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- 한한한한 한 RAPM - 2003. 3. 27 한한한 한한 한한한 한한 (2002-4800, [email protected])

리스크관리 선진화 사례발표

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리스크관리 선진화 사례발표. - 한도관리 및 RAPM -. 2003. 3. 27. 김경희 부장 ( ☎ 2002-4800, [email protected]). 목 차. WOORI BANK. Ⅰ. 우리은행의 리스크관리 Vision. Ⅱ. 한도관리. Ⅲ. RAPM. Ⅳ. 향후 보완사항 및 계획. I. 우리은행의 리스크관리 Vision. 1. 리스크관리 목적. 생존과 번영. 수용한 리스크 대비 수익의 극대화. 과도하거나 수용할 수 없는 리스크 제거 적정 수준의 리스크 수용. - PowerPoint PPT Presentation

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  • - RAPM -2003. 3. 27 (2002-4800, [email protected])

  • VisionRAPMWOORI BANK

  • 1. I. Vision RAPM

  • 2. FrameworkI. Vision

    (new)

    * RAPM : Risk Adjusted Performance Measurement* EL : Expected Loss* UL : Unexpected Loss

    * VaR : Value at Risk* EaR : Earnings at Risk

    RAPM

    EL UL (EL )

    VaR

    ALM (EaR)

    (Capital at Risk)[= (Economic Cpital)]

    Monitoring

    EL

    * RAPM : Risk Adjusted Performance Measurement

    * RAROC : Risk Adjusted Return on Capital

    R A P M (RAROC)

    Banking Book

    Trading Book

    ALM

    BIS

    HAVICS System(Rating)Total Exposure

    Panorama VaR

    Bancware Mismatch

    CheckList

    MORABC

    System

    System (ERMS)

    BISSystem

    System : : :

    System

    ()

    * HAVICS : Hanvit Credit Management System* VaR : Value at Risk

    (Banking Book)

    (Trading Book)

    (ALM)

    BIS

    (HAVICS)()

    (Panorama) (VaR)

    (Bancware)

    ,

    BIS

    : : :

    ()

    Risk Managememt System in Hanvit Bank

    ProfitRisk ManagementInternal Control

    Management

    * RAPM : Risk Adjusted Performance Measurement* HAVICS : Hanvit Credit Management System

    * RAROC : Risk Adjusted Return on Capital* VaR : Value at Risk

    * ERMS : Enterprise-wide Risk Management System

    R A P M (RAROC)

    Capital Allocation

    Banking Book

    Trading Book

    ALM

    BIS Ratio

    Operation Risk

    HAVICS SystemRatingTotal Exposure ManagementRisk Measurement

    PanoramaVaR Measurement

    BancwareAsset-Liability Mismatch Management

    CheckList

    MORABC

    ManagerialAccountingSystem

    Enterprise-wide Risk Management System (ERMS)

    Limit Setting& Management

    BIS RatioManagementSystem

    Internal Control System Compliance Officer Business Unit Auditor

    Financial Planning &Forecating System

    Credit Risk

    Market Risk

    Sheet3

  • 3. I. Vision , , - , : + RM() RAPM() 19992000 ~ 20012002ERMS( ) HAVICS( ) 2003 B/S Optimization ( / ) ERMS : Enterprise-wide Risk Management System

  • 4. I. Vision 9 - ,

    1 - - - - ( )

    ALCO : 5 , , 3 1

    CRAs(Chief Risk Advisor)

  • Monte-Carlo Simulation , CaR

    CaRM-ULi/ M-ULi M-UL : Marginal Unexpected Loss Factor,

    - , : - : Factor

    =10VaR3+ 1 EaR (EaR+EaR) - EaR ++. 1.

  • : Monte-Carlo Simulation .

    Simulation

    Commercial Portfolio Unexpected Loss Simulation

    Iteration50,000TIMES

    Confidence Level99.9%

    Display UpdateE+VERY 250TIMES

    Total Borrower NumberSimulation Now50,000times proceeding

    Total Exposure(Won)K5.86

    (Amount : Million Won)

    STATISTICSMAXMINAVERAGESTDEVBOTTOMUPPERUNEXPECTED LOSS

    Default Borrower

    that %

    Default Amount

    that %

    Loss Amount

    that %

    Simulation

    1

    15835

    18705

    8950

    3848

    1539

    629

    268

    130

    57

    18

    14

    4

    1

    1

    Default Borrower

    1

    16430

    17785

    8890

    3908

    1650

    720

    337

    162

    65

    27

    10

    12

    1

    2

    Default Amount

    1

    689

    2117

    2747

    3097

    3294

    3231

    3161

    3076

    2870

    2539

    2373

    2157

    2015

    1746

    1665

    1411

    1304

    1149

    981

    938

    802

    766

    667

    608

    532

    460

    392

    389

    312

    236

    257

    204

    195

    170

    169

    117

    134

    116

    102

    72

    88

    69

    66

    62

    38

    44

    36

    32

    27

    36

    24

    25

    22

    21

    12

    17

    15

    9

    5

    9

    7

    9

    7

    7

    3

    6

    2

    4

    8

    3

    3

    4

    3

    0

    2

    4

    2

    1

    1

    0

    1

    0

    0

    1

    0

    0

    0

    0

    1

    0

    1

    0

    1

    0

    0

    0

    0

    0

    1

    Loss Amount

    DISTRIBUTION GRAPH

    SIMULATION ACTIVATE

    Logical Background

  • - (Book Capital) - (Budget Capital) - (BIS Capital) - - - - - Factor - - - Factor , () RAROC, 2. Process.

