ICAAP Globalni pristup vs. Zahtevi lokalnih supervizora Spasoje Kostic, Deutsche Bank Bank FinIng 2013, Palić

Sadržaj: Uvod Organizacija funkcije upravljanje rizicima Regulatorni kapital vs. Ekonomski kapital Različiti pristupi ICAAP-u Kreditni rizik Tržišni rizik Ostali rizici Rezime

Uvod Kreditni Tržišni Strategija Reputacija Stub 1 - RC Stub 2 - EC Koncentracija Stub 2 - EC Zemlja Model Kamatna stopa Operativni Tržišni Pillar 1: Credit. Market, Operational Basel Committee: methodology for Pillar 1, banks are free to develop methodology for Pillar 2, free to identify all the risks immanent to the bank (based on scope of operations, strategy, size etc.) Pillar 2: Quantifiable: Country, Concentration, Non-traded MR, Liquidity, Model … connections to Big 3 risks … Non quantifiable: Strategy, Reputation Strategy and Reputation as a prerequisite for success (stability, transparency, business model) Likvidnost Reputacija

Organizacija funkcije upravljanja rizicima Strategija rizika Risk Apetit Planiranje kapitala Upravni odbor (Grupa) Procedure za upravljanje rizicima ICAAP procedure/uputstva ICAAP izveštavanje Sektor za upravljanje rizicima Upravni odbor (Lokal) Implementacija procedura Merenje rizika Parcijalno ICAAP izvestavanje Rizici Rizici Rizici Sektor za upravljanje rizicima Treasury Finansije Align business plans with targeted risk profile Capital planning & allocation: capital needs vs. capital distribution How much risk bank is willing to undertake Independent risk function All risk procedures: ICAAP , credit ratings, provisioning, collaterals, traded MR, non-traded MR, liquidity, operational risk ICAAP reporting, partial on unit level, complying with the relevant ICAAP parts (i.e. Credit risk, Liquidity – Treasury etc.) non Risk units – Treasury (liquidity), Finance (capital) Prijem EC Rizici Rizici Rizici Slanje podataka matičnoj banci Treasury Finansije

Regulatorni kapital vs. Ekonomski kapital Regulatorni kapitalni zahtev Potreba za ekonomski kapitalom Kreditni Standardizovani Osnovni IRB Napredni IRB Tržišni Interni model Operativni BIA AMA Kreditni Osnovni IRB Napredni IRB Interno razvijeni Tržišni Interni model Modifikovani IM Operativni Standardizovani, AMA AMA Regulatory requirements under predefined methodology and supervisory approval In ICAAP, banks can assess EC with self developed models that can diverge from Basel approach and formulas ... Quantification of additional risks … assessment of less quantifiable risks (Strategic, Reputation) Strateški Reputacioni Koncentracije Zemlje Kamatni Likvidnosti Modela

Različiti pristupi ICAAP-u Regulatorni kapital Plus Procena ekonomskog kapitala Fokus na upravljanju Sofisticirani metodi nisu dozvoljeni Focus na upravljanju i proceni Sofisticirani metodi poželjni AAA BBB+ S2 S2 S2 depends on National supervisor’s approach In less developed economies, RC Plus is common. It forces banks to hold more capital EC Assessment forces the bank to better understand risks it is exposed to … develop models … more sophisticated decision making EC level depends on the targeted rating of the bank S1 S1 EC RC/EC S1 EC ECS1 RC ECS1

Kreditni rizik Interni rejting modeli ne moraju biti odobreni od strane regulatora da bi se koristili za procenu ekonomskog kapitala Korišćenje naprednog pristupa za procenu kreditnog rizika ne znaci i niže kapitalne zahteve Što su viši PD, LGD i CCF, veći su i kapitalni zahtevi Napredni pristupi su napravljeni za velike banke nisko rizičnog profila (većina portfolija u investicionom rejtingu, PD < 0.25%) Tehnike ublažavanja kreditnog rizika (Bruto vs. Neto izloženost) Formula za računanje RWA (Bazel) Some level of CR model stability has to be achieved … data quality issues, time series, experience in model development, support from mother banks In Serbia: PD is high, LGD is high because collection is not developed, some changes/improvements in last 2-3 years …. Sounds like a perfect market for Standardized approach … Collaterals …. If any, usually overvalued … legal collection procedures too long … Apart from PD, LGD, CCF and M … bank can assess correlations itself …

PD uticaj na ekonomski kapital verovatnoća 99.9% povećanje PD – dis. fun. se širi LGD – multiplikator CCF – utiče na visinu EAD EL UL gubitak verovatnoća 99.9% EL UL gubitak

Ciljani rejting BBB+ AAA verovatnoća EL UL gubitak 99.8% 99.9% 99.98% Bank can target rating by adjusting the percentile for UL, higher the UL covered by EC (given the same PD) lower the risk profile of the bank and better external rating EL UL gubitak

