1. (ERM) Dodd-Frank, Base lI &III (ERM) (GCPRM)www.gcprm.com 1

2. (PRMIA)PRMIA 81,971 201 5,000 60 PRMIA, with leading University Partners, seeks to set the standards forgraduate level education inrisk management and financialengineeringaround the world, and to reinvest the proceeds of these activitiesintoscholarly research, scholarships and further educational efforts. PRMIA PRMIA2 3. VaR:P38. An important and fundamental change must be to start educating risk analysts properly, so that their managers really understand the risks that banks and other financial institutions are taking, as far as this is possible. There are two international financial risk management associations, the Professional Risk Managers International Association (PRMIA) and the Global Association of Risk Professionals (GARP). These associations provide entry-level qualifications for financial risk management. The PRM qualification is at a higher level than the FRM or the Associate PRM, but even thePRMfour exams for the full PRM qualification can be passed with only one year of part-time study.FRM, APRM , PRMIA3 4. (,ERM)COSO (Committee of Sponsoring Organizations of the TreadwayCommissionCOSO) (2004) COSOs ERM definition Enterprise risk management is a process, effected by anentitys board of directors, management and other personnel, applied in strategy settingand across the enterprise, designed to identify potential events that may affect the entity,and manage risk to be within its risk appetite, to provide reasonable assuranceregarding the achievement of entity objectives. :() : : :(potentialevents ) (.risk appetite) : The Essentials of Risk Management Michel Crouhy Dan Galai Robert Mark (20102) PRMIA4 5. (,ERM) ()(,) --- ()() PRMIA 5 6. (,ERM)High-Performance Risk Management Analytic Framework -2011 Evolving from Quantitative Risk Management to a High-Performance RiskManagement Analytic FrameworkInsights on a new direction for risk management by Myron S. Scholes, PhD and Nobel Laureate, and Michael Stefanick, Director of Risk Practice at SAS--Leading firms will be strongly considering implementinga high-performance risk management framework that willprovide a complete picture of firm wide risk.-- (Enterprise-wide Risk Management)PRMIA6 7. (,ERM)PRMIA 7 8. : BOD RiskBOD CEO Committee Jack R. BuchmillerCFOERM ( ,National Association of Insurance Headed by CRO CommissionersNAIC)--2011MarketCredit RiskRiskBusiness Continuous:CorporateOperational Insurance GovernanceRiskRisk Disaster Recovery EconomicDisaster () Recovery/BusCapital Continuity PRMIA8 9. :(Risk Tolerance) :Capital at RiskCaR(BOD Risk Committee ):Earnings-at-RiskEaR(Capital-at-Risk Financial flexibility) Earnings-at-RiskFranchise value:financial flexibility( ) :franchise value( Senior Risk CommitteeERM (Headed by CRO) )(VaR,EC) PRMIA99 10. : () (Risk Mitigation) : =position = (Exposure) PRMIA 10 11. : : PRMIA 11 12. :- 1. (J.P.MorganRiskmetrics Documents) 2. (1) () (2) (BCBS,The Basle Committee On Banking Supervision) 3. (CBRC)() 4. ()(IOSCO, International Organization ofSecurity Commissions) PRMIA 12 13. :- --- --() --- ---()() --- (hard commodity)(softcommodity)()()() PRMIA 13 14. :- (CCR/CVA)()(CreditEvent Risk) - CVA (CVA) CVAPV = PVrisk-free + CVA CVA(Bond, CDS equivalent)CVA = LGD PD EPE PD = Historically estimated probability of default.LGD = Historically estimated loss-given-default.EPE = Expected positive exposur :(EAD) PRMIA14 15. :- 10% 90%( Potential exposure (t)) (Expected Exposure)(Expected positive exposure (t)) 0 t 1 year PRMIA15 16. :- (Potential exposure profile)Expected exposure profileEffective EPE profile(Current exposure) 0 1 yearMaturity PRMIA16 17. :-N TCVAA,CP(t0 ) = 1/ N Es (t j ) qs,d (t j 1 ,t j ) (1 r) ds (ti ,t j ) s=1 j=1 Component #1 Component #2Component #3 Component #4 Exposure Probability of DefaultRecovery Rates Discount factorRisk neutral marginal Recovery Rate perdefault probability Instrument PRMIA 17 18. :- -- :() : PRMIA 18 19. :- PRMIA 19 20. :- 20048(EIU)13434%25% 2003710(Equator Principles)(IFC)PRMIA 20 21. :- 19887 19886.8%199312.1%11-12% 13 12 11 10 9 8 7 6 5 41988 1989 1990 1991 1992 1993 1994 1995 1996 PRMIA21 22. :- 198812%199320%0 221989-1992 20 18 16 14 12 101980 1983 1986 1989 1992 1995 1998 2001 2004PRMIA 22 23. :- 1988-1993 110 1009080706050 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003% PRMIA 23 24. :- Bank of England (2008), Financial StabilityReport, Box 6, October. (countercyclical)(Bank of England, 2008)PRMIA24 25. :-(Time-varying Capital Requirements) 2010a. Countercyclical Capital Buffer Proposal(Consultative Document). Available. /GDPGAP 10/GDP/GDPGAPPRMIA 25 26. :- PRMIA 26 27. :- PRMIA 27 28. :-2008 28 ---33 ---28 ---30PRMIA 28 29. :- (Leverage Ratio) Basel III(leverage ratio) 201120133%20172018PRMIA 29 30. :- (Dynamic Provisioning) (Capital Insurance) Kashyap, Rajan and Stein (2008 )() PRMIA 30 31. :() PRMIA 31 32. :() () : PRMIA 32 33. :() () () PRMIA 33 34. : /() PRMIA 34 35. : 2010721Dodd-Frank (The Dodd-Frank Wall StreetReform and Protection Act Dodd-Frank)PRMIA 35 36. : (SEC)Dodd-Frank (SEC)PRMIA 36 37. (ERM) ERMERM: (:-) (:-) (-) ERM () PRMIA 37 38. -- G-SIBs 2011 6 25 140 G-SIBs 7312281%2.5%3.5%PRMIA 38 39. -- G-SIBs 1%~2.5% 1%3.5% PRMIA 39 40. :SunGard2012 SunGard2012-- -- -- -- -- -- -- -- -- -- SOXGLBSolvency II PRMIA40