识别和管理流动性风险（银监会罗平）.ppt

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1、Identifying and Managing Liquidity Risk,Chicago|London|Singapore,流动性风险的 识别与管理,芝加哥|伦敦|新加坡,“Every banker knows that if he has to prove that he is worthy of credit,however good may be his argument,in fact the credit is already gone.”Lombard Street:A Description of the Money Marketby Walter Bagehot(1877

2、),“所有的银行家都知道：如果他要证明自己是值得信任的，即使理由再充分，事实上他的信用已经不在。朗伯德街:；沃尔特-白泽特关于货币市场的描述（1877）,Identifying and Managing Liquidity Risk,Liquidity Risk DefinedRecent Events in Liquidity RiskChallenges in Liquidity Risk ManagementMeasuring Liquidity RiskManaging Liquidity RiskSummary,流动性风险的识别与管理,流动性风险的定义流动性风险的近况流动性风险管理的

3、挑战流动性风险的度量 流动性风险的管理 总结,Identifying and Managing Liquidity Risk,Liquidity Risk DefinedRecent Events in Liquidity RiskChallenges in Liquidity Risk ManagementMeasuring Liquidity RiskManaging Liquidity RiskSummary,流动性风险的识别和管理,流动性风险的定义 II.流动性风险的近况 III.流动性风险管理的挑战 IV.流动性风险的度量V.流动性风险的管理VI.总结,Business of fin

4、ancial intermediation is fraught with liquidity riskBanks are liquidity providers for both depositors and borrowersAll banks use short-term funding such as deposits and commercial paper to fund long-term assetsLiquidity risk is ever-present in a bank,but severe liquidity crises typically result from

5、 severe credit,market,or operational risk events,Liquidity Risk is the Potential of Having an Unexpected Shortfall for Meeting Payment Obligations,金融中介的业务充满了流动性风险 银行是存款人和借款人的流动性提供者所有银行都用短期资（如存款和商业票据）投资长期资产 银行始终存在流动性风险，但是严重的流动性风险通常都是严重的信用风险、市场风险和操作风险事件造成的,流动性风险有造成无法预期的支付亏空的可能,FundingThe inability of

6、an institution to meet payment obligations,both when repaying debt and when funding loan commitments Primary source of liquidity risk for a bankAsset MarketArises when a transaction cannot be conducted at economic value due to the size of the position relative to current trading lotsThis risk varies

7、 across categories of assets and across time as a function of prevailing market conditions For example,auction rate marketCan occur independently or may be triggered by the onset of funding risk,Banks Are Particularly Susceptible toTwo Types of Liquidity Risk,筹集资金 通常在需要偿还债务和履行贷款承诺时，银行无力支付银行流动性风险的主要来

8、源资产市场 在当前交易条件下，交易无法实现经济价值 风险会随着资产的种类和时间的不同伴随着市场形态变化比如，拍卖市场可能独立发生，也可能由融资风险引起,银行特别敏感的两种流动性风险,Understanding Your Balance Sheet Exposure Is Key to Unearthing Liquidity Risk,Assets,Liabilities,Off-Balance Sheet,Institution,BearStearns,Lehman Bros,LTCM,AIG,ContinentalIllinois,Ameriquest,Kaupthing,US/UK Co

9、mml banks,Northern Rock,CounterpartyExposure,IndustryExposure,Product Exposure,FundingSource,UnfundedCommitments&Triggers,To construct liquidity stress scenarios tailored to your institution,an intimate understanding of the balance sheet is required,理解资产负债表是发现流动性风险的前提,资产,负债,表外业务,银行,BearStearns,Lehma

10、n Bros,LTCM,AIG,ContinentalIllinois,Ameriquest,Kaupthing,US/UK Comml banks,Northern Rock,交易双方 风险暴露,行业风险暴露,产品风险暴露,融资渠道,非偿还性承诺及触发值,要构建符合银行的流动性压力场景，必须具有对资产负债表的深刻理解,Bank-specific events,such as a credit rating downgrade,can lead to funding dry-ups and asset put-backs,but borrowers of the bank will conti

