《SasIntelligent Enterprise Risk ManagementBeyond Basel Ii15 Oct 02》由会员分享，可在线阅读，更多相关《SasIntelligent Enterprise Risk ManagementBeyond Basel Ii15 Oct 02（19页珍藏版）》请在金锄头文库上搜索。
1、Copyright 2002, SAS Institute Inc. All rights reserved.Intelligent Enterprise Risk Management Beyond Basel IIMalcolm ListerGeneral Manager - Financial Services Australia & New Zealand SAS Institute Australia Pty LtdCopyright 2002, SAS Institute Inc. All rights reserved.Basel II impacts all levels of
2、 the EnterpriseRegulatorsBoardBusiness unitsGroup Risk managementintelligent Enterprise Risk Management is needed to leverage the mass of data for competitive advantageOperating units Group Risk Management nEnterprise wide control over risk managementnPolicies and tools to be able to facilitate and
3、support BUs and OUsnTransparent risk reportsnComparable dataBank OverallnBest-in class standard for risk managementnPositive assessment from regulators, rating agencies, insurers: (Basel compliance)nAchievable strategiesBU Management nEfficient control environment (RAROC)nLower capital chargeOU Mana
4、gement nOutperform competitors in pricingnClarity of risksnBetter performancenReduction of lossesnEffective control environmentBU Risk Management nWorkable methodology and toolsnFacilitate OU and BUs to manage risks and to implement controlRisk management departmentsCopyright 2002, SAS Institute Inc
5、. All rights reserved. Operational Risk Jurisdiction Risk Settlement Risk Systems Risk Employee Risk Strategic Decision Risk Purchasing Risk Strategic Risk Regulatory Risk Tax Risk Catastrophe Risk Currency Policy Sales Risk Competition Risk Elasticity Risk Predictive Risk Physical Risk Physical Ass
6、ets Real Estate Manufacturing Process Supply Chain Liquidity Risk Funding Risk Market Liquidity Cpty/Credit Risk Default risk Downgrading Market Risk Price risk (int. rate, ccy, equity, commodity) Curve risk Basis risk Correlation risk Option specific riskFinancialRisks ENTERPRISE RISK PLATFORMRAPM
7、- Optimization Enterprise-Wide Business UnitBasel is only a catalyst - Enterprise Risk Management Must Measure & Optimize All Types of Risk Capital Copyright 2002, SAS Institute Inc. All rights reserved.A true enterprise risk framework gives an organization the ability to examine all of the layers w
8、ithin it. The result is a core that drives risk adjusted performance management throughout the organization. Enterprise Risk Management Framework layers of sophisticationBusiness Unit ExposuresEnterprise Risk ExposuresOptimized Risk CapitalRisk Adjusted Performance Management Copyright 2002, SAS Ins
9、titute Inc. All rights reserved.Substantial ROI comes from the changing of behavior throughout the organizationnRisk Adjusted Performance Management (RAPM)nThis means .Risk Adjusted budgetingRisk Adjusted capital performance Risk Adjusted compensation etc. etc.Risk Adjusted Decision MakingCopyright
10、2002, SAS Institute Inc. All rights reserved. Risk SolutionImprove bottom lineMaintain/advance credit ratings. Improve equity valuationImprove return/risk ratio on capitalImprove return on investment capitalRisk Adjusted Performance ManagementCorporate OptimizationEnterprise Risk ManagementBusiness
11、Unit Risk ManagementOptimize risk capital at enterprise levelOptimize risk capital at enterprise levelCommunicate Corporate risk profileManage the Business - EventsThe risk solution must incorporate the intelligence needed for RAPM to deliver needed ROI Copyright 2002, SAS Institute Inc. All rights
12、reserved.Intelligence is the Common Denominator in RisknBusiness intelligence enables organisations to leverage their information infrastructures to drive the corporate vision towards risk and rewardRisk Intelligence Maturity Stages12345Data PointsDepartmentalDataEnterprise InformationValue Chain Op
13、timisationShareholderValue Vision & InnovationCopyright 2002, SAS Institute Inc. All rights reserved.Forward-looking Analytic Intelligence is the DifferentiatorBACCopyright 2002, SAS Institute Inc. All rights reserved.Executive Management Attitude Toward the Value of Risk - Critical for Investment i
14、n Risk Framework GreaterSophisticationCompliance &PreventionAvoiding own organisations crisesManaging other organisations crisesComplying with corporate governance standardsAvoiding personal liability failureOperatingPerformanceUnderstand the full range of risks facing business todayUnderstanding an
15、d evaluating business strategy risksAchieving global best practicesProtecting corporate reputationShareholder ValueEnhancementEnhancing capital allocationImproving returns through value-based managementCopyright 2002, SAS Institute Inc. All rights reserved.Evolution of Risk Decision-Making The Futur
