FinanceandDevelopmentCenter本次演讲为亚太财经与发展中心.pptx

HSBC1HSBC Group Policy on Market Risk汇丰集团应对市场风险的政策汇丰集团应对市场风险的政策All market risk to be brought into Treasury(Global Markets)所有的市场风险都可以转化成财富（全球市场）HSBC2Globally:Asia Pacific,Europe and the Middle East,the Americans etc.全球范围内：亚太区，欧洲区，中东区和美洲区等Asia Pacific:Hong Kong Head Office with more than twenty treasury sites(China,India,Japan,Singapore,Taiwan etc.亚太区：总部位于香港并有20多个分支机构（中国，印度，日本，新加坡，台湾等）Functional/product line reporting approach 功能/产品线报告手段Set up of Global Markets建立全球市场建立全球市场HSBC3Global Markets Structure全球市场结构HSBC4Trading,Sales&Balance Sheet Management -front office functions 交易，销售及报表管理前台功能Compliance,Credit Risk Management,Finance,Legal,Market Risk Management,Systems,Tax and Treasury Services -control functions 制定规章，信用风险管理，财务，法律，市场风险管理，系统，税收和内部财政服务控制功能Various departments in Global Markets在全球市场中的不同部门在全球市场中的不同部门HSBC5Basic job description基本工作简述基本工作简述 front office functions前台功能前台功能Trading-customer transactions&position taking 交易客户交易及持有仓位Sales-execution of customer transactions 销售执行客户的交易命令Balance Sheet-Banking Book,funding/liquidity requirements,position taking 报表银行帐目，融资/流动性要求，持有仓位HSBC6Basic job description基本工作简述基本工作简述 front office functions前台功能前台功能Compliance-internal and external regulations 制定规章内外部的制度章程制定规章内外部的制度章程Credit Risk-counter-party credit exposure,credit lines 信用风险对交易对方信用暴露，信用额度信用风险对交易对方信用暴露，信用额度Finance-financial reporting and limit monitoring 财务财务报表及极限值监控财务财务报表及极限值监控Legal documentation 法律材料整理法律材料整理Market Risk-revaluation and risk methodology 市场风险在评估和风险管理市场风险在评估和风险管理方法方法Systems-automatic processing of settlement,profit and loss,risks 系统自动处理清算，收益和损失，风险系统自动处理清算，收益和损失，风险Treasury Services-back office deal confirmation+settlement 资金服务内部交易确认结算资金服务内部交易确认结算 HSBC7Trading 交易Sales销售Balance sheet 资产负债表Business Lines 业务线业务线Bonds 债券FX 外汇Equities 股票IR Derivatives 利率衍生工具 FX Derivatives 外汇衍生工具Equity Derivatives 股票衍生工具Bond 债券FX 外汇Equity 股票Derivatives 衍生工具Retail Products 零售产品Loans 贷款Deposits 存款Bonds 债券Swaps 互换HSBC8Different functions to follow general and their own internal guidelines and code of conducts 不同职能部门将遵循普遍性准则与方不同职能部门将遵循普遍性准则与方针及他们内部的指导方针和行为准则针及他们内部的指导方针和行为准则(Global Standards Manual/Functional Instruction Manuals)（全球标准手册（全球标准手册/功能指导手册）功能指导手册）HSBC9Imagine we have a customer deal initiated by sales staff and executed by trading staff,our system should be able to handle booking,confirmation&settlement,accounting,tax,market&credit risks,legal documentation complete,and group standard and local regulatory rules compliant想象我们有一个客户交易。交易开始于销售人员，由交易人员执行。我们的系统应该可以处理记录，确认，决算，会计，税收，市场和信用风险管理，准备相应法律材料，并符合集团标准和当地机构的标准。These departments are essential to a successful treasury operation 这些部门对这些部门对于成功的资金运行至关重要于成功的资金运行至关重要HSBC10Product Due Diligence(PDD)产品的审慎性审核产品的审慎性审核basic control framework 基础控制框架基础控制框架New products/business initiated by front office/business 由前台办公室或营业单位发起的新产品/新业务PDD include business case and control issues 产品审核包括分析业务和控制等问题To be agreed and sign-off between front office and control functions 需要前台办公室和控制职能部门意见达成一致To be submitted to Group for review and then approved locally 要提交集团，并在那里检查并被最终通过To be reviewed periodically(change in accounting and regulatory rules,market environment)进行阶段性检查（会计和监管原则的改变，市场环境的改变）HSBC11Middle Office/Risk Management Function=Finance中层办公室中层办公室/风险管理职能风险管理职能财务财务(accounting,risk monitoring+reporting)（会计，风险监控报告）（会计，风险监控报告）+Market Risk Management市场风险管理市场风险管理HSBC12Reporting Lines 报告流程报告流程Chief FinancialOfficer首席财务官 Finance 财务Different reporting lines,but work closely together 不同的报告流程但相互之间工作保持紧密联系Head of Global Markets 全球市场领导 Market Risk Management市场风险管理HSBC13Segregation of duties 职责的分职责的分配配Market Risk Management-calculating risks and setting limits with the business市场风险管理计算风险并为企业制定极限-sit in dealing room,work with dealers,desk heads and treasury managers 坐在交易室和交易员，事务专理，财务经理一同工作 Finance-Independent P&L reporting and Risk Monitoring财务独立的收益&损失汇报和风险监控 -sit outside of dealing room,different reporting line 坐在交易室外，不同的报告线-handle all kinds official financial reporting 处理所有的官方财务报表 HSBC14Basic work requirement 基本工作要基本工作要求求Deal capture and market rates 赢得交易和计算市场利率P&L reporting and reconciliation 收益&损失报告和调整Market risk and limit monitoring 市场风险和底线监控Capital requirement 资本要求Scenario analysis and stress testing 情景分析和压力测验New product and system development 