《FRM二级基础段培训项目：操作风险与弹性（打印版）.docx》由会员分享，可在线阅读，更多相关《FRM二级基础段培训项目：操作风险与弹性（打印版）.docx（115页珍藏版）》请在课桌文档上搜索。
1、 FrameworkOperational Risk andResiliencyTopicWeightingsinIfRMPart11SessionNO.1Content%2020201.iquidityandTreasuryRiskMeasurementandStudySession415ManagementRiskManagementandInvestmentManagement15CurrentlssuesinFinancialMaiket2-3B亏W创新I旨fl!1:OperationalRiskManagemcnt(CHl-CHG)Part2:ModelRiskandDataQual
2、ity(CHT-CHll)Part3:EconomicCapitalManagementandotherrelatedissues(CH12-CH18)Part4:TheBaselAccord(CH19-CH22)ReSiiienCe(CH23-CH26)专业.创新1笆值OperationalRiskManagement4-313有城，由IlhIraPrinciplesfortheSoundManagementofOperationalRiskS-313Chapter1MWe三IMFramework1.ThreeLinesofDefense2.11PrinciplesofOperational
3、RiskManagement与U.S1.ThreeLinesofDefenseBusinesslinemanagementBusinesslinemanagementisresponsibleforidentifyingandmanagingtherisksinherentintheproducts,activities,processesandsystemsforwhichitisaccountableFunctionallyindependentcorporateoperationalriskfunction(CORF).IncludetheODerationaliskmeasuremen
4、tandeoortinQDnxessesriskComnliHoesandresponsibilityforboard叩OrIing.Challengethebusinesslinesinputsto,andoutputsfrom,thebanksriskmanagementriskmeasurementandreportingsystems.Independentreviewandchallengeofthebanksoperationalriskmanagementcontrols,processesandsystems.Thisreviewmaybedonebyauditorbystaf
5、findependentoftheprocessorsystemunderrevievlbutmayalsoinvolvesuitablyQUalifiedexternalDanieS7313SUf-Stw-Ira2.11PrinciplesofOperationalRiskManagement11PrinciplesFundamentalPrinciplesofOperationalRiskManagement/Principle1,2Governance/Principle3,45Riskmanagementenvironment，Principle6,7,8l9Businessresil
6、iencyandcontinuity，Principle10Roleofdisclosure8-313/Principle11Ket三.2.11PrinciplesofOperationalRiskManagementAFundamentalPrinciplesofOperationalRiskManagementPrinciple1:TheboardofdirectorsshouldtaketheleadinestablishingdStrongriskmanagementculture./Theboardshouldestablishacodeofconductoranethicspoli
7、cyPrincipleZBanksshoulddevelop,implementandmaintainaFrameworkthatisfullyintegratedintothebanksoverallriskmanagementprocesses.TheFrameworkforoperationalriskmanagementchosenbyanindividualbankwilldependonaQnqeOffactors,indudinqitsnatureSiZBComdexityandIiSkprofile./较取2021年冲刺押Sj资料务必加微信：XUebajUn888s2.11Pr
8、inciplesofOperationalRiskManagementGovernance(Confd)Principle3:Theboardofdirectorsshouldestablish.HDDroveandDeriOdiCalIVeviewtheFramewok/Establishamgt.culture,andrelatedsupportingprocessesdevelopcomprehensive,dynamicoversightandcontrolenvironments/Provideseniormgt.witclearguidance/EnsuretheFramework
9、issubjecttoeffectiveindependentreviewbyauditorotherappropriat(?lytrainedparties/Ensurethata$bestpracticeisavailingthemseh/esoftheseadvances/EstablishclearlinesofmgtresponsibilityandaccountabilityPrinciple4:Theboardofdirectorsshould叩PIoVeandreviewariskGDDetiteandtoleranceStatementforoperationalrisk.m
10、”3-ra2.11PrinciplesofOperationalRiskManagementGovernancePrinciple5:Seniormanagementshoulddevelopforapprovalbytheboardofdirectorsadear,effectiveGndrobustQoVernarKestructurewithwelldefined,transparentandconsistentlinesofresponsibility./Establishandmaintainrobustchallengesmechanismsandeffectiveissue-re
