教学卓越计划讲义

《教学卓越计划讲义》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、教學卓越計劃講義風險管理(研究所)Chapter27Firm-WideRiskManagementIntegratedRiskManagement¢Integratedriskmanagement¢Providesaconsistentandglobalpictureofriskacrossthewholeinstitution¢Typesoffinancialrisk¢Marketrisk¢Liquidityrisk¢Assetliquidityrisk¢Fundingliquidityris

2、k¢CreditRisk¢OperationalRisk2007/7/4教學卓越計畫專用講義2RiskInteractions&Three-PillarFramework¢Wrong-waytrades¢Thosewherethemarketriskamplifiescreditrisk¢Example:LTCM¢Three-pillarframewok¢Best-practicepolicies¢Best-practicemethodologies¢Best-practiceinfrastru

3、cture2007/7/4教學卓越計畫專用講義3OrganizationalStructure¢OldStyleOrganizationalStructureTopManagementCEO/CFOTreasury&CreditLineAuditTradingManagementCreditriskInternal&“FrontDesk”BusinessExternalStrategyPositioningReviewsallProductmgt.MarketriskareasOperation

4、s2007/7/4教學卓越計畫專用講義4OrganizationalStructure¢ModernOrganizationalStructureTopManagementCEO/CFORiskOperationsTreasury&ManagementAuditTrading“Backoffice”“Middleoffice”TradeInternal&“FrontDesk”Market,credit,ProcessingExternalPositioningandoperationalCash

5、mgt.ReviewsallriskareasDatacaptureDocumentation2007/7/4教學卓越計畫專用講義OrganizationalStructure¢RiskmanagementOrganizationalStructureRiskManagementEVPOperationalRiskMISCreditRiskMarketriskRiskAnalyticsTradingandTradingroombankingbooksRAROC2007/7/4教學卓越計畫專用講義

6、ControllingTraders¢Tradercompensations(controls)¢Modifyingthestructureofthecompensationcontracttobetteraligninterestoftraderandcompany¢Subtractingarisk-basedcapitalchargefromtradingprofits,asinRAROC¢Appointinganindependentriskmanager¢TraderLimits¢Sto

7、p-losslimits–restrictionontradersimposedafteratraderhasaccumulatedlosses¢Exposurelimits–systematicallyimposedontradersasmeanstocontrollossesbeforetheyoccur¢VARlimits–accountfordiversificationandtimevariationinrisk2007/7/4教學卓越計畫專用講義7教學卓越計劃講義風險管理(研究所)C

8、hapter28LegalIssuesSourcesofLegalRisks¢Afailureincontracting¢Whenacontractisnotproperlyauthorizedorexecuted¢Afailureincontractdocumentation¢Mistakescanariseincontractdocumentationsuchasincorrectnumberentries¢Bankruptcyrisks¢Bankruptcycourtcould“cherr