36. 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. 32 36 pp. 94 95.
37 1) ING, (Best Practice) (harm onisation ).. S &P AA - (M oody ' s AA2 )., 5%. (provision ),.. ING 1998. (Inv estm ent Banking ) ING Corporate 1999,. 2) (daily basis ) (trading risk ), VaR, (event risk scenarios ), (profit and loss statem ents ). Ex ecutive Centres.
38 ING VaR BIS. 1999 Bank Brus sels Lambert BHF - BANK (< - 1> ). (event risk sy stem ).. 1999 VaR. < -1> ING Va R ( : ) 1998 1 ) 1999 2 ) 1999 1999 1999 1.9 2.5 6.3 1.3 2.9 6.4 9.5 9.5 3.4 5.3 12.9 7.5 14.8 5.7 9.7 14.0 5.6 14.6 4.2 8.8 35.2 25.1 (12.2) (7.1) 23.0 18.0 : 1) 90% 2) 100% ING ALM.
39. < - 2>. 1% 46, 1% 52. < -2> ING 1999 2000 1% 42 46 1% -62-52 ( : ),. 3) ING, ALM (A sset and Liability Comm ittee).,. 4) ING Group Departm ent A ctuarial & Risk Control,,
40 (solvency capital).,,,,. ING. 5) ING.,, (Internal Audit Departm ent ).. ING,. ING, RAROC(Risk- Adjusted Return On Capital). 1) RAROC ING 1998 RAROC.
41 RAROC (econom ic return ) (econom ic capital). RAROC,. ING 99.95%., 1999 1 9 RAROC 16%. 1999 9 127,. 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)
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 ).,.,.
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
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 ),.,, ( ),,,,.,
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) 1997 80.8%, 93.0%. FY'97.
46..,,,..,,.,,. 1),., ALM. 2) 2000 3,,,,.
47 VaR,.,,.,, (12 ),. 1997 VaR, 1999 VaR.. 3) (Operational Risk ).,,., (Com pliance Officer ),,.,,,. 1998, 1999,.
48.,.. ALM (1995 ).,,.,, 2000 3 (Investm ent Risk M anagem ent Office)..,. 1996,.,. 1997 3,.
49 < -2> :,,,,, 1998 3, 25, p.143. 4. (D ai - ichi M utu al Life In s uran c e Com p an y ) 2.,
50..,,,, 6. 1) 1990., ALM. ALM. ALM, ALM.,,, (buffer )., ALM.
51 2) ALM.,. VaR,..,.,.. 3)..,,,,.
52. 1990 4 7. 1991 12 1998 4., (Investment Execution Section ). (Investment Risk Management Department),.,. (Investm ent Risk M anagem ent Com mittee).,.