WO2017212651A1 - Système de gestion du risque - Google Patents

Système de gestion du risque Download PDF

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Publication number
WO2017212651A1
WO2017212651A1 PCT/JP2016/067436 JP2016067436W WO2017212651A1 WO 2017212651 A1 WO2017212651 A1 WO 2017212651A1 JP 2016067436 W JP2016067436 W JP 2016067436W WO 2017212651 A1 WO2017212651 A1 WO 2017212651A1
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WO
WIPO (PCT)
Prior art keywords
pfe
management system
logic
risk management
add
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PCT/JP2016/067436
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English (en)
Japanese (ja)
Inventor
伊藤　博
康智 外園
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株式会社野村総合研究所
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
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Publication date
Application filed by 株式会社野村総合研究所 filed Critical 株式会社野村総合研究所
Priority to CA3026296A priority Critical patent/CA3026296C/fr
Priority to JP2018522294A priority patent/JP6602473B2/ja
Priority to PCT/JP2016/067436 priority patent/WO2017212651A1/fr
Publication of WO2017212651A1 publication Critical patent/WO2017212651A1/fr

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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation or account maintenance

Definitions

  • the present invention relates to a risk management technique in a financial institution such as a bank, and more particularly to a technique effective when applied to a risk management system for responding to a risk measurement-related regulation related to the capital adequacy regulation of Basel 3. .
  • ⁇ It is desirable to be able to make effective use of existing systems in order to efficiently deal with systems toward the application of SA-CCR from 2017. In doing so, it is required to implement in a way that ensures independence and expandability with respect to existing systems in consideration of diversification of middle operations such as future regulatory matters and risk management.
  • an object of the present invention is to provide a risk management system having an SA-CCR exposure calculation function that can be applied to an existing system while ensuring independence and expandability.
  • a risk management system is a risk management system for measuring a credit risk exposure of a counterparty in a derivative transaction of a financial institution by SA-CCR.
  • SA-CCR a risk management system for measuring a credit risk exposure of a counterparty in a derivative transaction of a financial institution by SA-CCR.
  • logic parts consisting of formulas for calculating principal, delta, and MF (Maturity Factor) in SA-CCR, each asset class in the calculation of future loss (Potential Future Exposure: PFE)
  • PFE Probabilistic Future Exposure
  • the PFE is calculated based on the PFE add-on calculated by the PFE add-on calculator by the SA-CCR, and the reconstruction cost (Replacement Cost: RC) is calculated from the attribute information of the supplier.
  • the credit equivalent amount (Exposure At Default: EAD) is calculated on the basis of the PFE and RC thus obtained.
  • FIG. 2 is a diagram showing an outline of a configuration example of an information processing system including a risk management system according to an embodiment of the present invention.
  • the information processing system is a system that supports a business in a financial institution such as a bank.
  • various front systems 10, sub-systems such as a data warehouse (DWH) 20, a middle business system 30, and a report system 40 Consists of.
  • DWH data warehouse
  • middle business system 30, and a report system 40 Consists of.
  • the front system 10 is a system that supports front work including buying and selling of financial products.
  • a subsystem that handles spot transactions such as stocks, bonds, and investment trusts
  • a subsystem that handles unsecured / secured lending such as repurchase agreements
  • exchange rates such as interest rates, exchange rates, commodities, credits, and stocks /
  • Various subsystems may be included, such as a subsystem that handles over-the-counter derivative transactions and a subsystem that handles listed derivative transactions such as futures and options.
  • the DWH 20 is a system for managing data that is required or accumulated by the front business. For example, reference data such as brands, accounts, and ratings, market data such as market conditions and market prices, contract details and balances. Manage various data such as transaction data.
  • the DWH 20 is implemented in a loosely coupled form with the front system 10 so as to flexibly absorb various product characteristics such as diversification of upstream front systems 10 and derivative transactions, thereby improving reliability and maintainability. Is desirable. In addition, it is desirable to minimize the influence of various regulations and changes in the middle business by making it independent from the middle business system 30 described later.
  • the middle business system 30 is a system that supports various middle business including risk management and compliance check.
  • the middle business management unit 31 for managing credit and collateral
  • the market risk measurement unit 32 the credit risk measurement unit for responding to the capital adequacy regulations in Basel regulations, particularly the regulations related to risk measurement 33.
  • Various calculation engines such as a counterparty credit risk measurement unit 34 are included.
  • the market risk measuring unit 32 measures the market risk by a standard method of FRTB (Fundamental Review of the Trading Trading Book) in Basel regulations, for example.
  • the credit risk measurement unit 33 calculates, for example, CVA (Credit Valuation Adjustment) in Basel regulations by a standard method (SA).
  • SA Standard Method
  • the counterparty credit risk measurement unit 34 calculates the above-mentioned counterparty credit risk exposure by a standard method (SA-CCR).
  • the report system 40 is a system having a function of outputting as a response to regulations or a report to the authorities based on the measurement result in the middle business system 30.
  • FIG. 1 is a diagram showing an outline of a configuration example of a risk management system according to an embodiment of the present invention.
  • the risk management system 1 according to the present embodiment has a counterparty credit risk measurement unit that measures the credit risk exposure of the counterparty, among other functions corresponding to the capital adequacy ratio regulation and the risk measurement regulation in the middle business system 30. It is intended for 34 subsystems. That is, it is intended for a calculation engine that calculates credit risk exposure by SA-CCR while ensuring independence and expandability with respect to the existing middle business system 30.