Poredjenje pristupa – prosečan portfolio   ST – bez rejtinga Rejting EAD RW RWA 1 - AA 1,000,000 100% 2 - A 2,000,000 3 - BBB 3,000,000 4 - BB 5 - B 6 - C Ukupno 10,000,000 Kapital 800,000 ST – sa rejtingom RW RWA 20% 200,000 50% 1,000,000 100% 3,000,000 2,000,000 150% 1,500,000   9,200,000 736,000 F - IRB PD LGD RWA 0.05% 75% 186,957 0.40% 1,534,821 1.50% 4,317,375 7.50% 5,188,562 20.00% 3,716,103 100.00% 9,375,000   24,318,817 1,945,505 A - IRB PD LGD RWA 0.05% 30% 74,783 0.40% 613,928 1.50% 1,726,950 7.50% 2,075,425 20.00% 1,486,441 100.00% 3,750,000   9,727,527 778,202 korelacija - 12% RWA Δ RWA 31,788 57% 314,254 49% 1,187,577 31% 2,040,085 2% 1,486,403 0% 3,750,000 8,810,107   704,809

Poredjenje pristupa – iznad prosečan portfolio   ST – bez rejtinga Rejting EAD RW RWA 1 - AA 2,000,000 100% 2 - A 3,000,000 3 - BBB 4 - BB 1,000,000 5 - B 6 - C Ukupno 10,000,000 Kapital 800,000 ST – sa rejtingom RW RWA 20% 400,000 50% 1,500,000 100% 3,000,000 1,000,000 150%   7,400,000 592,000 F - IRB PD LGD RWA 0.05% 75% 373,914 0.40% 2,302,231 1.50% 4,317,375 7.50% 2,594,281 20.00% 3,716,103 100.00%   13,303,903 1,064,312 A - IRB PD LGD RWA 0.05% 30% 149,566 0.40% 920,892 1.50% 1,726,950 7.50% 1,037,712 20.00% 1,486,441 100.00%   5,321,561 425,725 korelacija - 12% RWA Δ RWA 63,577 57% 471,382 49% 1,187,577 31% 1,020,043 2% 1,486,403 0%   4,228,980 338,318

Korelacija PD u % Formula za koeficijent korelacije (Bazel): 0 1 2 3 4 5 Minimalne vrednosti: PD u % Corporate – 0.12 SME – 0.08 Hipotekarni – 0.15 Retail – 0.04 Larger the exposure, higher the correlation …. Correlation of company performance comparing to the market/portfolio performance Point to support too high assessment of correlation coefficients by Basel Committee is that large banks play on both sides (BMW vs. Mercedes, Coca Cola vs. Pepsi, Apple vs. Samsung) … and usually such a large companies are doing both good in a good times, but in a bad times usually one is doing much better than another … so important is to diversify and decrease correlation in a bad times … on infant markets (smart phones) good for Apple is bad for Samsung, on mature markets it is less severe/obvious Coke and Pepsi similar logic can be implemented on one national market … ‘’bet’’ on few significant players in the industry sector Methodology to assess correlations ….

Poredjenje pristupa As said, advanced approach tailored for banks with high quality portfolio, BB and higher PD of BB rating is 0.9%, any bank in Serbia with this PD for Corporate portfolio? LGD – 45% (8% PD equals Standardized approach) 85% (3% PD equals Standardized approach) …. Strong collateralization and efficient collection important for IRB approach

Tržišni rizik Volatilnost i korelacija su parametri internog modela Što je veća volatilnost veći su i kapitalni zahtevi Što je portfolio više diversifikovan (na nivou Grupe) niži je CVaR Lokalnog portfolija i niži su kapitalni zahtevi Željeni rejting utiče na to koji deo distribucije će biti pokriven kapitalom (99,98% - AAA) Netiranje FX pozicija unutar grupe Netiranje pozicija iz knjige trgovanja i derivata unutar grupe

Grupna vs. Lokalna knjiga trgovanja VaR grupa 450 90 VaR lokal 100 100 CVaR iz Grupe 90 100 100 85 100 95 90

Efekti netiranja SAD subsidijar – otovrena duga pozicijau EUR USD EUR SAD subsidijar – otovrena duga pozicijau EUR EU subsidijar – otvorena duga pozicija u USD

Ostali rizici Koncentracija – benefiti ‘’ekonomije obima’’ na nivou grupe Likvidnost – Grupni Treasury kao garant likvidnosti Rizik zemlje – značajan uglavnom samo na nivou Grupe Rizik poslovanja – Strateški + Reputacioni Rizik modela – model ne daje dobru procenu

Rezime Ekonomski kapital alociran od strane Grupe može biti značajno niži nego ekonomski kapital alociran na nivou lokalnog entiteta Metodologija za merenje rizika iz Stuba 2 nije standardizovana Investiranje na strana tržišta ima diversifikacione efekte što se vidi kroz ekonomski kapital