  • Available Capital(4.5)Total Risk Capital(4.0)Allocated Risk Capital Limit(: 3.0) Allocated Risk Capital Limit(A: 1.8) ( : ) Book Capital Budget Capital BIS Capital , , Risk Appetite () Utilized Risk Capital, (), RAROC ( ) 3. .

  • : ( ) 2) ().

    Sheet1 (2)

    ( ) 12 CaR(b) (a-b)

    (a)

    2002 11.010.010.01.02.010.01.045.0

    2003 2.01.51.00.20.02.00.57.2

    ()18.2%15.0%10.0%20.0%0.0%20.0%50.0%16.0%

    2002 RAROC70.0%40.0%15.0%

    10%5%0%

    2002 1,2003,0005,0002005002,00030012,200

    2003 (A)1,5003,5005,5002205002,20032013,74012,2001,540

    ()25%17%10%10%0%10%7%13%

    (B)004501,7502,2001,0601,140

    100300400243157

    3001,0001,300376924

    5040045041832

    50502327

    (ALM) (C)1,0001,000846154

    (A+B+C)1,5003,5005,5006705004,95032016,94014,1062,834

    Sheet1

    2001.12

    ( ; 2001. 9. 12)

    - 2001. 1. 1 BIS

    Infra 2002.6

    2002.6

    ,

    /

    Sheet2

    Sheet3

  • 4. Monitoring .

  • ( : ) : ( ).

    2

    02.802.902.1002.802.902.1002.802.902.10

    17$546,940$567,817$579,761$11,944$24,400$24,047$23,958894.46%4.23%4.13%0.10%

    810$19,341$20,195$21,415$1,220$2,462$2,478$2,932$45412.73%12.27%13.69%1.42%

    $566,281$588,012$601,176$13,164$26,862$26,525$26,890$3654.74%4.51%4.47%0.04%

    $211,846$219,152$229,159$10,007$1,130$1,103$1,159$560.53%0.50%0.51%0.00%

    $778,127$807,164$830,335$23,171$27,992$27,628$28,049$4213.60%3.42%3.38%0.04%

    $630$578$393185$279$296$2356144.29%51.21%59.80%8.59%

    $17,996$17,997$17,647350$383$394$2561382.13%2.19%1.45%0.74%

    $2,528$1,623$916707$475$438$490$5218.79%26.99%53.49%26.51%

    1)$367$230$367$137$36$22$1399.81%9.57%3.54%6.02%

    $21,154$20,198$18,9561,242$1,172$1,149$9951545.54%5.69%5.25%0.44%

    $1,739$989$1,225$236

    $799,281$827,362$849,291$21,929$30,903$29,766$30,269$5033.87%3.60%3.56%0.04%

    : 1) , Gross notional

    1

    ()

    $2,896$15,776$6,120$2,524$2,917$7,978$689$41$38,941

    $2,621$12,913$6,069$814$1,916$3,117$232$164$27,846

    $275$2,863$51$1,710$1,001$4,861$457123$11,095

    90.5%81.9%99.2%32.3%65.7%39.1%33.7%400.0%71.5%

    $2,896$15,267$6,120$1,082$2,917$3,266$689$41$32,278

    $2,621$12,690$6,069$691$1,916$1,557$232$164$25,940

    $275$2,577$51$391$1,001$1,709$457123$6,338

    90.5%83.1%99.2%63.9%65.7%47.7%33.7%400.0%80.4%

    $199$1,442$2,524$4,165

    $100$123$837$1,060

    $99$1,319$1,687$3,105

    50.3%8.5%33.2%25.5%

    $310$2,188$2,498

    $123$723$846

    $187$1,465$1,652

    39.7%33.0%33.9%

    1$2,396$2,562166242106.9%$2,396$2,562166242106.9%

    2$15,267$14,1221,14526392.5%$199$661338033.1%$310$296$147995.5%$15,776$14,4841,29226491.8%

    3$5,620$5,5457535098.7%$5,620$5,5457535098.7%

    4$1,082$78529711372.6%$1,442$1381,304269.6%$2,524$9231,60113936.6%

    5$2,917$2,14277516873.4%$2,917$2,14277516873.4%

    $4,266$2,2532,01313352.8%$2,524$7911,7334831.3%$2,188$9291,25915742.5%$8,978$3,9735,0052444.3%

    8$689$3723171154.0%$689$3723171154.0%

    6()$41$26822740653.7%$41$26822740653.7%

    $32,278$28,0494,22911586.9%$4,165$9953,17015423.9%$2,498$1,2251,27323649.0%$38,941$30,2698,6723377.7%

  • ( : ) :1) , Gross notional : ( ).

