Kamakura 整合风险管理框架
Kamakura Risk Manager
分析
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平台
风险定义
期权和信用调
整的以市值计
价 模拟
共同因素驱动
的违约概率
市场风险- 风险价值(VAR) Yes Yes Yes
市场风险- 信用风险价值(Credit Var) Yes Yes Yes
市场风险- Delta/基点价格(PVBP) Yes Yes Yes
市场风险- 限额 Yes Yes Yes
信用风险-单一客户 Yes Yes Yes
信用风险-组合
信用风险 VAR Yes Yes Yes
信用风险 Delta Yes Yes Yes
信用风险 限额 Yes Yes Yes
信用风险 准备金 Yes Yes Yes
信用风险/资本充足 Yes Yes Yes
资产负债管理- 确定性净收入 Yes
资产负债管理- 随机性净收入 Yes Yes
资产负债管理- 信用调整净收入 Yes Yes Yes
资产负债管理- 流通风险 Yes Yes Yes
资产负债管理- 持续期限(Duration)/基点价格(PVBP) Yes
资产负债管理- 净收入和市场价值压力测试 Yes Yes
资产负债管理- 资本压力测试 Yes Yes Yes
操作风险 Yes Yes Yes
总的整合风险 Yes Yes Yes
绩效测评
转移定价 Yes Yes
风险调整资本收益(RAROC) Yes Yes Yes
资本分配 Yes Yes Yes
会计和监管
IAS39/FAS133 Yes Yes Yes
Basel II Yes Yes Yes
流通风险 Yes Yes Yes
Kamakura Integrated Risk Framework
Kamakura Risk Manager Analytical
Engine
View of Risk
Option
and
Credit-
Adjusted
Mark to
Market Simulation
Default
Probabilities
Driven by
Common
Factors
Market Risk-VAR Yes Yes Yes
Market Risk-Credit Var Yes Yes Yes
Market Risk-Delta/PVBP Yes Yes Yes
Market Risk-Limits Yes Yes Yes
Credit Risk-Single Names Yes Yes Yes
Credit Risk-Portfolios
Credit Risk VAR Yes Yes Yes
Credit Risk Delta Yes Yes Yes
Credit Risk Limits Yes Yes Yes
Credit Risk Provisions Yes Yes Yes
Credit Risk/Capital Adequacy Yes Yes Yes
ALM-Deterministic Net Income Yes
ALM-Stochastic Net Income Yes Yes
ALM-Credit Adjusted Net Income Yes Yes Yes
ALM-Liquidity Risk Yes Yes Yes
ALM-Duration/PVBP Yes
ALM-Stress Testing NI and MV Yes Yes
ALM-Stress Testing Capital Yes Yes Yes
Operational Risk Yes Yes Yes
Total Integrated Risk Yes Yes Yes
Performance Measurement
Transfer Pricing Yes Yes
RAROC Yes Yes Yes
Capital Allocation Yes Yes Yes
Accounting and Regulation
IAS39/FAS133 Yes Yes Yes
Basel II Yes Yes Yes
Liquidity Risk Yes Yes Yes
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