《风险管理杨一民》PPT课件

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1、NewGameforFinancialMarket金融市场新游戏&NewGameFieldforRiskManagement风险管理新环境YiminYang(杨一民)VicePresident&Sr.ManagerRiskAnalytics1介绍PNCItusedtobeabank,butnow(曾经叫做银行,但现在是…)PNCBank15thlargestUSBank$70BillionAssetBlackRockOneofthebest&fastestgrowingInvestmentCompanyonWallStreet$30

2、0BillionAssetUnderMgntPFPCBrokerage&ProcessingCapitalMarketInvestment……PNCFinancialServiceGroup(PNC金融服务集团)2介绍RiskAnalyticsRiskAnalytics(CentralizedRiskMngtTeam)CROCapitalAllocation资本配置ReserveAdequacy准备金AssetMngt(ALCO)资产管理PortfolioMngt组合管理PNCBoard董事会报告more……PNCCommittee

3、s主要管理委员会CEOPresidentCCOCFODecision-MakingSupport决策分析辅助CreditRisk$50BillionOperationalRiskBaselIIMarketRiskInvestmentBusinessLinesRiskManagement风险管理TradingAnalytics3Now,backtoourtopics言归正传4两个热门话题TwoCurrentHotTopicsTheGame(新游戏)CreditRisk,morespecifically(信用风险)CreditDeriv

4、atives(信用衍生品)TheGameField(新环境)NewRegulatoryEnvironment,morespecifically(新监管要求)BaselII(巴塞尔协议)5CreditRisk&CreditDerivatives信用风险与信用衍生产品6WhatisCreditDerivative什么是信用衍生品WhatisCreditRisk(什么是信用风险)Theriskthatacompanyisunable/unwillingtomakepromisedpayment(不能按时支付)WhatareCreditD

5、erivatives(什么是信用衍生品)Financialproductsthatprice&transfercreditrisk(用于转移信用风险的金融产品)CreditDefaultSwap(CDS),AssetSwapCashFlowCollateralDebtObligation(CDO),SyntheticCDONth-to-defaultbaskets,SingleTrancheCDO,CDOOptionStandardizedIndexTranches,CDOSquared7Example:CreditDefaultS

6、wap(CDS)例一MostofCreditDerivativesareCDS(70%)(市场主要产品)Itissimilartobuy/sellinsurancefordefault(类似破产保险)ProtectionBuyer买保方ProtectionSeller卖保方UnderlyingAsset(GEBond,forexample)持有风险资产比如GE债券Regular%Fee定期付费(保险费)(Libor+Spread)PaymentIFtheunderlyingassetdefaults当GE发生破产时,付损失费8Exa

7、mple:(CollateralizedDebtObligation(CDO)例二CDOisToday’smarketfavorite(市场宠儿)Aportfolioistranchedtoabsorblosses.InvestorscaninvestindifferenttranchesEquityTranche$10mmMazzanine$15mmSeniorTranche$35mmSuperSenior$40mm$100mmAsset(AportfolioofCorp.bond,e.g.)1亿风险资产Return=0.5%Re

8、turn=1.5%Return=3%Return=7%9Example:CDX.HY例三PopularDowJonesCDX.HY(DowJones推出的CDS指数之一)100liquidBB/B-ratedCDSENTITIES,e