    2

    01.1202.602.902.1201.1202.602.902.1201.1202.602.902.12

    17

    810

    1)

    : 1) , Gross notional

  • 1. RAPM III. RAPM/ (CaR)

    (CaR) - (FTP) - (ABC) KPI / : UL : VaR, EaR (EL) RM KPI KPIB/S

  • 2. III. RAPM (EL:Expected Loss)

    (UL:Unexpected Loss) (EL) = (EaD) (EDF) (LGD)(UL) = (EaD) EL (Volatility)

  • III. RAPM (EDF:Expected Default Frequency) (EaD:Exposure at Default)HAVICS : ( ) (LGD:Loss Given Default) = 1 - : : : , 3 (EL) = (EDF) (EaD) (LGD) 2. Expected Loss

    Sheet1

    TERNH02_

    HAVETICDEDFEDFVL

    10.00031234567

    20.00280.03%0.28%0.88%1.63%2.60%4.55%7.95%

    30.0088

    40.0163

    50.026

    60.0455

    70.0795

    Sheet2

    Sheet3

  • 2. III. RAPMUnexpected Loss (UL) = EAD X {EDF(1-EDF)LGD2 }+{LGD(1-LGD)EDF}

    (UL) , - S&P A : 99.9% Probability (:)EL99.9% : Capital can be defined as : A buffer against future,unidentified,even relatively improbable losses, whilst still leaving the bank able to operate at the same level of capacityUL

    M-S&P EDF

    Moody's GradeProbabilityProbabilityS&P Grade

    Alphabetical (8 Scale)Aaa0.00%0.00%AAA

    Aa0.03%0.00%AA

    A0.01%0.04%A

    Baa0.16%0.24%BBB

    Ba1.46%1.01%BB

    B7.06%5.45%B

    Caa26.16%23.69%CCC

    D100.00%100.00%D

    Alpha-Numerical (18 Scale)Aaa0.00%0.00%AAA

    Aa10.00%0.00%AA+

    Aa20.00%0.00%AA

    Aa30.09%0.00%AA-

    A10.00%0.03%A+

    A20.00%0.04%A

    A30.00%0.07%A-

    Baa10.05%0.21%BBB+

    Baa20.07%0.21%BBB

    Baa30.44%0.32%BBB-

    Ba10.72%0.67%BB+

    Ba20.70%0.86%BB

    Ba32.58%1.32%BB-

    B14.16%2.73%B+

    B28.86%8.94%B

    B313.75%11.48%B-

    Caa27.56%23.69%CCC

    D100.00%100.00%D

    &C&"Arial,"&16Default Rate Comparison Table(Moody's vs. SnP)&18

    &L&A&R&D

    M-S&P EDF

    00

    00

    00

    00

    00

    00

    00

    00

    Probability

    Probability

    Grades

    Default Rates

    Alphabetical Rating

    Sheet1

    00

    00

    00

    00

    00

    00

    00

    00

    00

    00

    00

    00

    00

    00

    00

    00

    00

    00

    Grades

    Default Rates

    Alpha-Numerical Rating

    TM

    Target Rating (S&P Grade)