11、solutionprocesses./Translatetheoperationalriskmgt.Frameworkintospecificpoliciesandprocedures./Clearlyassignauthority,responsibilityandreportingrelationshipstoencourageandmaintainaccountability./Ensurethemgt.oversightprocessisappropriate./Ensurestaffformanagingdiferentriskscrdinateandcommunicateeffec
12、tive./Ensurethatthebankactivitiesareconductedbystaffwiththenecessaryexperience,technicalcapabilitiesandaccesstoresources./ThemanagersofCORFshouldbeofsufficientstaturetoperformtheirdutieseffectively.11313WeI.2.11PrinciplesofOperationalRiskManagementRiskmanagementenvironment(Contd)Principle6:Seniormgt
13、shouldensuretheidentificationandassessmentOftheODerationalriskinherentinallmaterialproducts,activities,processesandsystemstomakesuretheinherentrisksandincentivesarewellunderstood.ExamplesofToolsusedtoIdentifyandAssessOperationalRisk/AUditFindingS/InternalZExternaILossDataCollectionandAnalysisRiskSel
14、fAssessment(RSA)orRiskControlSelfAssessments(RCSA)/BusinessProcessMapping:Identifythekeystepsinbusinessprocesses,activitiesandorganizationalfunctions./RiskandPerformanceIndicators:KeyRiskIndicators(KRls)/ScenarioAnalysisSWrSlWit2.11PrinciplesofOperationalRiskManagementRiskmanagementenvironment(Cont*
15、d)Principle7:Seniormgt.shouldensurethatthereisanapprovalProCOSSforallnewproducts,activities,processesandsystemsthatfullyassessesoperationalrisk.Thereviewandapprovalprocessshouldconsider:/lherentrisksinthenewDrodUCtSerViC巳Oract/changestothebanksoperationalriskprofileandappetiteandtolerance,includingt
16、heriskOfexistingproductsoractivities;，thenecessarycontrols,riskmanagementprocesses,and谭mitkationSgteaies:/theresidualrisk;，ChangeSIorelevantriskHvesholdsOrlimits:and13-313/theproceduresandmetricstomeasure,monitor;andmanagetheriskofthenewproductoractivity.三-Mr*tra2.11PrinciplesofOperationalRiskManage
17、mentRiskmanagementenvironmentPrinciple8:Seniormgt.shouldimDlementaDKKeSStoreularlvmonitorODerationdlriskDK)filesandmaterialR)(DOsuresU)lossesincludinganappropriatereportingmechanisms.Principle9:BanksshouldhaveaStrOnCOntrolenvironmentthatutilisespolicies,processesandSyStenis;appropriateinternalcontro
18、ls;andappropriateriskmitigationand/ortransferstrategies.EffectiveControlEnvironmentManagingTechnologyRisk(sameasotheroperationalrisk)14-313ManagingOutsourcingRiskwe三ta2.11PrinciplesofOperationalRiskManagementFeaturesofanEffectiveControlEnvironmentAneffectivecontrolenvironmentrequiresapmopriateSegreg
19、ationOfduties己nddudlCOntroLInaddition,banksshouldensurethatothertraditionalinternalcontrols:/dearlyestablishedauthoritiesand/orprocessesforapproval;/closemonitoringofadherencetoassignedriskthresholdsCxlimits:/SdfeqUdrdSforaccessto,anduseOtbankassetsandrecords;/appropriateStaffingIeVelandUainingtomai
20、ntainexpertise;/ongoingprocessestoidentifybusinesslinesorproductswherereturns叩Pear to be OUt Ofline With 心Sonable e:ZtiQn5：/regularVerifiEiQnandreconcilictiocOftransactionsandaccounts;and/aVdCationPOlieythatprovidesforofficersandemployeesbeingabsentfromtheirdutiesforaperiodofnotlessthantwoconsecutiv
21、eweeks.2.11PrinciplesofOperationalRiskManagementTomanageOutsourcingRisk,bankshouldhaveproceduresfordeterminingWhetherandhowactivitiesCanbeoutsourced:processesforconductingduediligencetoSeleetPOtentialSerViCeproviders:soundstructuringoftheoutsourcingarrangementincludingOWnerShioandCoMidentiaIityOfdat
