风险管理（杨一民）(1).ppt

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1、NewGameforFinancialMarket金融市场新游戏&NewGameFieldforRiskManagement风险管理新环境YiminYang(VicePresident&Sr.ManagerRiskAnalytics1介绍PNCItusedtobeabank,butnow(曾经叫做银行,但现在是…)PNCBank15thlargestUSBank$70BillionAssetBlackRockOneofthebest&fastestgrowingInvestmentCompanyonWallStreet$300BillionAsse

2、tUnderMgntPFPCBrokerage&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……PNCCommittees主要管理委员会CEOPresident

3、CCOCFODecision-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)CreditDerivatives(信用衍生品)TheGameField(新环

4、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)WhatareCreditDerivatives(什么是信用衍生品)Financialproduct

5、sthatprice&transfercreditrisk(用于转移信用风险的金融产品)CreditDefaultSwap(CDS),AssetSwapCashFlowCollateralDebtObligation(CDO),SyntheticCDONth-to-defaultbaskets,SingleTrancheCDO,CDOOptionStandardizedIndexTranches,CDOSquared7Example:CreditDefaultSwap(CDS)例一MostofCreditDerivativesareCDS(70%)

6、(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8Example:(CollateralizedDebtObligation(CDO)例二CDOisToday’

7、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%Return=1.5%Return=3%Return=7%9Example:CDX.HY例三PopularDowJonesC

8、DX.HY(DowJones推出的CDS指数之一)100liquidBB/B-ratedCDSENTITIES,equal