  • the counterparty credit risk measurement unit 34 constituting the risk management system 1 is, for example, an information processing implemented by a server device, a virtual server constructed on a cloud computing service, or an information processing device such as a PC (Personal Computer). System. Then, a PFE add-on calculation unit 341, a mapping unit 342, a PFE calculation unit 343, an RC calculation unit 344, and an EAD calculation implemented as software running on middleware such as OS (Operating System) or DBMS (DataBase Management System) (not shown). Unit 345, and RWA calculation unit 346. In addition, each product has a pattern table 347 that holds information on logic patterns in calculation by SA-CCR.
  • Add-ons are calculated by calculating the interest rate, exchange rate, commodity, credit, and stock asset classes, and then adding them together. Detailed calculation formulas for each asset class are omitted because they are complex, but in this embodiment, the calculation formula for each asset class is defined in advance as a logic pattern for each product in order to calculate this add-on.
  • a pattern table 347 is provided.
  • FIG. 3 is a diagram showing an outline of an example of the pattern table 347.
  • the logic pattern (“L001” to “L007”) for calculating the PFE add-on is associated with each product type (“0001” to “0009”). Show. Note that products with a logic pattern of “Null” (“0008”, “0009”) are not subject to automatic calculation of the future loss amount PFE by SA-CCR, and indicate products that are manually calculated. .
  • logic patterns (“A1” to “A3”, “B1”, etc.
  • For calculating add-ons are defined for each asset class of interest rate, exchange rate, commodity, credit, and stock. . This indicates that an asset class with a logic pattern of “x” is not calculated.
  • Each logic pattern is further defined as a combination of logic parts that are calculation elements for calculating an add-on of the target asset class.
  • FIG. 3B shows an example of the definition content of the combination of logic parts constituting each logic pattern.
  • three types of IDs “E1” to “E3” are defined as logic patterns for calculating the add-on of the stock asset class, and each logic pattern includes a PFE add-on. It shows that it is composed of a combination of three logic parts (calculation elements): principal, delta, and MF (Maturity Factor), which are elements for calculation. That is, in the example of FIG. 3B, the logic parts “eg1” to “eg3” of the principals represent different principal formulas by code values for convenience. Similarly, for delta “ed1” to “ed3” and MF “em1” to “em3”, different delta and MF calculation formulas are shown.
  • the logic pattern “L005” is assigned.
  • the commodity add-on is the pattern “C2”.
  • the PFE can be calculated by calculating and adding up the stock add-on with the pattern “E1”.
  • the “E1” pattern for calculating the stock add-on has a logic of “eg1”, “ed1”, and “em1” for the principal, delta, and MF, respectively. It is calculated by a combination of parts.
  • the logic parts and logic patterns can be reused as parts, and the same logic pattern can be used for different product types, or the same logic part can be used for different logic patterns.
  • Each logic part may be defined by, for example, a bottom-up method of extracting a common calculation element from a calculation formula shown in SA-CCR, and is necessary for individual correspondence for each customer. You may define by the top-down method which defines a calculation formula separately.
  • the PFE add-on for calculating the future loss amount PFE is netted by referring to the supplier / contract information 23 in the supplier attribute information held in the DWH 20 by the PFE add-on calculator 341.
  • the set information is acquired, and the transaction details data is acquired from the derivative transaction details 22 of the transaction data, and is calculated for each product.
  • the PFE add-on calculation unit 341 determines a corresponding logic pattern from the pattern table 347 according to the type of the product, and performs calculation according to this.
  • the mapping unit 342 maps the data of each transaction detail to a predetermined format and performs format conversion. May be.
  • the PFE calculation unit 343 calculates the future loss amount PFE.
  • the calculation result is recorded as PFE data 343a in a file, memory, or the like.
  • the PFE data 343b which is the result of manual calculation by the user, is uploaded and added to the PFE data 343a. -You may be able to integrate.
  • the credit equivalent EAD is calculated by the EAD calculation unit 345 based on the RC data 344a, the PFE data 343a, and the above Equation 1.
  • the calculation result is recorded as EAD data 345a in a file, memory, or the like.
  • the RWA calculation unit 346 calculates the amount of risk assets (Risk Weight Asset: RWA) related to the derivative transaction.
  • the risk asset RWA is calculated by referring to the contract information 25 among the customer attributes held in the DWH 20, obtaining risk weight information such as a customer rating, and multiplying this by the credit equivalent EAD.
  • the calculation result is recorded as RWA data 346a in a file, memory, or the like.
  • the risk management system 1 when applying SA-CCR as a response to the risk measurement-related regulations relating to the capital adequacy ratio regulation, Therefore, it can be applied while ensuring independence and expandability.
  • the principal, delta, and MF for each asset class are calculated for each product type. It is defined as a logic pattern consisting of a combination of logic parts. Then, by defining and configuring the logic pattern and logic parts as reusable parts, it is possible to ensure independence from existing systems and improve maintainability and expandability.
  • the present invention made by the present inventor has been specifically described based on the embodiments.
  • the present invention is not limited to the above-described embodiments, and various modifications can be made without departing from the scope of the invention. Needless to say.
  • the above-described embodiment has been described in detail for easy understanding of the present invention, and is not necessarily limited to the one having all the configurations described.
  • the present invention can be used in a risk management system for responding to the risk measurement-related regulations related to the capital adequacy regulations of Basel 3.

