCPRM 企业风险管理主题发表
2012/7/6 全球新金融监理趋势下企业风险管理框架导论
ERM Frameworks, Fundamentals and Cultures- New views on the Basel II & III
Accords and Dodd-Frank
2012/7/13 企业风险管理战略、董监事职责与公司治理文化建立
The Governance and Board of Directors Roles in Enterprise Risk Management
2012/7/20 企业风险管理个案与案例研究
ERM Case Study
2012/7/27 企业风险管理实践架构-利率风险与避险
Interest-Rate Risk and Hedging with Derivative Instruments
2012/8/3 企业风险管理实践架构-市场风险、流动性风险之衡量与管理实务
Market Risk and Liquidity Risk Management
2012/8/10 企业风险管理实践架构-零售与商业信用风险
Retail and Commercial Credit Risk Management
2012/8/17 企业风险管理实践架构-操作风险、风险资本分配与风险调整绩效最
适决策分析
Operational Risk, Risk Capital Attribution and Risk-Adjusted Performance
Measurement
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6. 企业风险管理趋势(全面风险管理,ERM)
High-Performance Risk Management Analytic Framework-2011
Evolving from Quantitative Risk Management to a High-Performance Risk
Management Analytic Framework
Insights on a new direction for risk management byMyron S. Scholes,PhD
and Nobel Laureate, and Michael Stefanick, Director of Risk Practice at
SAS
--Leading firms will be strongly considering implementing
a high-performance risk management framework that will
provide a complete picture of firm wide risk.--
(Enterprise-wide Risk Management)
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18. 市场风险-总体经济风险
2010b.Guidance for National Authorities Operating the
Countercyclical Capital Buffer.
逆循环资本缓冲之目的，在银行体系信用过度扩充
可能升高系统风险时，要求银行增加计提资本，并
在信用循环反转时释出资本，以吸收银行损失，降
低资本不足导致紧缩信用之风险。
Basel III规定逆循环资本缓冲比率介于0-2.5%之间
，须以普通股权益支应。此外，BCBS于2010年12
月发布「各国金融监理机关实行逆循环资本缓冲之
指引」(Guidance for National Authorities Operating
the Countercyclical Capital Buffer)，要求各国金融监
理机关以信用/国内生产毛额(credit / GDP)比率为基
础，且实行适当之判断准则，监控及评估国内信用
成长情形，以决定逆循环资本缓冲水平。
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35. 流动性风险新趋势与实践-资产流动性风险
A Liquidity Surface reflects the competing role ofCost, Size and Time
Modelling and Empirical Challenges of a New Risk Standard
Carlo Acerbi, Dan Stefek and Zsolt SzekeresApril 2012
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36. 解决方式-调整流动性风险值
Basel Committee on Banking Supervision
Messages from the academic literature on risk
measurement for the trading book,31 January 2011
调整流动性VaR
将成为解决过往
LTCM与摩根大通
事件的新趋势
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37. 解决方式-调整流动性风险值
Liquidity-Adjusted Market Risk Measures with Stochastic Holding Period
(October 20, 2010, Damiano Brigo and Claudio Nordio)
随机时间(SHP)下的流动性调整模型:对于每个时间t下市
场风险VaR为Vt，令Xt=ln(Vt)，所以Vt的增量从t到h(
持有时间)如下:
Vt h Vt
X t h X t ln(Vt h / Vt )
Vt
X 0 H 0 X 0 | H 0 ~ H 0 ( X 1 X 0 )
PX t h X t VaRt , h , c c
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39. 流动性风险新趋势与实践-资金流动性风险
Intra-Day Liquidity Risk from a Stress Testing Perspective January 25,
Bank of England Financial stability paper no. 11 – June 2011:
•Intra-day liquidity: risk and regulation
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45. 流动性风险新趋势与实践-资金流动性风险
FSA qualitative recommendations (BIPRU 12.3 and 12.5)
Calculate on anintra-day basisthe need to execute
payments onnormal and stressedbases
Analyze intra-day timing of payments and postings of
cash
Search peak intra-day need
Analyze impact if paymentobligation default
ofcustomer with largest intra-day credit exposure
Intra-daycredit limitsand credit policies
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