11、nue to demand funds on a business-as-usual basisDirect source of liquidity riskSystemic risks can lead to funding dry-ups as well as increased demand for funds by borrowersIndirect source of liquidity risk in that systemic stresses typically originate from severe market risk,credit,or operational ev

12、ents,Liquidity Risk Can Materialize from a Name-Specific or Systemic Stress Event,涉及单个银行的具体事件，如信用等级下降，可能导致融资紧张和资产回撤表内，而存款人仍会按日常需要提取资金。是流动性风险的直接源头系统风险可能导致融资紧张以及借款人更多的资金需要是流动性风险的间接源头，系统压力多来自于严重的市场风险、信用或操作风险,具体或系统性的压力事件使流动性风险具体化,Severe Liquidity Risk Can Result Directly from a Liquidity Shock or Indire

13、ctly from Other Risk Events,IdiosyncraticLiquidity Risk,Market Shock,CreditShock,Systemic LiquidityShock,OperationalShock,Funding Shock,Financial crises may ultimately lead to a liquidity crisis that might be solved through either the issuance/borrowing of new capital(liquidity funding risk)or the s

14、ale of assets(asset market risk),流动性风险可以由流动性冲击直接导致，或间接的由的 其它风险事件导致,单一性银行的流动性风险,市场冲击,信用冲击,系统流动冲击,操作冲击,融资冲击,金融危机可能最终导致流动性危机，只能通过发行/借入新资金（融资流动性风险）或出售资产（资产市场风险）解决,Identifying and Managing Liquidity Risk,Liquidity Risk DefinedRecent Events in Liquidity RiskChallenges in Liquidity Risk ManagementMeasuring

15、 Liquidity RiskManaging Liquidity RiskSummary,流动性风险的识别和管理,I.流动性风险的定义 II.流动性风险的近况 III.流动性风险管理的挑战 IV.流动性风险的度量V.流动性风险的管理VI.总结,Diagram of a Liquidity CrisisSystemic Issues with Subprime Lending Cut the Securitization Market Down to Size,Source:European Securitization Forum Q210 Report,流动性危机图次级抵押贷款债券的恶化造

16、成证券化市场的系统性问题,资料来源：Q210欧洲证券论坛报告,TARP I passes in US,$350Bn injected into banks,Bear Sterns reveals it had spent$3BN bailing out two funds exposed to subprime,WaMu seized by FDIC and sold to JPM Chase,Lehman fails,As the Securitization Market Dried Up,Global Liquidity Deteriorated and Imploded,Norther

17、n Rock Seized by UK,AIG seized by US,Fed creates lending facilities that accept MBS/ABS for collateral,Fed signals potential longer-term treasury purchases,“Quantitative Easing”,FDIC guarantees all bank debt issued at 3yrs or shorter maturity,US Treasury Announces SCAP Program,FASB MTM Relaxed,Europ

18、ean Central Bank(ECB)pumps 200Bn Euros into Eurozone over a three day period to ease subprime credit crunch,Agencies put into Receivership,不良资产救助计划不允许美国将3500亿美金投入银行,Bear Sterns reveals it had spent$3BN bailing out two funds exposed to subprime,联邦存款保险公司将华盛顿互惠银行查封并售予摩根大通银行,Lehman fails,资产证券化市场资金枯竭，全球流

19、动性恶化并中断,英国查封北岩银行,美国查封美国国际集团,Fed creates lending facilities that accept MBS/ABS for collateral,美联储表示潜在长期国库券的购买是一种“量化的宽松”,联邦存款保险公司承诺所有银行债务需发行三年或更短的到期日,美国财政布宣布SCAP计划，财务会计标准委员会放松动态指标,欧洲央行在投入2000亿欧元到欧元区，用3天期限来缓解次级贷款危机,代理处将其归入破产管理,全球资产证券化发行量与相关利差TED,Are We at the Precipice of Another Liquidity Crisis?,(La