发展新产品和系统Various ad-hoc tasks 其他专项任务HSBC15Deal Capture and market rates赢得交易和计算市场利率赢得交易和计算市场利率Make sure that deals are booked correctly 确保交易被正确记录-deals imputed by front office,checked and confirmed by back office 前台接收的交易要被后台检查并确认Make sure that market rates used for revaluation and other calculations are correct确保用来再评估或其他计算用途中所有的市场利率是正确的-rates used by back office from credible sources 后台所用的利率来自于可靠来源Make sure that we understand accounting treatment of products确保我们理解对产品的会计处理HSBC16P&L reporting and reconciliation收益收益&损失报告和调整损失报告和调整Profit-and-loss for new deals and value change of existing deals 新交易和已存在交易的收益和损失-mark-to-market+reserves 盯市储备what factors drive profit-and-loss?什么因素导致利润和损失-how can we show these in risk reports and set appropriate limits 我们怎样才能把它们表现在风险报告中并建立一个合适的底线do dealers agree with profit and loss calculation?交易员们同意关于收益与损失的计算吗？-feedback+system check 反馈系统监察HSBC17Market risk and limit monitoring 市场风险和底线监控市场风险和底线监控Permitted products limits:new products allowed only after Product due diligence completed and approved 允许的品种限制：新产品必须通过审慎性审核Interest rate limits:pvbp 利率限制：基点价格-change in value per 0.01%rise in interest rate 利率每提高0.01所造成的价值变化foreign exchange/equities limits:long/short 外汇/股票限制：作多/作空option limits:volatility exposure,curvature 期权限制：不稳定性暴露，曲率-vega,disaster matrices vega（希腊字母）和风险矩阵daily and monthly stop loss limits 每日和每月的止损点HSBC18Limits set in accordance with experience and market liquidity 根据经验和市场流动性建立底线Every treasury center,profit center or dealer has limit letter 每一个财务中心，利润中心或交易员都有限制-specifying product,position&stop loss limit 包括交易品种，仓位&止损点-commensurable with experience and budget 这种底线和他的经验和预算是相匹配的End of day positions monitored by Finance 每天交易结束后的持仓量由财务部门监督-official reporting 官方汇报intra-day positions monitored by dealers/desk heads and Market Risk Management 交易日中的即时仓位由交易员/专员和风险管理部门监督HSBC19Control of market risk limits 控制市场风险底线控制市场风险底线Amendments usually initiated by business 修正往往由企业发起Reviewed and signed-off by Market Risk Management and Finance 由市场风险管理和财务部门检查Reviewed and recommendation for approval from Group Market Risk 并建议给汇丰集团的市场风险管理机构Approval by delegates of Executive Committee of HSBC Asia Pacific(usually consists of CEO,senior Finance and Global Markets Managers)由汇丰亚太区总裁委员会代表同意（通常委员会由CEO，高级财务经理和全球市场经理组成）Breach in limit for a site to be reported to CEO/senior Global Markets Managers and London Group Head-Office 突破底线的行为将会汇报给CEO/全球市场经理和在伦敦的集团首脑办公室HSBC20Capital requirement 资本要求资本要求General market risk capital based on Value-at-Risk 一般性市场风险资本以“风险价值”为基础Specific and counter-party risk based on Capital Adequacy Directive(CAD)by Bank of England 特殊的和交易对方所产生的风险以英格兰银行提出的资产充足率为基础HSBC21Scenario analysis and stress testing情景分析和压力测验情景分析和压力测验Big question:How will value of portfolio change under various scenarios?大问题：在不同的情景下投资组合的价值将怎样变化-e.g.inflation scenario,recession scenario,crisis scenario etc.如通货膨胀，萧条，危机等情景 -regular reporting of stress test results to senior management 经常性的向高层管理者汇报压力测验的结果Need to understand major positions and profit and loss drivers in the dealing rooms 需要知道目前所处位置，在交易室中主导收益和损失的因素HSBC22New product and system development 发展新产品和新系发展新产品和新系统统Improve system for deal-booking,risk management and revaluation 提高现有的交易记录，风险管理和再评估系统-automated solutions 自动解决Risk Consolidation 风险整合-critical to manage big business,big technical challenge 对于管理大型企业或大型技术攻关至关重要-consolidation across regions/sites/dealers跨区域，地点，交易员的整合-consolidation across different deal booking systems 跨不同交易等级系统的整合New regulations/reporting requirements 新的规章/报告要求HSBC23Various ad-hoc tasks 各种专项任各种专项任务务Queries from senior management 高管的质询-analysis of position,rates and P&L history 分析仓位，利率和历史收益和损失-stress testing on specific scenarios 对特别场景进行压力测验Queries from sales,trading or back office 销售，交易和后台办公室的质询-booking,revaluation and risk issues 登记，再评估和风险问题Meeting internal and external customers 会见内部和外部客户-internal auditors,regulators and customers etc.内部审计人员，监管人员和客户HSBC24To have a credible risk management operation,we need 要有一个值得信赖的风险管理业务，要有一个值得信赖的风险管理业务，我们需要我们需要Commitment from senior management 高层管理的决心和承诺carefully designed policies and procedures 仔细设计的政策和规程properly staffed risk analysis and monitoring functions 有充足人手进行风险分析和监督reliable technology and data 可信赖的技术和数据validated models 有效的模型experience and judgment 经验和判断HSBC25Thank you!谢谢谢谢