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  • Business, Economics & Management (AREA)
  • Accounting & Taxation (AREA)
  • Finance (AREA)
  • Engineering & Computer Science (AREA)
  • Development Economics (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Strategic Management (AREA)
  • Technology Law (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Theoretical Computer Science (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

La présente invention concerne un système de gestion du risque qui mesure une exposition de risque de crédit de contrepartie avec le SA-CCR par rapport à une transaction dérivative d'une institution financière, ledit système de gestion du risque étant applicable par rapport à un système existant tout en assurant son indépendance et sa mise à l'échelle. L'invention concerne un système de gestion du risque comprenant : une table de schémas (347) qui, pour chaque type de produits portant sur une transaction dérivative, définit, par une combinaison de parties logiques qui sont formées à partir de formules mathématiques pour le calcul respectif du principal, du delta, et du MF, un schéma logique de calcul d'un ajout pour chaque classe de bien dans un calcul de PFE ; et une unité de calcul (341) d'ajout de PFE qui fait référence à la table de schémas (347) en fonction du type de produit et acquiert le schéma logique correspondant, et calcule l'ajout de PFE. Alors, au moyen du SA-CCR, le système de gestion de risque calcule le PFE sur la base du PFE calculé, et calcule le RC, et sur la base du PFE et du RC, calcule l'EAD.
PCT/JP2016/067436 2016-06-10 2016-06-10 Système de gestion du risque WO2017212651A1 (fr)

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CA3026296A CA3026296C (fr) 2016-06-10 2016-06-10 Systeme de gestion du risque
JP2018522294A JP6602473B2 (ja) 2016-06-10 2016-06-10 リスク管理システム
PCT/JP2016/067436 WO2017212651A1 (fr) 2016-06-10 2016-06-10 Système de gestion du risque

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Cited By (2)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN112540959A (zh) * 2020-12-14 2021-03-23 建信金融科技有限责任公司 一种数据处理方法和装置
JP7013558B1 (ja) * 2020-12-28 2022-01-31 みずほリサーチ＆テクノロジーズ株式会社 与信管理システム、与信管理方法及び与信管理プログラム

Citations (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
JP2000020618A (ja) * 1998-06-30 2000-01-21 Iq Financial Systems Japan Kk 統合金融リスク管理装置および金融取引モデル化装置

Patent Citations (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
JP2000020618A (ja) * 1998-06-30 2000-01-21 Iq Financial Systems Japan Kk 統合金融リスク管理装置および金融取引モデル化装置

Non-Patent Citations (1)

* Cited by examiner, † Cited by third party
Title
"The standardised approach for measuring counterparty credit risk exposures", BASEL COMMITTEE ON BANKING SUPERVISION, 30 April 2014 (2014-04-30), XP055455543, Retrieved from the Internet <URL:http://www.bis.org/publ/bcbs279.pdf> [retrieved on 20160805] *

Cited By (3)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN112540959A (zh) * 2020-12-14 2021-03-23 建信金融科技有限责任公司 一种数据处理方法和装置
CN112540959B (zh) * 2020-12-14 2023-01-10 中国建设银行股份有限公司 一种数据处理方法和装置
JP7013558B1 (ja) * 2020-12-28 2022-01-31 みずほリサーチ＆テクノロジーズ株式会社 与信管理システム、与信管理方法及び与信管理プログラム

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JP6602473B2 (ja) 2019-11-06
CA3026296C (fr) 2023-10-10
CA3026296A1 (fr) 2017-12-14

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