20、te Feb)$20 billion Euro debt requires refinancing in 2nd Q2;Greek bond yields rise,(Mar 25)EU Ministers agree on Greek bailout terms,(Apr 27)Greek bonds downgraded to“junk”status by S&P,(May 10)$1 trillion bailout package agreed on between ECB,IMF;Fed opens swap lines to central banks,(Apr 29)Merkel

21、 says admitting Greece into Euro“a mistake”,(Apr 21)Investors dump Greek assets on uncertainty of rescue,我们是否处于另一个流动性危机的边缘？,（二月末）200亿美元的欧元债务要求重新筹集资金；希腊债券增加,(3月 25日)欧盟部长同意系垃圾就项目,(4月27日)标注普尔将希腊债券降级至“junk”,(5月10日)欧洲央行和国际货币基金组织同意一万亿美金的急救计；美联储向央行公开货币互换安排,(4月29日)默克尔承认希腊加入欧元体系是个错误,(4月21日)投资者丢弃了希腊的资产在不确解救时,

22、The Basel Committee led with a revision of its guidelines on liquidity risk“Principles of Sound Liquidity Risk Management,”June 2008FSA articulated more detailed requirements on liquidity management beginning in 2008Strong focus on stress testing,definition of stress testing,stress tests by FSA,and

23、stresses on market-wide as well as firm-specific eventsCP 08/22:“Strengthening Liquidity Standards”Dec.2008Other regulators around the world followed the FSA and Basel recommendationsAPRA updated its liquidity rules(APS 210)in“APRAs Prudential Approach to Liquidity Risk”Sep.2010The Basel Committee p

24、rescribed a framework for liquidity management in December of 2010 with detailed liquidity ratios“International framework for liquidity risk measurement,standards and monitoring”Dec.2010Americas regulators responded in March of 2010 to the Basel guidelines from 2008:“Interagency Policy Statement on

25、Funding and Liquidity Risk Management”,Regulatory Response:More Comprehensive Liquidity Management Practices,巴塞尔委员会修改了流动性风险的指引 流动性风险管理原则 2008年6月金融服务管理局自2008年起明确提出了更多流动性管理的细则侧重于压力测试，压力测试的定义，金融服务管理局提出的压力测试和整个市场以及企业特定事件的压力测试“加强流动性水平”2008年12月世界上其他监管者都遵循金融服务管理局和巴塞尔的规定APRA 更新其流动性规则(APS 210)“APRA的流动性封信审慎管理

26、细则”Sep.20102010年12月，巴塞尔委员会规定了与流动性比率相关的流动性管理框架“流动性风险度量，标准和管理的国际框架”2010年12月美国的监管者在2010年3月对2008年的巴塞尔指引做出了回应：“融资的政策指引和流动性风险管理要协调进行”,监管回应：更详尽的系统性风险管理实践,Identifying and Managing Liquidity Risk,Liquidity Risk DefinedRecent Events in Liquidity RiskChallenges in Liquidity Risk ManagementMeasuring Liquidity R

27、iskManaging Liquidity RiskSummary,流动性风险的识别和管理,I.流动性风险的定义 II.流动性风险的近况 III.流动性风险管理的挑战 IV.流动性风险的度量V.流动性风险的管理VI.总结,Tactical liquidity focuses on short-term liquidity needsAnalysis run daily/intradayTrack and stress the cash value of saleable assetsMeet upcoming payment obligationsE.g.Debt issuances that

28、 are due,rolling over short-term funding,etc.Strategic liquidity focuses on longer-term liquidity stressorsAnalysis run monthlyTypically managed by ALMEconomic models used to drive cash flow trendsLoss assumptions usually not incorporatedUtilized to manage contingency plans,Current Liquidity Risk Pr

29、actices Are Split into Tactical and Strategic Components,战术性管理侧重于短期流动性需求逐日分析关注可出售资产的现金值按期进行预先要做的支付例如：认购债券到期，短期融资等战略性管理关注长期流动性压力因素逐月分析通常由资产负债管理经济模型用于分析现金流的发展趋势损失假设没有考虑进去 用于管理应急方案,目前的流动性风险管理分为战术性管理和战略性管理,Many groups are involved in modeling liquidity at most banksMarket Risk and/or Collateral Manageme

