Reuters Risk Management Presented By Changhan Lee 1999.4.17
Risk Management Overview 잘못된 Risk 관리로입은최근의손실액과회사 Billions 2 1.8 2.40 1.80 1.69 1.6 1.4 1.50 1.45 1.33 1.2 1.10 1 0.8 0.6 0.4 0.2 0.54 0.37 0.35 0.35 0.18 0.16 0.11 0.10 0 Sumitomo Copper Futures Long-Term Capital Management Orange County Portfolio Leverage Showa Shell Sekiyu FX Forwards Barings Futures Options Metallgesellschaft Futures Trading Daiwa Bank Trading Fraud UBS LTCM-related losses Kidder Peabody Trading Fraud Bank of America Hedge Fund loss (D.E. Shaw) Merrill Lynch Mortgage Derivatives Salomon Bros. Derivatives Operational Errors Air Product Leveraged & Currency Swaps Proctor & Gamble Leveraged DM & US Spread Options Cargill Mortgage Derivatives
DIFFERENT KINDS OF RISKS Risk 의성격에따른구분 Credit Risk: Will the counterparty be able to pay back the bank? Liquidity Risk: Will the bank be able to pay the counterparty? Market Risk: Will price movements cause loss? Operational Risk: Will non financial factors cause loss?
Country Risk DIFFERENT KINDS OF RISKS Credit Risk Counterparty Risk Settlement Risk Marginal Risk
DIFFERENT KINDS OF RISKS Liquidity Risk Liquidity Risk 의두가지의미 Cash Flow Mismatch 보유상품의유동성부족
DIFFERENT KINDS OF RISKS Market Risk 시장가격변동에따른 Risk 측정방법 Value At Risk Greek 지수 시뮬레이션
DIFFERENT KINDS OF RISKS Operational Risk 아래와같은운영상의잘못으로발생하는금융상의 Risk 시스템의오작동 (Inadequate systems) 작업자의실수 (Human error) 관리상의실패 (Management failure) Fraud
Reuters 위험관리상품 Board of Directors VaR Reports Risk Committee Performance Middle Office Management Traders Consolidation Risk management Hedging tools Decision support Position keeping Deal capture Kondor+ Limits Control
Kondor+ Main Features All Instruments & markets Realtime positions - risk and results Aggregate reporting - risk and results Internal deals Pricing, hedging, simulations Credit limits Open database structure Open Interfaces Front Office Trading and Risk Management
K+ Main Trading Functions Default values Precalculated values Search User specific lists Real/simulated/pending deals Pricing FRA, Cash Flows, C/IRS, Swaptions Asset Swaps Options, OTC Options, Warrants FX Bonds, Convertible Bonds Equities, MBS/ABS Deal Import Deal Capture K+ Dbase Blotter Realtime Position Reporting P&L, Risk Deal Export Transaction log Realtime positions By segment: - Fixed Income - Equities - FX... P&L, risks by... - Portfolio - Counterparty - Instrument -... any criteria
의사결정지원및 Risk 관리 각종상품에대한 Pricing 포지션관리및 Reporting Limit 관리 Simulation 그에따른포지션변화관찰
의사결정지원및 Risk 관리 ( 계속 ) 합성포지션의관리 RealTime Display 및 Strategy 분석
Introduction to KVAR+(1) A middle-office 위험관리시스템 : VAR Reporting 시나리오에따르는 Market value 시뮬레이션 위험모니터링 Term structure modeling
Introduction to KVAR+(2) Extremely flexible Risk Management software A system capable of Global Aggregation A risk benchmarking system A sensitivity analysis and stress testing tool A risk strategy evaluator A reporting tool
KVAR+ Inputs: Introduction to KVAR+(3) Position files (Real, What-if and Benchmark) Rates (Historical, Live Feed and Scenarios) RiskMetrics Covariance files Pricing Functions (internal and user-defined) User specifications (Profit Center Hierarchy, Risk Aggregations, Risk Methodology, Limits) KVAR+ Outputs: Value-at-Risk calculations by: * Risk Aggregation Parameter (Business Center, Profit Center, etc.) * Risk type (Interest Rate, Currency, Volatility, etc.) Position reports Limit reports Time Series reports Rate Set Statistics
Global Hedger
GLOBAL HEDGER 금리변동에대한보유자산의 Risk 를측정 금리변동에대한보유자산의 Risk 의 Hedge
GLOBAL HEDGER 3 steps: Cash Flow warehousing Time bucket analysis Hedging computation
GLOBAL HEDGER Cash Flow Warehousing - 각상품을일련의 Cash flow 의조합으로전환 - 상품과수량의조합인포트폴리오를일련의 Cash Flow 로전환 - 이러한 Cash Flow 의조합이보유포지션을대신
GLOBAL HEDGER Cash Flow Warehousing 만기일시상환대출금의 Cash Flow Warehousing 예 : Value date N(1 + r x Nbd/Basis) - N Maturity date 선도금리 (FRA: Forward Rate Agreement) 예 N Value date Maturity date - N x (1 + r x Nbd/Basis) where r is the FRA contract rate.
GLOBAL HEDGER Cash Flow Warehousing 모든포지션에대한 Cash Flow Mapping 이끝난후에전체포트폴리오에대한 CashFlow Warehousing 이완성 : CF2 CF3 CF4 CF6 CFn CF1 CF5 이 Cash Flow 로포트폴리오에대한현재가치와금리구조변화에대한 sensitivity 를 Zero Coupon Curve 에근거하여구할수있음.