    A99.90%28,000

    BBB99.80%26,000

    BB99.00%22,000

    CDFVersionv2.5

    #Date11/15/99

    #DataTypeTransitionProbabilities

    #RatingSystemFromRankToRankFromRatingToRatingHorizonInYearsProbabilityName

    Moody0800AaaAaa10.886582962

    Moody0801AaaAa10.102936599

    Moody0802AaaA10.01016914

    Moody0803AaaBaa10

    Moody0804AaaBa10.0003113

    Moody0805AaaB10

    Moody0806AaaCaa10

    Moody0807AaaD10

    Moody0810AaAaa10.010787263

    Moody0811AaAa10.887044912

    Moody0812AaA10.095529509

    Moody0813AaBaa10.003422881

    Moody0814AaBa10.001452132

    Moody0815AaB10.001452132

    Moody0816AaCaa10

    Moody0817AaD10.000311171

    Moody0820AAaa10.000625195

    Moody0821AAa10.028758987

    Moody0822AA10.902052725

    Moody0823ABaa10.059185162

    Moody0824ABa10.007398145

    Moody0825AB10.001771387

    Moody0826ACaa10.000104199

    Moody0827AD10.000104199

    Moody0830BaaAaa10.000529101

    Moody0831BaaAa10.003386243

    Moody0832BaaA10.070687831

    Moody0833BaaBaa10.852380952

    Moody0834BaaBa10.060529101

    Moody0835BaaB10.01005291

    Moody0836BaaCaa10.000846561

    Moody0837BaaD10.001587302

    Moody0840BaAaa10.00032769

    Moody0841BaAa10.00076461

    Moody0842BaA10.005570726

    Moody0843BaBaa10.056799563

    Moody0844BaBa10.835718187

    Moody0845BaB10.080830147

    Moody0846BaCaa10.005352267

    Moody0847BaD10.01463681

    Moody0850BAaa10.000108648

    Moody0851BAa10.000434594

    Moody0852BA10.001738375

    Moody0853BBaa10.006518905

    Moody0854BBa10.065949587

    Moody0855BB10.827031725

    Moody0856BCaa10.027596697

    Moody0857BD10.070621469

    Moody0860CaaAaa10

    Moody0861CaaAa10

    Moody0862CaaA10.0066

    Moody0863CaaBaa10.0105

    Moody0864CaaBa10.0305

    Moody0865CaaB10.0611

    Moody0866CaaCaa10.6297

    Moody0867CaaD10.2616

    Moody0870DAaa10

    Moody0871DAa10

    Moody0872DA10

    Moody0873DBaa10

    Moody0874DBa10

    Moody0875DB10

    Moody0876DCaa10

    Moody0877DD11

    Moody1800AaaAaa10.88650487

    Moody1801AaaAa110.067993434

    Moody1802AaaAa210.02867067

    Moody1803AaaAa310.00619044

    Moody1804AaaA110.00636344

    Moody1805AaaA210.002768819

    Moody1806AaaA310.00113369

    Moody1807AaaBaa110

    Moody1808AaaBaa210

    Moody1809AaaBaa310

    Moody18010AaaBa110.000374639

    Moody18011AaaBa210

    Moody18012AaaBa310

    Moody18013AaaB110

    Moody18014AaaB210

    Moody18015AaaB310

    Moody18016AaaCaa10

    Moody18017AaaD10

    Moody1810Aa1Aaa10.02954196

    Moody1811Aa1Aa110.794978231

    Moody1812Aa1Aa210.081500877

    Moody1813Aa1Aa310.065241299

    Moody1814Aa1A110.023779793

    Moody1815Aa1A210.00187594

    Moody1816Aa1A310

    Moody1817Aa1Baa110.0020546

    Moody1818Aa1Baa210

    Moody1819Aa1Baa310

    Moody18110Aa1Ba110.0010273

    Moody18111Aa1Ba210

    Moody18112Aa1Ba310

    Moody18113Aa1B110

    Moody18114Aa1B210

    Moody18115Aa1B310

    Moody18116Aa1Caa10

    Moody18117Aa1D10

    Moody1820Aa2Aaa10.007865794

    Moody1821Aa2Aa110.025048814

    Moody1822Aa2Aa210.809341092

    Moody1823Aa2Aa310.092698691

    Moody1824Aa2A110.042251921

    Moody1825Aa2A210.011309768

    Moody1826Aa2A310.007945039

    Moody1827Aa2Baa110.00178953

    Moody1828Aa2Baa210.000517964

    Moody1829Aa2Baa310

    Moody18210Aa2Ba110

    Moody18211Aa2Ba210

    Moody18212Aa2Ba310.000615693

    Moody18213Aa2B110.000615693

    Moody18214Aa2B210

    Moody18215Aa2B310

    Moody18216Aa2Caa10

    Moody18217Aa2D10

    Moody1830Aa3Aaa10.001227397

    Moody1831Aa3Aa110.003919388

    Moody1832Aa3Aa210.032101321

    Moody1833Aa3Aa310.805814987

    Moody1834Aa3A110.100973783

    Moody1835Aa3A210.037527537

    Moody1836Aa3A310.008967672

    Moody1837Aa3Baa110.002087938

    Moody1838Aa3Baa210.002564589

    Moody1839Aa3Baa310.0019579

    Moody18310Aa3Ba110

    Moody18311Aa3Ba210.000891124

    Moody18312Aa3Ba310.00107524

    Moody18313Aa3B110

    Moody18314Aa3B210

    Moody18315Aa3B310

    Moody18316Aa3Caa10

    Moody18317Aa3D10.000891124

    Moody1840A1Aaa10.000522515

    Moody1841A1Aa110.000854459

    Moody1842A1Aa210.006723763

    Moody1843A1Aa310.048310222

    Moody1844A1A110.813398563

