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

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

3. 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

4. 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

5. 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

6. 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

7. 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 …

8. 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

9. 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

10. 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

11. 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

12. Korelacija PD u % Formula za koeficijent korelacije (Bazel):
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 ….

13. 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

14. 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

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

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

17. 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

18. 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