1. Risk management process (loss (consciousness) balance response prison (pre))
1. Risk identification
Perceive risk and analyze risk
2. Risk measurement (high pressure, sensitive mind, mood swings)
Sensitivity Analysis
Volatility Measurement
pressure test
3. Risk response
Risk Appetite Management
risk limit
Risk Pricing and Provisioning
risk mitigation
emergency plan
4. Risk monitoring, early warning and reporting
2. Organizational Framework for Risk Management
Risk Management Organizational Structure
Board of Directors and its committees
The board of directors of a securities company bears the ultimate responsibility for overall risk management .
The managers of securities companies assume the main responsibility for overall risk management .
A securities company shall appoint a senior manager to be responsible for overall risk management (collectively referred to as "chief risk officer").
The chief risk officer shall not concurrently hold or be in charge of positions or departments that conflict with his duties.
senior management
Risk Management Department
Subsidiary
The "three lines of defense" of risk management
The business line department is a line of defense against risks, bears risks, and should be responsible for continuously identifying, evaluating, and reporting risk exposures.
The risk management department and the compliance department are the second line of risk defense. Both the risk management and compliance departments should be established in the business line department.
Internal audit is the third line of defense against risk. Internal provincial departments conduct independent audits of the quality and effectiveness of the enterprise's risk governance framework.
3. Risk appetite and limits
(1) The meaning of risk appetite
Risk preference refers to the enterprise's attitude towards risk in the process of pursuing strategic and business goals , including the type, size, quantity, and method of risk it is willing to take, and how much more risk it is willing to take in order to increase every profit. Time is translated as "risk appetite" .
(2) The meaning of risk tolerance
Another common term is risk tolerance . Risk appetite is a higher-level commitment made by the company's decision-makers after comprehensive consideration of various factors , while risk tolerance is a quantified acceptable level set for each specific risk factor in consideration of the continuous changes in risk conditions .
(3) Definition and management of risk limit
The risk limit is based on the principle of maximizing RAROC (Rate of Return on Risky Capital) , and decomposes risk indicators into different levels of the company, different business lines, and even specific combinations and strategies in the form of risk limits, so as to control the risk within an acceptable and reasonable range , so that the size of the risk matches the risk management ability and capital strength .
Quota management
Risk limit setting
Risk limit monitoring
Disposal of excess
3. Adequate Capital
(1) Meaning of capital
Capital is a basic concept of a market economy. It is usually defined as the funds that financial institutions own or can permanently control and use . It is the funds that financial institutions must inject to engage in business activities.
(2) Main categories of capital
1. Book capital
Capital reflected on the balance sheet. The amount of book capital is the balance of assets minus liabilities in the balance sheet after business combination , including paid-in capital, capital reserve, surplus capital, undistributed profits, etc. Book capital is an accounting concept, which is a static reflection of the capital of financial institutions.
2. Economic capital
Economic capital, also known as risk capital , is usually defined as the capital that a financial institution should have in order to absorb unexpected losses under a certain level of confidence , and the amount is equal to the value at risk of a given level of confidence in the company's overall loss distribution. It is a fictitious, "figured out" number, not real capital.
3. Regulatory capital (net capital)
Regulatory capital is the capital calculated in accordance with the requirements of the regulatory authorities, and financial institutions should meet the minimum regulatory requirements .
The net capital of a securities company consists of core net capital and subsidiary capital.
4. Stress test
Stress testing refers to placing the entire financial institution or asset portfolio under a specific stress scenario , and then testing the performance of the financial institution or asset portfolio under the pressure of sudden changes in these key market variables to consider whether they can withstand This sudden change in the market.
Stress test principles (all (real) money before body (trial)
comprehensive principle
practical principle
principle of prudence
forward-looking principle