    Moody1845A1A210.077102221

    Moody1846A1A310.029928254

    Moody1847A1Baa110.008149694

    Moody1848A1Baa210.003287695

    Moody1849A1Baa310.001590131

    Moody18410A1Ba110.004595039

    Moody18411A1Ba210.003384778

    Moody18412A1Ba310.000652456

    Moody18413A1B110.001500209

    Moody18414A1B210

    Moody18415A1B310

    Moody18416A1Caa10

    Moody18417A1D10

    Moody1850A2Aaa10.000307841

    Moody1851A2Aa110.000674876

    Moody1852A2Aa210.002177912

    Moody1853A2Aa310.006464492

    Moody1854A2A110.057484474

    Moody1855A2A210.806879309

    Moody1856A2A310.074043732

    Moody1857A2Baa110.032946175

    Moody1858A2Baa210.008086815

    Moody1859A2Baa310.004378315

    Moody18510A2Ba110.002877908

    Moody18511A2Ba210.001151888

    Moody18512A2Ba310.001339766

    Moody18513A2B110.000310772

    Moody18514A2B210.00059919

    Moody18515A2B310

    Moody18516A2Caa10.000276535

    Moody18517A2D10

    Moody1860A3Aaa10.000501942

    Moody1861A3Aa110.000963522

    Moody1862A3Aa210.000200501

    Moody1863A3Aa310.002243478

    Moody1864A3A110.015006856

    Moody1865A3A210.089203883

    Moody1866A3A310.755448149

    Moody1867A3Baa110.067635625

    Moody1868A3Baa210.039512545

    Moody1869A3Baa310.014392232

    Moody18610A3Ba110.006324211

    Moody18611A3Ba210.001853955

    Moody18612A3Ba310.002352914

    Moody18613A3B110.003959186

    Moody18614A3B210.000401002

    Moody18615A3B310

    Moody18616A3Caa10

    Moody18617A3D10

    Moody1870Baa1Aaa10.000525606

    Moody1871Baa1Aa110

    Moody1872Baa1Aa210.001277539

    Moody1873Baa1Aa310.001290683

    Moody1874Baa1A110.001663639

    Moody1875Baa1A210.031473455

    Moody1876Baa1A310.084928926

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    SnP847BBD10.01010101

    SnP850BAAA10

    SnP851BAA10.001

    SnP852BA10.0028

    SnP853BBBB10.0046

    SnP854BBB10.0695

    SnP855BB10.828

    SnP856BCCC10.0396

    SnP857BD10.0545

    SnP860CCCAAA10.00189981

    SnP861CCCAA10

    SnP862CCCA10.00369963

    SnP863CCCBBB10.00749925

    SnP864CCCBB10.02429757

    SnP865CCCB10.121287871

    SnP866CCCCCC10.604439556

    SnP867CCCD10.236876312

    SnP870DAAA10

    SnP871DAA10

    SnP872DA10

    SnP873DBBB10

    SnP874DBB10

    SnP875DB10

    SnP876DCCC10

    SnP877DD11

  • 3. RAPM III. RAPM

    (RAR) RAPM

    RAR : Risk adjusted Return, RAROC : Risk adjusted Return on Capital, RAROA : Risk adjusted Return on Asset, SVA : Shareholder Value Added, RM : Relationship Manager

    RM

    (RAR)--

    - (EL)

    -

    (RAROC)(--)/

    - ROE

    -

    (RAROA)(--)/

    -

    - ROA

    -

    (SVA)---hurdle rate

    - (Hurdle rate)

    -

  • 3. RAPM III. RAPMHurdle Rate Hurdle rate - (Minimum acceptable rate of return) - (Required rate of return) - (Opportunity cost of capital) Hurdle rate - CAPM(Capital Asset Pricing Model) Hurdle Rate = Rf+(Rm-Rf) - Risk Premium(Rm-Rf) 6%8% , 3%5% 1)

    Rf : (Risk free rate), Rm: (Market rate of retrrn), : beta( ) 1) Marc Lore and Lev Borodovsky The Professionals Handbook of Financial Risk Management Endorsed by GARP. Pp 664 2003 Hurdle Rate15%

  • 4. RAPM III. RAPM(1) RAPM Simulation ? * (RAR) 40% (SVA) 50%

    Sheet1

    ABCABCABCABC

    ELELELELELELELEL

    230.0%33.3%0.0%33.3%10.0%0.0%0.0%0.0%

    3427.1%42.9%4.8%35.7%120.0%25.0%0.0%25.0%

    41264.8%40.5%2.4%29.6%772.6%23.4%1.3%16.9%

    52055.4%50.2%2.0%41.0%3693.5%29.8%0.5%20.9%

    6882.3%42.2%0.0%36.4%3494.9%34.7%1.4%26.1%

    760.0%66.7%0.0%50.0%120.0%41.7%0.0%41.7%

    4704.7%45.5%1.9%36.78203.9%31.3%1.0%23.0%

    Sheet2

    ABC ABC ABC

    (EL) (EL)

    (CaRxh)

    4701.9%4.7%45.5%61.7%

    8201.0%3.9%31.3%46.5%

    Sheet3

    Chart1

    0.0190.01

    0.0470.039

    0.4550.313

    0.6170.465

    Sheet1

    ABCABCABCABC

    ELELELELELELELEL

    230.0%33.3%0.0%33.3%10.0%0.0%0.0%0.0%

    3427.1%42.9%4.8%35.7%120.0%25.0%0.0%25.0%

    41264.8%40.5%2.4%29.6%772.6%23.4%1.3%16.9%

    52055.4%50.2%2.0%41.0%3693.5%29.8%0.5%20.9%

    6882.3%42.2%0.0%36.4%3494.9%34.7%1.4%26.1%

    760.0%66.7%0.0%50.0%120.0%41.7%0.0%41.7%

    4704.7%45.5%1.9%36.78203.9%31.3%1.0%23.0%

    Sheet2

    ABC ABC ABC

    (EL) (EL)

    (CaRxh)