22、aasWellasterminationrights:programsformanagingandmonitoringtheriskswithintheoutsourcingarrangementincludingthefinarlCOnditionOftheSerViCeprc5der:establishmentofaneffectivecontrolenvironmentdtthebankandtheSerViCeprovider;developmentofviablecontingencyplans:16-313executionofcomprehensivecontractsand/o
23、rservicelevelagreementswithadearallocctiorOfresponsibilitiesbetweentheOUtSoUrCingProViderandthebank.SdTMrtra2.11PrinciplesofOperationalRiskManagementBusinessResiliencyandContinuityPrinciple10:Banksshouldhavebusinessresiliencyandcontinuityplans.Roleofdisclosure17-313Prindple11:Abankspublicdisclosures
24、shouldallowstakeholderstoassessitsapproachtooperationalriskmanagement3出a三.EnterpriseRiskManagementChapter2&3sii-a三mFramework19-313-s-tra1.ERMDefinitions2.WhyERMworks?3.ImplementationofERM4.Tl)eChiefRiskOfficer1.ERMDefinitionsATwomajordefinitionsofERMCommitteeofSponsoringOrganizationsoftheTreadwayCom
25、mission(COSO):/ERMisaprocess,effectedbyanentitysboardofdirectors,managementandotherpersonnel,appliedinstrategysettingandacrosstheenterprise,designedtoidentifypotentialeventsthatmayaffecttheentity,andmanagerisktobewithinitsappetite,toprovidereasonableassuranceregardingtheachievementofentityobjectives
26、；InternationalOrganizationofStandardization(ISO31000):20-313/Riskistheeffectofuncertaintyonobjectivesandriskmanagementreferstocoordinatedactivitiestodirectandcontrolanorganizationwithregardtorisk.Wal三ta1.ERMDefinitionsAAuthorsopinionWhiletheCOSOandISOdefinitionsprovideusefulconcepts,itisimportanttha
27、tERMisdefinedasavalueaddedfunction:Riskisavariablethatcancausedeviationfromanexpectedoutcome.ERMisacomprehensiveandintegratedframeworkformanagingkeyrisksinordertoachievebusinessobjectives,minimizeunexpectedearningsvolatility,andmaximizefirmvalue.Acorporationcanmanageriskseither:OneriskataIimelargely
28、compartmentalized,decentralized,orEnterpriseriskmanagement(ERM)AllnsksVieWedtogetherWithinaCoordinatedandSgtegiCframework.2.WhyERMworks?CreateShareholderValuebothattheMacroandtheMicroLevelAttheMacrolevel/ERMenablesseniormanagementtoquantifyandmanagetheriskreturntradeoffthatfacestheentirefirm.Thishel
29、psmaintainaccesstoCaPitalmarkets,implementStQtegyandbusinessPlarL/Byreducingnon-coreexposures,ERMeffectivelyenablescompaniestotakemorestrategicbusinessriskandtotakegreateradvantageoftheopportunitiesintheircorebusiness.AttheMicrolevelWell-designedERMsystemensuresthatallmaterialrisksareOWned(becomesaw
30、ayoflifeformanagersandemployees-)./Operatingmanagersandemployeescanevaluaterisk-returntradeoff.22313sum-a三-ra2.WhyERMworks?ERMisallaboutintegration,inthreeways:enterpriseriskmanagementrequiresanintegratedriskorganizationenterpriseriskmanagementrequirestheintegrationofrisktransferstrategies23-313ente
31、rpriseriskmanagementrequirestheintegrationofriskmanagementintothebusinessprocessesofacompany吨e三2.WhyERMworks?AThreeBenefitsToERMOrganizationalEffectiveness/Variousfunctionsworkcohesivelyandefficiently.RiskReportingTimelyandrelevantriskrepcrtingBusinessPerformance/Marketvalueimprovement/Lowerearnings
32、volatility./Increasedearnings./Improvedshareholdervalue.Sli-SHi-IIfl3.ImplementationofERMConceptualFrameworkofanERMSystem(Confd)Determinefirmsriskappetite(levelofacceptablerisk):WhenQedIlratnsGreUSedastheDnmarVIndKatoroffinancialsk,thermdeterminesanoptimalortargetratingbasedonitsskappetiteandthestof