16、e is Integrated and Forward-LookingFocus on Revenue and Cost ManagementMark-to-marketActivity-basedcostingTransferpricing1980sValue atRiskRisk-adjustedperformancePortfolioManagement1990sFocus on Risk Control (historical focus)Shareholder ValueIntegrated Risk & Profitability2000+Fully integratedprofi
17、tability andrisk information Forward-looking,not just static,management toolsCopyright 2002, SAS Institute Inc. All rights reserved.PresentationRisk Dashboard and ReportingAnalysisData Mining, Analytics, Value at Risk ModelingDataManagementData Repository, Data CleansingAccessAccess to Multiple Data
18、 Sources, Multi-Platform Risk Management requires an end-to-end approachOperational OptimizationStrategic AdvantageCopyright 2002, SAS Institute Inc. All rights reserved.Operational Risk is still a relatively new area Risk Management LifecycleAdoptionMaturityRelatively Slower AdvancementOperational
19、RiskCredit RiskMarket RiskLiquidity RiskAsset/Liability ManagementLevel of DevelopmentCopyright 2002, SAS Institute Inc. All rights reserved.Operational Risk is still a new area Early Adopters Case Study nMajor International BankHas engaged SAS to provide an Operational Risk infrastructure to meet i
20、ts goalsThe bank is aiming to shifting capital reserves for the three major risk segments-Market Risk from 10% to 30%-Credit Risk from 70% to 40%-Op Risk from 20% to 30%Compliance with Basel II and the reallocation is expected will reduce capital reserves by at least 5% - resulting in $167 million i
21、n freed capital per dayCopyright 2002, SAS Institute Inc. All rights reserved.Operational Risk a key area of ERMCopyright 2002, SAS Institute Inc. All rights reserved.Meridien: Key Features of Operational Risk Architecture Impacted by Basel IISource: Meridien Research the emphasis from the BIS is pr
22、imarily around collecting and analyzing the data related to losses and key risk indicators, which then form the basis for assessing capital charge Copyright 2002, SAS Institute Inc. All rights reserved.BIS requires banks to demonstrate use of internal rating systems inoCredit approval processoPricin
23、goPortfolio limit settingoLending authority levelsoReportingOther business applications includeoPerformance measurement oBudgeting/Strategic PlanningoPortfolio ManagementoCustomer Relationship Management (CRM)Requirements and Business Applications_Evaluate current situation (at business unit level)
24、vis a vis requirementsIdentify and plan tasks to close the gapStart the embedding effortoCommunication and awareness building oReportingoBudgeting and Strategic PlanningProject Plan & Embed_Case Study : Major European Global BankPhase 1: Project Plan and Embedthe new Basel Accord requires that the n
25、ew risk and value measures are used actively throughout the organisationCopyright 2002, SAS Institute Inc. All rights reserved.Case Study : Program RAROC 2004Rating tool for Member BanksTop down RAROC by Business UnitPHASE 0 (2000) BACKGROUNDDesign of 2004 Master PlanDevelopment of credit risk tools
26、 for all bank client segmentsMethodologies for other risksoperational riskinsurance riskmarket riskTransfer of knowledge to bank teamsData gathering for RAROC and regulatory compliancePHASE I (2001-02) PLAN & DATAFinalise MIS implementationFine-tuningBacktesting using new dataRecalibration of model
27、parametersConsolidation of experience and approval of internal modelsRegulatorsOther external parties ( eg rating agencies)PHASE III (2003-04) PRACTICEPHASE II (2002-03) IMPLEMENTATION Group level applicationsPlanning and budgetingPerformance management and compensationCapital and Credit Portfolio M
28、anagementBusiness Unit applicationsPricingCredit process redesignCustomer profitability managementCopyright 2002, SAS Institute Inc. All rights reserved.Basel II - Integrated Modular Risk ArchitectureSAS OLAP Multi-dimensional database (MDDB) & AppDevStudioOtherVaR MeasuresScoring ModelsCredit Measu
29、resGlobal ReportingVaRCreditOpsOp Risk MeasuresRegulatory Needsand ModellingAnalysisDrill-downModelling/MapRisk IndicatorsAccountability- R I S K D A S H B O A R D - StrategyPerformance and StrategyPresentationSelf-AssessmentExternal DataPlanning DataAccessDataManagementData InputsData Managementand
30、 ReportingLoss DataInternal & externalPerformance DataCopyright 2002, SAS Institute Inc. All rights reserved.Final words .80% of all failed IT systems implementations faildue to the Organisations resistance to changeErnst&YoungIt is not the strongest species that survive,nor the most intelligent, but the ones most responsive to change Charles Darwin