    4701.9%4.7%45.5%61.7%

    8201.0%3.9%31.3%46.5%

    1.9%4.7%45.5%61.7%

    1.0%3.9%31.3%46.5%

    0.0190.01

    0.0470.039

    0.4550.313

    0.6170.465

  • 4. RAPM III. RAPM 2 : (EL) - , RAR 40% 2 : KPI

    KPI ( : ) 1 ~ 4 : EL 5 ~ 6 : EL 6- : 100% 1 : RAPM RAR

  • ) 1, 8%, 5(EL 2.4%), (FTP) 5%, 1% 5%1%2%2.4%EL5%0.8%1%1.2%1%5%0.4%RAREL( )EL(100%)(RAR )RARELEL()(RAR )5 EL50% EL RAPM EL : , Flow : , Stock , , III. RAPMRAR 4. RAPM

  • 4. RAPM III. RAPM(2) RAROC ? RAROC RAR() KPI (/ ) - KPI RAR - RM() RAROC RAROC RAROC Investment Bank , Commercial Bank RAROC RAROC

    ELCaRRAR1(-)RAROC1(-)/RAR2(-)RAROC2(-)/

    A$40,000$20,000$400$280$720$320114%$520$12043%

    B$20,000$46,000$200$140$720$520371%$260$6043%

    ELCaRRAR1(-)RAROC1(-)/RAR2(-)RAROC2(-)/

    A$9,700$32,400$103$55$293$190345%$223$120219%

    B$85,400$49,300$951$518$1,351$40077%$1,224$27353%

    ELCaRRAR1(-)RAROC1(-)/RAR2(-)RAROC2(-)/ELR

    A$9,700$32,400$137$84$334$197235%$215$7893%0.0141237113

    B$21,350$12,325$251$135$391$140104%$379$12895%

    $21,350$12,325$238$130$338$10077%$306$6853%

    $5,338$3,081$63$34$98$35104%$95$3295%

    $21,350,000$12,325,000$221$113$352$131116%$336$115102%

    $16,423$9,481$193$104$301$108104%$292$9895%

    $703$536

    $3,243$2,938

  • 4. RAPM III. RAPM(3) (EL) () (EL) , Mismatch 2 : KPI (RAR) EL ( ) ( ) RAPM EL / . ( B/S )

    vs

  • 4. RAPM III. RAPM (Commitment Fee) (75% 25%) (A , 2001.6 ) - : 4(EDF=1.63%, EL 1.3%) - : (500), (10) = 2.0% - : =4.9 49% - (EaD=+*) 75% 377 EaD - (4) EL RAR , RAROC (Expected Loss)Minimum Commitment Fee Minimum Commitment Fee

  • 5. III. RAPM (: ) MOU (RAR)

    Chart3

    6670130.04050.00890.0316

    7075120.03730.00670.0305

    7264180.04410.00550.0386

    7670120.040.00470.0354

    8142760.04840.0040.0445

    MOU

    MOU MOU % % %

    1667,0132,2924.05%5040.89%1,7883.16%

    3707,5122,2413.73%4050.67%1,8363.05%

    6726,4182,6324.41%3300.55%2,3023.86%

    9767,0122,5244.00%2950.47%2,2293.54%

    12814,2763,2424.84%2660.40%2,9764.45%

    MOU

    1667,0134.05%0.89%3.16%

    3707,5123.73%0.67%3.05%

    6726,4184.41%0.55%3.86%

    9767,0124.00%0.47%3.54%

    12814,2764.84%0.40%4.45%

    136912

    667,013707,512726,418767,012814,276

    MOU 4.05%3.73%4.41%4.00%4.84%

    0.89%0.67%0.55%0.47%0.40%

    3.16%3.05%3.86%3.54%4.45%

    0000

    0000

    0000

    0000

    0000

    &A

    Page &P

    MOU

    RAR

    6912

    2.011.861.84

    RM 1.171.471.33

    1.611.691.65

    0.860.840.98

    RAR

    0000

    0000

    0000

    RM

    EL100RAR

    20020330,841,669,870,97330,300,772,54851,144,240,57517,581,313,714

    20020632,193,841,387,62025,132,730,81851,998,517,65635,314,590,886

    20020934,555,473,395,36123,309,274,85758,215,096,99331,298,976,500

    20021237,185,363,694,08523,902,983,05961,263,211,33149,477,317,668

    134,776,348,348,039102,645,761,283222,621,066,555133,672,198,767

    ELRAR

    1.16%1.95%0.67%

    0.95%1.97%1.29%

    0.82%2.05%1.10%

    0.76%1.94%1.62%

    5

    ExposureRAR

    127541.3%

    LG114770.6%

    SK52810.1%

    50391.7%

    28360.4%

    5

    00

    00

    00

    00

    00

    &A

    Page &P

  • 5. III. RAPM

    (EL) - EL ( ) EL - EL

    2002.62002.12330(EL)402805052560

    Chart1

    0.03102892370.4268466372

    0.03111293410.396339118

    0.03108560610.4211074301

    0.03067093850.4340732695

    0.03083722680.4545455339

    0.03044433420.4665514513

    0.0304830.4762

    0.0305770.4931

    0.0303730.5129

    0.03029530270.5267444531

    0.0302670780.5495395154

    0.03029988650.5505751183

    EDF

    EDF

    2002 EDF

    BRRREC (2)

    rmynbrr10yymm_TYPE__FREQ_pjaneadeadedfeadedf2elel100edfedf2rv_damrv_prdrv_kjlrv_manlgd1lgd1_lgd2

