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Presentation to Asia-Pacific Finance and Development Center 本次演讲为 亚太财经与发展中心准备

Presentation to Asia-Pacific Finance and Development Center 本次演讲为 亚太财经与发展中心准备. Market Risk Management in HSBC Global Markets 汇丰银行全球市场风险管理 2005 年 12 月 21 日. HSBC Group Policy on Market Risk 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）.

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Presentation to Asia-Pacific Finance and Development Center 本次演讲为 亚太财经与发展中心准备

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  1. Presentation to Asia-Pacific Finance and Development Center本次演讲为亚太财经与发展中心准备 Market Risk Management in HSBC Global Markets 汇丰银行全球市场风险管理 2005年12月21日

  2. HSBC Group Policy on Market Risk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）

  3. Set up of Global Markets建立全球市场 • Globally: 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

  4. Global Markets Structure 全球市场结构

  5. Various departments in Global Markets在全球市场中的不同部门 • Trading, 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

  6. Basic job description基本工作简述 front office functions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

  7. Basic job description基本工作简述 front office functions前台功能 • Compliance - internal and external regulations 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 • Finance - financial reporting and limit monitoring 财务－财务报表及极限值监控 • Legal – documentation 法律－材料整理 • Market Risk - revaluation and risk methodology 市场风险－在评估和风险管理方法 • Systems - automatic processing of settlement, profit and loss, risks 系统－自动处理清算，收益和损失，风险 • Treasury Services - back office deal confirmation + settlement 资金服务－内部交易确认＋结算

  8. Business Lines 业务线 Balance sheet 资产负债表 Sales销售 Trading 交易 • 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

  9. Different 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/功能指导手册）

  10. These departments are essential to a successful treasury operation 这些部门对于成功的资金运行至关重要 Imagine 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。

  11. Product Due Diligence (PDD) 产品的审慎性审核basic control framework 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）

  12. Middle Office / Risk Management Function=Finance中层办公室/风险管理职能＝财务(accounting,risk monitoring+reporting)（会计，风险监控＋报告）+Market Risk Management＋市场风险管理

  13. Reporting Lines 报告流程 Head of Global Markets 全球市场领导 Market Risk Management市场风险管理 Chief Financial Officer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

  14. Segregation of duties 职责的分配 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

  15. Basic work requirement 基本工作要求 • 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

  16. Deal Capture and market rates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

  17. P&L reporting and reconciliation收益&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

  18. Market risk and limit monitoring 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

  19. Limits 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

  20. Control of market risk limits 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

  21. Capital requirement 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

  22. Scenario analysis and stress testing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

  23. New product and system development 发展新产品和新系统 • 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

  24. Various ad-hoc tasks 各种专项任务 • 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

  25. To have a credible risk management operation, we need 要有一个值得信赖的风险管理业务，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

  26. Thank you!谢谢

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