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Portfolio View of Risk (Financial View)

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Portfolio View of Risk (Financial View) . – PowerPoint PPT presentation

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Title: Portfolio View of Risk (Financial View)


1
??????????????????? ?????? ???????????????????????
???????????? ?????????????????????? ??????
??????????????????? ?????????????? 23 ???????
2553 ? ???? Auditorium ???? 2 ????????????????
????????????? ??????
Portfolio View of Risk(Financial View)
?????????????????????????? ???.?????????????
2
?? 2553 ???????????????????????
?????????????????????????????????????????????????
???????
???????????????????????????????????????????? COSO
ERM ??? ??????????????????? ??????????????
3
??????????????????? Portfolio View of Risk
??????????????????? (Risk) ??????????????????????
???????????
??????????????????????????????
?????????????????????????????????????????????????
??
??????????????????????????????
??????????????????????????????????????????
4
???????????????????????????????????????
??????????
Statement of Direction
???????
????????????
SWOT Analysis
Strength weekness
Opportunity Threat
?????????????
5
??????????????????
Strategic Goals
???????????
???????????????
Process
People
IT
????????????????????
??????????
6
???????????????????????????????????
???????????????????
????????????????????????????
GDP ????????????? ???????????? ??????????? NPL
PL
B/S
????????????????????
7
????? Risk Map - KRI - Risk Appetite - Risk
Tolerance
Key Risk Indicators (KRIs)
Risk Appetite Risk Tolerance Risk Scale
8
Risk Factors Mapping
??????????????????????????????? Basel II Pillar
II (ICAAP)
Pillar I Risk
Pillar II Risk
Strategic Risk (SR)
Credit Risk (CR)
Market Risk (MR)
Operational Risk (OR)
Liquidity Risk (LR)
Reputation Risk (RR)
IRRBB
Credit Concern Risk (CCR)
Risk Factor
Risk Factor
Risk Factor
Risk Factor
Strategic (S)
Risk Factor
Risk Factor
Risk Factor)
Risk Factor
Operation (O)
Risk Factor
???????????????????????? ???. - COSO
Risk Factor
Risk Factor
Risk Factor
Risk Factor
Risk Factor
Risk Factor
Financial (F)
Risk Factor
Risk Factor
Risk Factor
Risk Factor
Risk Factor
Risk Factor
Compliance (C)
Risk Factor
9
???????????????? Risk Appetite ??? Risk Tolerance
  • ????????????????? ???????????? 3
    ?????????????????????????
  • ???????????????
  • ????????????????????????????????? (Peers)
  • ???????????????????????

??????????????????????????? (Risk Appetite)
  • ??????????????????????????????????????????????????
    ????????????????????????????
  • ??????????????????????? ?????????????????????????
    Worst Case ???? ??????????????????????????
    ??????????????????????????????????????????

??????????????????????? (Risk Tolerance)
10
KRI ???????? Risk Appetite ??? Risk Tolerance
??????????????
Risk Appetite Risk Tolerance
????????????????? XXX XXX
KRI 1 XX XX
KRI 2 XX XX
KRI 3 XX XX
KRI 4 - ????????? XXX XXX
??????????????????????? Basel II Pillar II (ICAAP) XXX XXX
KRI 5 - ?????????? XXX XXX
Financial(??????????)
KRI
????????????????????? KRI
NonFinancial (??????????)
11
KRI ???????? PL ??? CAR
Risk Appetite
Risk Tolerance
??????????
  • KRI ??????????? PL
  • ?????????????
  • Risk Appetite Risk Tolerance
  • Historical Data
  • Policy
  • Scenario Analysis

Risk Tolerance
Risk Tolerance
  • KRI ????????????????????????

Risk Appetite
PL
Risk Appetite
Risk Tolerance
Risk Appetite
Risk Tolerance
CAR
12
????????????????????????????????????????????
Risk Appetite Risk Tolerance
????????????????? XXX XXX
KRI 1 XX XX
KRI 2 XX XX
KRI 3 XX XX
KRI 4 - ????????? XXX XXX
??????????????????????? Basel II Pillar II (ICAAP) XXX XXX
KRI 5 - ?????????? XXX XXX
Financial Model Spread Sheet
Crystal Ball
????????????????????? KRI
??????????????????????????????
?????????????? (Forecast)
PL
CAR
13
Forecast PL
14
Forecast CAR
Risk Appetite
Risk Tolerance
15
??? Validate Model
??? check ?????? Sensitivity Chart
????????????????? Assumption (KRI Input)
?????????? Model ???????? ??? Output (CAR PL)
gt Factor (KRI) ????????????? CAR PL
??????????????? ????????????????????
Output ???????????????????
Output X
Output Y
??????????
??????
????????????? Definition ??? input ??????????
Sheet Model
????????? Definition (????????????)??? KRI
?????????? Model ????????????????? ????????????
Factor ?????????????????????? ???? Factor ???????
? ???????????????? Model ??????????????
16
????? Back Testing ?????????????????? Model
????? Back Testing ??????? ???????????????????????
???????????????? ?????????????????????????????????
???? ?????????????????????????????????????????????
???????????????
????????????????????????????????
Monitor ???????????????????????????????????
17
???????????????
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