    200201026276428,613,288,453,84335,283,883,429,0511,094,820,926,556702,078,479,96821,362,424,60033,239,886,0583.10%1.99%42.68%11.76%0.10%0.36%45.09%45.09%79.29%

    200202026843229,657,102,382,91636,113,704,752,7611,123,603,316,853720,280,377,47821,249,068,27833,260,741,4633.11%1.99%39.63%11.22%0.29%0.36%48.49%48.49%79.58%

    200203028499930,442,417,099,15535,242,690,852,8171,095,540,404,771705,430,027,01718,033,267,35028,489,937,0783.11%2.00%42.11%19.32%0.28%0.37%37.91%37.91%80.76%

    200204028550131,157,389,513,94335,808,613,114,3231,098,283,769,185702,711,065,60017,094,984,69227,093,205,5903.07%1.96%43.41%18.69%0.30%0.37%37.24%37.24%80.60%

    200205029430031,884,423,296,82535,763,933,209,5821,102,860,518,192705,558,398,49517,026,855,48326,788,614,3183.08%1.97%45.45%18.22%0.26%0.34%35.73%35.73%80.04%

    200206029103932,193,841,387,62036,039,659,266,2391,097,203,429,607695,041,668,30715,754,696,32325,132,730,8183.04%1.93%46.66%18.12%0.26%0.21%34.76%34.76%80.18%

    200207029789732,857,233,546,41736,859,239,408,3751,123,588,454,942711,924,057,17416,237,361,14125,897,885,5203.05%1.93%47.62%18.11%0.25%0.18%33.84%33.84%80.20%

    200208029542233,532,045,159,09937,331,567,398,2291,141,469,381,279716,418,830,16215,918,900,43825,888,802,6243.06%1.92%49.31%17.27%0.26%0.18%32.97%32.97%80.98%

    200209029946534,555,473,395,36138,561,210,572,5461,171,236,544,296728,750,375,73614,066,066,64723,309,274,8573.04%1.89%51.29%18.45%0.37%0.19%29.70%29.70%81.53%

    200210034267835,974,582,844,54039,871,895,408,1091,207,931,140,517748,438,610,77614,673,602,81624,375,331,5123.03%1.88%52.67%17.73%0.31%0.19%29.10%29.10%81.66%

    200211033461336,895,027,577,48240,777,094,379,1171,234,203,497,857761,971,960,12613,824,875,23523,285,059,0623.03%1.87%54.95%16.73%0.32%0.18%27.81%27.81%82.53%

    200212034078037,185,363,694,08541,016,740,263,4441,242,802,573,223766,387,358,72414,147,875,51723,902,983,0593.03%1.87%55.06%17.06%0.31%0.18%27.39%27.39%82.68%

    1200201124121,203,600,96039,209,541,13911,762,8623,528,859100,440334,7860.03%0.01%16.91%41.20%0.00%0.00%41.89%41.89%80.00%

    1200202128520,571,720,59639,157,787,25411,747,3363,524,20187,876292,9140.03%0.01%20.04%39.30%0.02%0.00%40.63%40.63%79.99%

    1200203133868,644,357,73482,130,469,64224,639,1417,391,742246,327821,0980.03%0.01%3.75%47.19%0.01%0.00%49.05%49.05%80.00%

    1200204128157,667,787,01670,182,924,53021,054,8776,316,463207,938693,1280.03%0.01%1.60%48.32%0.01%0.00%50.07%50.07%80.00%

    1200205123043,880,147,72156,221,877,78216,866,5635,059,969172,914576,3840.03%0.01%1.86%47.83%0.01%0.00%50.30%50.30%80.00%

    1200206129434,824,805,07047,614,468,67914,284,3414,285,302140,988469,9570.03%0.01%2.26%47.70%0.00%0.00%50.04%50.04%80.00%

    1200207122424,136,675,65637,497,550,71411,249,2653,374,780115,328384,4410.03%0.01%2.89%46.81%0.00%0.00%50.30%50.30%80.00%

    1200208130922,748,458,67136,457,868,67610,937,3613,281,208113,791379,3100.03%0.01%1.78%47.18%0.00%0.00%51.04%51.04%80.00%

    1200209112304681,934,422,440815,487,969,240244,646,39173,393,9172,284,9507,616,7030.03%0.01%0.41%52.24%0.00%0.00%47.35%47.35%80.00%

    1200210112626743,012,990,974860,431,870,857258,129,56177,438,8682,520,7338,402,6310.03%0.01%0.76%51.33%0.00%0.00%47.91%47.91%80.00%

    1200211112605737,883,677,039848,208,189,501254,462,45776,338,7372,412,2988,040,9960.03%0.01%0.77%51.18%0.00%0.00%48.06%48.06%80.00%

    1200212113416764,207,535,473883,386,111,431265,015,83379,504,7502,581,9708,606,9400.03%0.01%0.04%52.16%0.00%0.00%47.80%47.80%80.00%