33、reducingitsprobabilityofnancaldistress.Estimatecapitalrequirement:Grventhefirm,stargetrating,managementestimatestheam。UmOfCaDnalrequiredtosupportthenskofitsoperations.Determinemixofcapitalandrisk:Managementdeterminestheoptimalcombinationofcapitalandriskthatsexpectedtoyedjtstargetrating.Foragivenamou
34、ntofcapital,managementcanalteritsriskthroughhedgingandprojectselection.Decentralize:Topmanagementdecertrakzestherisk。DItaltradeOffwiththehelpofacapitalallocationandperformanceevaluationsystemthatmotivatesmanagersthroughouttheorganizationtomakeoptimalinvestmentandoperatingdecisions.25T13WQl斯II3.Imple
35、mentationofERMDeterminetheOptimalAmountofRiskwithinERMbytargetingCreditRatingArticulateRiskAppetite:Thefirmdefinesitsrating-equivalentleveloffinancialdistress(eg.,wedefinefinancialdistressasoccurringWhenOUrbondratingfallstoBaaorbelow)andsetsatargetprobabilityofdistress(e.g.,wewanttomaintaina1%chance
36、ofdistress).SpecifyTransitionMatrixtoLocatedCurrentTargetCreditRating:Thenthefirmcanuseatransitionmatrixtodetermineitsoptimal,currentbondrating(e.g.,ifourcurrentratingisA,wewillhavea1%changeoffallingtoBaa,whichiswhatwedeterminedtobetheleveloffinancialdistress)26-313BasedonTargetCreditRating.Solvefor
37、OptimalEquityCushion:Finally,afterdeterminingtheappropriatecurrentbondratingthefirmcanusetheMertonmodeltodeterminetheequitycushionconsistentwiththeimpliedprobabilityofdefault三r3三3.ImplementationofERM7componentsofERM1.CorporateOowmncEatiIMIehtop-downriskmangmnl2. U ManagementBuinM atrlgyalignment3. P
38、ortfOMCMgmttTHnk nd ct IWt MfUnd manager4. Rttk TranfrTrnlr outOOnOBotrVtVd .Inefficient risk*6. Ra ArwtfyticsDviop dvncdenlytiel tool6.DteandTechnologyRMoUroMEtegratadataandyimcabllitiM7.SUkho4drsM1a9fnnlImproverisktrnprncyIorByBtakeboICtre+3ImplementationofERMChallengeswhenimplementingER:M(Confd)I
39、nventoryofRisksPayattentiontoliquidityreputational,strategicrisksandSoonEconoIniCValueVerSUSAccountingPetiormanceStablecashflowv.svolatileaccountingearningsAggregatingRisksMeasuringRisksriskbeyondVaRmeasureRegulatoryversusEconomicCapitaKdiscussedlater)28-313ProblematicwhenRCexceedsEQthedifferenceisc
40、alledstrandedcapital亏重创新沼值+Implementationof!ERM-AggregatingRisksDifferentdistributionsOrthreerisksMarketrisk:haveanormal(ratIdastsymmetrical)distributionCreditrisk:haveanasymmetricdistribution,Operationalrisk:haveanasymmctricHistrihutionLugenumberscfsmalllossetfidsomechanceOfhrgeloesothatthedilribuL
41、ind*OPeratiQnallosstshasalongfattail:IssueswithCorrelationinRiskAcrossthefirmtheeisdiversificalionacrossriskcategories:fim-wideVaRislessthanthesumofthemarketriskCreditriSkandOperationalriskVaRstheforcTheseveritydistributionofoperationallossesusuallyhasthefollowingshape:A.B.CD.Symmetricalwithshorttai
42、lsLong-tailedtotherightUniformSymmetricalwithlongtailsCorrectAnswer:Bsyu-MfimuBImpIementingRobustRiskAppetiteFrameworkstoStrengthenFinancialInstitutions34-313Chapter4il-Framework1.BestPracticesinRAF2.KeyChallengesinImplementingRAF3.KeyLessonsLearnedFromCases!.BestPracticesinRAFAConvergenceexperienceinriskappetiteframework(Cont,d)SuccessfulimplementationishihlvdependentOnRffeCtiVRinteractionsamonallkovstakeholders,includingBoardmembers,seniormanagementtheriskmanagementfunction,andtheoperatingbusinesses.Puttinginplacea
