高盛的经营模式及与其相辅相成的风险管理--Risk-Management-v3.ppt

单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,内部文件，敬请保密。,Business Model and Risk Management at Goldman Sachs,高盛的经营模式及与其相辅相成的风险管理,Risk Management Department,2011/8/2,高盛经营模式,Four Business Lines:,40,bn,Institutional Clients:22bn,Investing and Lending:8bn,Investment Management:5bn,Investment Banking:5bn,Global Operation:,America:22bn,EMEA:10bn,Asia:7bn,Where is the Risk?,Institutional Clients,(,向右走,),Investment and Lending,(,向左走,),Institutional,Clients(,向右走,):what resources do we need?,Capital Market,Trading,Flow,客户交易,Market Making,作市,Origination,ECM/DCM,一级市场销售,Capital Intensive(,资本密集,),IntelligenceIntensive(,知识密集）,Tier 1 Clients:(,优秀的客户群,),Core Advantage(,核心优势）,:Information/Pricing/Risk Management,Investment and Lending(,向左走,),中信证券：,金石投资公司：,PIA,+,REPIA,GSSG,中信产业基金,:Funds,高盛：,Merchant Banking Department,（,待定,）,Principal Investment Accounts(PIA),Real Estate Investment Accounts(REPIA),Funds,Global Special Situation Group,(GSSG,待定,）,GSPS,（,卖给,KKR,）,Global Macro Trading,（,关掉,）,Prop Stock trading,（,规模非常小,）,Institutional Clients(,向右走,),中信证券：,(,买方业务,）,股票自营交易和衍生品部,自营,量化,专项,债券销售和交易部,债销,交易,资金运营部,现金管理,高盛,(Securities Division):$22 Bn,Equity:$7.2 Bn,One Delta,Derivatives,Global Securities Service,QT/Specialist,Reinsurance,FICC:$15.4 Bn,IRP,Short Term Interest Rates,Global Currencies,Global Commodities,Global Credit Products,Global Mortgages,高盛的经营模式衍生的风险,Balance Sheet Risk and Liquidity Risk,Out of the total$900bn assets,$367bn owned by GS.,Leverage is widely used to enhance return on equity,Market Risk,Exposure to global market movements,Credit Risk,Exposure to each counterpartys credit deterioration:migration and default,Operational Risk,Financial loss due to operation errors,Reputation Risk,Negative Media Coverage/Law Suit,Strategy Risk,-Morgan Stanley,高盛风险管理的宗旨,(Philosophy),Board set up the risk appetite for the firm,Management level Risk Management Committee has the authority to manage risk on daily basis,Risk Management Departments responsibility is to Measure,Monitor,Manage Risk,Risk management is forwarding looking,understand the risk and make sure the risk is within certain capacity,Answer basis questions:Keep It Simple Sweetheart(KISS),How much money could I possible lose?,How much exposures I have to one asset/one risk factor?,What would be the impact if one of my counterparties goes bankrupt?,What would the result if one country is in trouble?,What are the concentrated,illiquid,nonlinear exposures?,Where is the funding risk?What assets are hard to fund?,Two Words:“No surprise!”,高盛风险管理的架构,三个支架：信息的透明准确,(Transparency),，风险管理的架构,(Structure),，各部门人员在各层次上的沟通,(Communication),硬件：,(IT,Computer),有效的信息系统,:,Risk Management/Information System,紧密的流程,:Process Data Flow,软件：,(People,Culture,Philosophy),从上至下的风控文化,合理的风控架构,完整的,Policy,/,Procedure,称职的风控人员,部门层次,董事会层次,委员会,管理层次,Board(,董事会）,Management Committee,Business Practices Committee,Auditing Committee,Capital Commitment Committee,Firm wide Risk Committee,Finance Committee,Federation,Business Divisions,IT,电脑部,财会部,风控部,资金运营部,稽核部,综合管理部,合规部,股票部门,大宗商品,外汇,直投,固定收益,高盛风险管理的架构,公司总体,Divisional Risk Committee,Chief Risk Officer,MRMA,MRA,GSAM MRA,Corp Risk,MRS,CRMA,Private,Public,ORMA,高盛风险管理的架构,风控部门,Head,Market Risk Management and Analysis,Chief of Staff,Market Risk Analysis,America,EMEA,Asia,GSAM Market Risk Analysis,Mutual Funds,Hedge Funds,Corporate Risk,Capital Attribution,Capital Reporting,Model Validation,Market Strategist,Risk Modeling,Derivative Analysis,高盛风险管理的架构,市场风控部,Risk Management Practices,Teams:,Board RMC/Audit Committee:,Set up the risk appetite,delegate the authority,FRC:,Management Responsibility,Review/Approve firm-wide limit,DRC:,Review divisional risk limits/Control risk at division level,MRMA:,Independently measure/monitor/report risk exposures,Business:,Risk Taker,Hedge/Control the risk,Reports:,Daily:,Firmwide Risk Report,Business Line Risk Report:What are the changes?,Weekly:,FRC/DRC Risk Package:Market Risk,Credit Risk,Liquidity Risk,Monthly:,Monthly Risk Review,Quarterly:,FWR Quarterly Risk Review,风控流程,Firm-wide Risk Committee,Divisional Risk Committee,Business Lines,Risk Management,Limit/Risk Appetite,How to set up risk limits?,Risk/Return,Just Enough,Multi-dimension Limits,Clear communication,Discipline Risk management,What Risk Limits we have?,VaR by product category,VaR by business lines,CSW/Scenarios,Top Sheet,Sovereign Stress Test,Single Name Risk Report,Greek Limits,Risk Committees,FRC:Weekly,Charter,Chairmanship,：,CFO,Executive Officer,Members:Head of each business lines,(A,角）,Risk Management,Controllers,Corp Treasury,DRC:Weekly,Charter:,Chairmanship:Chief Risk Officer,Securities Division,Members:Head of business lines,（,B,角,)Risk manager,Controllers,Corp treasury,Appendix,GS Risk Management,中国,北京,100004,朝阳区新源南路,6,号京城大厦,中信证券股份有限公司,中国,深圳,518040,福田区深南大道,7088,号招行大厦,A,层,