30、nt manages cash value analysis of the saleable assetsMake assumptions on sale execution timingCounterparty Credit Risk and Funding Desk groups are“clients”of Collateral ManagementCollateral allocated for margin calls,to secure borrowings,etc.ALM generally models the longer-term liquidity viewEach of

31、 the groups use their own models,assumptions and(often)dataPulling together the pieces is a daunting taskEspecially when the results may be contradictory,Disjointed Liquidity Risk Management Processes Lead to Incomplete Results,大多数银行的流动性模型由许多团队参与构建的市场风险和抵押品管理管理者可出售资产的现金流假定销售执行时间交易双方信用风险和融资业务室是抵押品管理的

32、“客户”安排抵押品进行保证金交易，确保借款资产负债管理一般做长期流动性风险的模型每个集团都用自己的模型、假设和数据整合是一项艰巨的任务尤其是结果存在矛盾性,支离破碎的流动性风险管理导致各项结果不一致,The Framework is designed for risk management at an enterprise levelProvides a platform for inputs and modeling assumptions from all risk areas:Market Risk,ALM,Collateral Management,Counterparty,etc.L

33、iquidity analysis leverages the planning and forecasting engineExisting functionality can be leveraged in the strategy for liquidity analysisNew liquidity-specific functionality has been added for stress testing Other Framework enhancements to Foundation allow for more efficient liquidity analysis,T

34、he Framework Provides the Tools to Achieve Comprehensive Liquidity Management,此框架专为企业风险管理设立在所有风险领域提供输入值和模型假设的平台：市场风险、资产负债管理、抵押品管理及合约双方等流动性分析考虑了计划和预测方面的作用现有的功能会影响流动性分析策略新的流动性功能被用于于压力测试在该框架的基础上进一步升级有助于更有效的流动性风险分析,此框架为实现全面流动性管理提供工具,Liquidity Analysis Is Incorporated Into the Planning and Forecasting En

35、gine,Liquidity-specific rules organized in its own area of the strategy,Liquidity overlay attaches to the planning strategymore on this in a moment,Nearly all liquidity analysis utilizes the Bottom-Up Growth,Reinvestment and Allocations Components,流动性分析嵌入计划和预测的引擎,流动性规则在整个战略中拥有自己的位置,流动性的新功能与涉及略计划,几乎所

36、有的流动性分析都利用由下向上的增长，在投资和再分配,Liquidity Analysis Is Enhanced and Facilitated With Recent Features,Planning Periodicity Object Drives Inputs for the Components and Outputs in the Liquidity Gap Report,Plannings Periodicity object drives input frequency in the strategy and output frequency in the Liquidity

37、 Gap report,Daily Incremental Growth added to available growth types,新的功能强化了流动性分析,Planning Periodicity Object Drives Inputs for the Components and Outputs in the Liquidity Gap Report,增量提取为组合中加入了新数据，允许用户更新银行账户的同时每日更新交易账户,日增长加于可用增长类型,Liquidity scenarios are commonly defined as“worst-case”stress scenar

38、iosPresume a run on the banks sources of fundsEliminate/extend cash inflows from the loan portfolioIn liquidity stress testing,the liquid asset buffer is presumed to be soldLiquidity managers are less interested in principal and interest flows than in an“estimated”cash value at the time of saleLiqui

39、dity overlays are attached to the planning strategyLiquidity gap report shows both economic(i.e.planning forecast)cash flows and overlay cash flows side by sideStrategies used for loss forecasting or ALM can be leveraged,The Liquidity Overlay Extends an ALM Forecast into a Liquidity Stress Scenario,

40、流动性场景通常被定义为“重度”压力场景假设银行资金来源出现挤兑削减或扩大贷款的现金流入在流动性压力测试中，需要假设以将流动性资产缓冲将被出售相对于本金和利息流量，流动性更倾向于计算“预估”出售时现金值流动性的新功能应作为规划策略的一部分内容流动性缺口报告可以同时显示经济现金流（规划预期）和新的现金流同时让损失预期或资产负债管理策略发挥,流动性新功能扩展了资产负债管理的预测的流动性压力场景,Incorporate Liquidity-Specific Assumptions Using the Liquidity Overlay,Enable portfolios for“sale”,Const

