歯연보01-04.PDF

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1 IN G 8 ) ING,.... ING.,,,,. (Executive Board) (Risk Policy Com mittee), (Central Credit Comm ittee), (Central Limit s Com mittee).,,.,. 8) 1999 ING Annual Report pp pp

2 37 1) ING, (Best Practice) (harm onisation ).. S &P AA - (M oody ' s AA2 )., 5%. (provision ),.. ING (Inv estm ent Banking ) ING Corporate 1999,. 2) (daily basis ) (trading risk ), VaR, (event risk scenarios ), (profit and loss statem ents ). Ex ecutive Centres.

3 38 ING VaR BIS Bank Brus sels Lambert BHF - BANK (< - 1> ). (event risk sy stem ) VaR. < -1> ING Va R ( : ) ) ) (12.2) (7.1) : 1) 90% 2) 100% ING ALM.

4 39. < - 2>. 1% 46, 1% 52. < -2> ING % % ( : ),. 3) ING, ALM (A sset and Liability Comm ittee).,. 4) ING Group Departm ent A ctuarial & Risk Control,,

5 40 (solvency capital).,,,,. ING. 5) ING.,, (Internal Audit Departm ent ).. ING,. ING, RAROC(Risk- Adjusted Return On Capital). 1) RAROC ING 1998 RAROC.

6 41 RAROC (econom ic return ) (econom ic capital). RAROC,. ING 99.95%., RAROC 16% ,. ING CIB 53, ING Belgium 36, ING Nederland 31, ING F SI ING AM 4, 3. ING RAROC,. 2) (Em bedded Values )..,.. (Market Value Surplu s ). (Present Value of F uture Profit s From in F orce)

7 42, (Market Value A sset ) (M arket Value Liability ). (,,, ),. ING 1994,. 2. P ru dential In s uran c e of A m eric a. Prudential In surance of Am erica /,. (daily ). AL&RM (A sset Liability & Risk M anagem ent ). (Portfolio M anagem ent ), (Investm ent Strategy ), (Derivative Products ), (Risk M anagem ent ).,.,.

8 43,,.,,,, AL&RM.. 1), (Financial Risk ) (Product Risk ), (Strategic), (T echnology ), (Operating ).,,,.,,,,.. < -3> Prude ntia l(us) Fin ancial Risks Product Risks - Market: interest, equity, currency - Credit: issu er, country, concentration - A/ L Matchin g - Borrow ing - Liquidity - Mortality/ Morbidity - Catastrophe - Liability / Pricin g - Reserv e A d equ acy - Prop erty / Casu alty - Rein surance - Risk Financing

9 44 2),. (Enterprises Risk Managem ent Com mittee).,,. 9,, CIO, CF O,, MIC Officer, (CEO of P GAM ), (Senior M anager of PSI), (Enterprise RM ) 2. ( ),, (MIS ),.,, ( ),,,,.,

10 45,,, P SI( ),, (, ). < - 1> Prudential(US ) C E O Financial Management* Enterprise Risk Management* Financial Risk Management Product Risk Management : ALM Risk (Portfolio Management Group), (Borrowing & Liquidity Risk) (T reasury). 3. 9),.,. 9) %, 93.0%. FY'97.

11 46..,,,..,,.,,. 1),., ALM. 2) ,,,,.

12 47 VaR,.,,.,, (12 ), VaR, 1999 VaR.. 3) (Operational Risk ).,,., (Com pliance Officer ),,.,,,. 1998, 1999,.

13 48.,.. ALM (1995 ).,,.,, (Investm ent Risk M anagem ent Office)..,. 1996,., ,.

14 49 < -2> :,,,,, , 25, p (D ai - ichi M utu al Life In s uran c e Com p an y ) 2.,

15 50..,,,, 6. 1) 1990., ALM. ALM. ALM, ALM.,,, (buffer )., ALM.

16 51 2) ALM.,. VaR,..,.,.. 3)..,,,,.

17 , (Investment Execution Section ). (Investment Risk Management Department),.,. (Investm ent Risk M anagem ent Com mittee).,.

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<32303039BFACC2F7BAB8B0EDBCAD2DC6EDC1FD2E687770> K I R I orea nsurance esearch nstitute 2009 연차보고서 를 발간하면서 보험연구원은 보험 금융과 리스크 관리 분야의 글로벌 전문연구기관 이라는 비전을 가지고 2008년 2월에 개원하였고, 보험산업의 건전한 발전과 정책 수립 그리고 국민경제 향상을 위해 힘써 왔습니다. 이러한 노력과 함께 보험업계 등의 관심과 전폭적인 성원에 힘입어

歯연보01-04.PDF

歯연보01-04.PDF