GLOBAL HEDGER 3 steps: Cash Flow warehousing Time bucket analysis Hedging computation
GLOBAL HEDGER Time Bucket Analysis - Time Bucket Analysis : 금리에대한포트폴리오의 Sensitivity 산출과정 (Gap Analysis 라고도함 ) - 모든표준기간 (1 개월, 2 개월,, 1 년, 2 년, 등 ) 의 Par Yield 가 1 Basis Point 변동했다고가정 - 모든표준기간의금리변동에따른포지션의 Sensitivity 를각각구함
Zero Coupon rate GLOBAL HEDGER Time Bucket Analysis Shifted Curve Initial Curve z z 1BP 1BP 1BP CF1 CF2 CF3 CF4 Maturity NPV (Shifted Curve) - NPV (Initial Curve)= Global Portfolio s Sensitivity
GLOBAL HEDGER Time Bucket Analysis 예 ) 1 년과 2 년사이 (370 일 ) 에발생한 Cash Flow 에대한 Sensitivity Step1 : 변하기전의 Zero Yield Curve 로포지션의현재가치구함 NPV1 = æ ç è C F 1 + z 3 7 0 / 3 6 5 ö ø INITIAL ZERO COUPON CURVE z 6 m 181 d 1 Year 365 d Cash-Flow Date 370 d 2 Years 732 days
Step 2 : z z GLOBAL HEDGER Time Bucket Analysis - 1 Year Par Rate 만변화시킨후 Zero Coupon Curve 를다시구함 - 이새로운 Zero Coupon Curve 에서 1 년과 2 년사이를해당일자에 Interpolation 해서 370 일에해당하는 Zero Coupon Rate (Z ) 구함 - Z 으로새로운 NPV2 도출 CF Zero Coupon rate æ ö ç1+ z' ç è ø 370/ 365 New interpolated zero coupon rate 6 m 181 d 1 Year 365 d Cash-Flow Date 370 d 2 Years 732 days
GLOBAL HEDGER Time Bucket Analysis z New interpolated z zero coupon rate 6 m 181 d 1 Year 365 d Cash-Flow Date 370 d 2 Years 732 days Step 3: - Step 2 에서구한것과같은방법으로 2년 Par Rate 를변동시킨뒤새로운 NPV3 산출 C F æ ç è 1+ z " 3 7 0 / 3 6 5 ö ø
GLOBAL HEDGER Time Bucket Analysis Step 4 : Step1,2,3 에서구한 NPV1, NPV2, NPV3 으로해당 Cash Flow 의 Sensitivity 산출 - Time Bucket 1 year 에해당하는 Sensitivity : (NPV2 - NPV1) - Time Bucket 2 year 에해당하는 Sensitivity : (NPV3 - NPV1)
GLOBAL HEDGER Time Bucket Analysis 1Y 2Y 3Y 4Y 5Y CF1 CF2 CF3 CF4 Cash Flow 의연속으로이루어진포트폴리오는각각의 Cash Flow 에대해앞의 Step1 - Step4 를각각구하여각각의 Time Bucket 에해당하는 Sensitivity 를구함 ==> 각각의 Time Bucket 에대한 Sensitivity(Delta Vector) 산출
GLOBAL HEDGER 3 steps: Cash Flow warehousing Time bucket analysis Hedging computation
GLOBAL HEDGER Hedging computation 1st Step: Underlying Yield curve 도출 단기자금시장금리 + 금리 Futures + Swap Rate Par Yield Curve ---> Zero Coupon Curve ----> Discount Factor ( 단기자금시장, Swap Rate 경우 ) Par Yield Curve ---> Zero Coupon Curve ----> Discount Factor ( 금리 Futures 의경우 )
Par Rates GLOBAL HEDGER Hedging computation Money Market Rates IMM Futures Par Swap Rates First Maturity Date of Futures Contract 2 Years Maturity 2nd Step: Sensitivity computation to each bucket (Time Bucket Analysis 참조 )
GLOBAL HEDGER Hedging computation 3rd step: Computation of the hedging factors hedge 제안은아래의상품으로표시됨 Deposit (IAM : Interest At Maturity) 금리선물 Swap Purpose: Yield Curve 의변동에대해 DP=0 을만족시키는아래의연속된상품들의조합을찾아냄 - deposit rates a1, a2,...an1 ( Principal Amount) - deposit futures b1, b2,..., bn2 ( 계약수 ) - on-the-run swaps g1, g2..., gn3 (Notional Amount)
GLOBAL HEDGER Hedging computation Yield curve 는 Deposit, Futures, Swap 의조합으로구성된함수 : Y(D1,D2,...Dn1,F1,F2,...,Fn2,SW1,SW2,...SWn3) Price( 이경우 NPV) 는 Yield Curve 의함수이므로 I(Y) 로표시하면각각의 time bucket 에대하여다음이성립하여야함 a1.dd1+ DD1. d I(Y) /dd1 = 0 a2.dd2+ DD2. d I(Y) /dd2 = 0... an1.ddn1+ DDn1. d I(Y) /ddn1 = 0 b1.df1+ DF1. d I(Y) /df1 = 0... bn2.dfn2+ DFn2. d I(Y) /dfn2 = 0 g1.dsw1+ DSW1. d I(Y) /dsw1 = 0... gn3.dswn3+ DSWn3. d I(Y) /dswn3 = 0
GLOBAL HEDGER Hedging computation 각각의 time bucket에대하여다음의 Hedge 수량이도출 for i=1,...,n1 di Y a i = - ( ) d for i=1 to n2 D i di Y b i = - ( ) df i Instrument s Sensitivity to a move of the deposit rate Di Value of the move of the deposit rate Di for i=1 to n3 g i di Y = - ( ) dsw i