41、ruct a liquidity overlay tree using the standard tree builder,To Stress Principal In/Outflow Timing,Assign a Maturity Schedule,Define Timing of Sale and Collateral Haircut to Determine Cash Value,Define timing of sale and collateral haircut to determine cash value,To stress principal in/outflow timi

42、ng,assign an attrition schedule,将流动性新的内容与流动性相关假设结合起来,允许证券投资组合买卖,用标准树建立流动性新增内容的树,Define Timing of Sale and Collateral Haircut to Determine Cash Value,确定买卖时间，担保折扣从而决定现金流,Framework Enhancements to Foundation Allow for More Efficient Liquidity Analysis,Incremental extraction appends new data to the port

43、folio,allowing users to roll the banking book while updating the trading book daily,For liquidity risk purposes,some banking book portfolios can be modeled through Balance and Reconciliation as opposed to transaction ETL,Stratification is now assumption-based,allowing the liquidity group to aggregat

44、e differently from ALM,强化基础构架以获得更高效的流动性分析,增量提取为组合中加入了新数据，允许用户更新银行账户的同时每日更新交易账户,为预防流动性风险，一些账户组合可以通过B&R构建成而不是ETL.,分层现以假设为基础，允许流动资金组以不同资产负债管理的方式计总,Identifying and Managing Liquidity Risk,Liquidity Risk DefinedRecent Events in Liquidity RiskChallenges in Liquidity Risk ManagementMeasuring Liquidity Risk

45、Steps for Measuring Liquidity RiskCase StudyImplementing Basel Stress TestsMoving Beyond BaselManaging Liquidity RiskSummary,流动性风险的识别和管理,流动性风险定义流动性风险近况流动性风险管理的挑战流动性风险度量步骤案例分析实施巴塞尔压力测试长远影响流动性风险管理总结,Identifying and Managing Liquidity Risk,Liquidity Risk DefinedRecent Events in Liquidity RiskChallenges

46、 in Liquidity Risk ManagementMeasuring Liquidity RiskSteps for Measuring Liquidity RiskCase StudyImplementing Basel Stress TestsMoving Beyond BaselManaging Liquidity RiskSummary,流动性风险的识别和管理,流动性风险定义流动性风险近况流动性风险管理的挑战流动性风险度量步骤案例分析实施巴塞尔压力测试长远影响流动性风险管理总结,Comprehensively Measuring Liquidity Risk Requires

47、Three Steps,Segment the balance sheet to identify significant liquidity exposuresConstruct an ERM framework to model liquidity stress events Quantify and report liquidity risk,全面度量流动性风险的三个步骤,将资产负债表划分类，以识别重大流动性风险敞口建立全面风险管理框架以模拟流动性压力事件流动性风险的量化及报告,Liquidity exposures can reside in various parts of the

48、balance sheet and can change over timeLook at the balance sheet across different dimensions to understand concentration riskE.g.by product,by funding source,by customer segmentConsider how balance sheet concentrations evolve over time in the forecast processDetermine the change in balance sheet conc

49、entrations across various scenarios(e.g.BAU,recession,growth)Use Framework reports and leverage dimensionality to expose balance sheet concentrationsE.g.Pre-analysis,Valuation,and Balance Sheet report books,Step 1:Segment the Balance Sheet to Identify Significant Liquidity Exposures,流动性风险暴露存在于资产负债表各

50、项并随时间发生变化解读资产负债表各个组成部分以便了解集中度风险如，产品线，融资渠道，客户群体考虑资产负债表的关注点如何演变在各种情形下（如萧条期，成长期）确定资产负债表中关注点的变化运用框架报告及利用其各项新功能揭露资产负债表中的集中度风险如，事前分析，合理估价，资产负债表报告书,步骤1:资产负债表分类以识别重大流动性缺口,General Concentration Risk Can Be Identified by Leveraging Dimensionality,Viewed by customer segment,Viewed by product exposure,Viewed by