    220020119630653,183,583,512881,996,497,7151,549,757,422464,927,22727,087,33290,291,0440.18%0.05%0.17%13.76%0.00%0.00%86.07%86.07%79.70%

    220020219620748,491,551,080943,826,100,2941,612,818,108483,845,43226,089,69686,965,9040.17%0.05%0.19%11.64%0.00%0.00%88.18%88.18%79.72%

    2200203111130770,281,088,6921,164,714,700,2471,946,831,425584,049,42825,757,41585,857,9480.17%0.05%0.19%34.67%0.00%0.00%65.14%65.14%79.71%

    2200204110169781,401,350,8751,145,925,855,4031,926,775,309578,032,59323,954,17079,847,3690.17%0.05%0.17%36.57%0.00%0.00%63.26%63.26%79.70%

    2200205110896762,120,197,370990,390,453,0971,634,152,701490,245,81019,119,01663,730,0710.17%0.05%0.13%42.19%0.00%0.00%57.68%57.68%79.61%

    2200206110738781,426,293,286994,584,060,6061,434,195,843430,258,75316,327,25954,423,9630.14%0.04%0.19%41.78%0.00%0.00%58.03%58.03%79.56%

    2200207111562836,557,002,1901,035,603,194,9991,485,870,864445,761,25917,213,36657,377,8690.14%0.04%0.17%42.69%0.00%0.00%57.14%57.14%79.57%

    2200208111630777,317,267,151973,025,341,8021,390,159,622417,047,88716,318,90054,396,3420.14%0.04%0.18%41.90%0.00%0.00%57.92%57.92%79.54%

    22002091629127,430,298,672214,716,540,372396,637,111118,991,1335,420,19418,067,3360.18%0.06%0.67%28.90%0.00%0.00%70.43%70.43%78.68%

    22002101707106,819,413,801198,154,125,227358,153,813107,446,1444,934,52716,448,4560.18%0.05%0.71%30.42%0.00%0.00%68.87%68.87%78.51%

    22002111686103,013,953,718194,435,140,360352,393,387105,718,0164,730,06215,766,8440.18%0.05%0.56%30.09%0.00%0.00%69.35%69.35%78.50%

    22002121698105,939,938,230197,008,294,074359,042,090107,712,6274,725,30715,751,0290.18%0.05%5.33%30.04%0.00%0.00%64.63%64.63%79.92%

    3200201190251,742,810,301,6352,581,900,933,13825,282,204,2337,584,661,270438,345,7141,461,152,4330.98%0.29%6.63%5.61%0.12%0.00%87.65%87.65%77.64%

    3200202197191,743,888,234,7532,589,905,556,12825,284,805,0527,585,441,516395,067,6871,316,892,3410.98%0.29%6.95%4.85%0.33%0.00%87.86%87.86%77.27%

    32002031105591,706,198,713,0162,356,487,130,80522,977,261,6796,893,178,504333,313,9171,111,046,5660.98%0.29%7.26%18.38%0.24%0.00%74.12%74.12%76.82%

    32002041148111,835,549,238,5192,546,550,451,73725,114,633,2627,534,389,979344,824,4671,149,414,8790.99%0.30%6.23%21.66%0.22%0.00%71.88%71.88%77.46%

    32002051143621,879,644,876,1832,513,540,496,27924,432,769,8677,329,830,960337,531,9791,125,106,5100.97%0.29%6.82%22.99%0.23%0.00%69.96%69.96%77.50%

    32002061149402,011,238,257,8472,706,110,512,51825,558,725,5897,667,617,677340,659,5621,135,532,1150.94%0.28%6.58%23.57%0.22%0.00%69.64%69.64%77.62%

    32002071164222,153,178,208,1782,869,165,634,36027,331,537,2448,199,461,173372,285,9501,240,953,2140.95%0.29%7.05%23.85%0.20%0.00%68.90%68.90%77.59%

    32002081171861,644,597,624,6982,151,925,040,34321,047,033,5406,314,110,062246,975,712823,252,6770.98%0.29%9.00%30.72%0.31%0.00%59.97%59.97%76.79%

    32002091149201,469,484,834,0992,071,925,494,17920,055,486,6026,016,645,981206,758,792689,196,1840.97%0.29%9.30%35.37%0.28%0.00%55.05%55.05%75.95%

    32002101166541,560,072,651,9652,134,483,211,43020,707,848,8346,212,354,650216,482,038721,606,8750.97%0.29%10.05%35.69%0.27%0.00%53.99%53.99%76.00%

    32002111157221,525,557,318,9492,091,006,324,69020,169,396,8216,050,819,046191,122,706637,075,8000.96%0.29%16.04%34.22%0.28%0.00%49.45%49.45%77.71%

    32002121159341,462,883,362,1552,035,217,937,74719,646,782,6165,894,034,785194,471,717648,239,0240.97%0.29%16.25%33.78%0.02%0.00%49.95%49.95%77.77%

    42002011390513,906,714,396,0545,431,545,856,83789,614,124,57726,884,237,3731,303,479,0144,344,930,0691.65%0.49%15.62%12.53%0.01%0.00%71.85%71.85%79.46%

    42002021382133,881,298,528,1405,331,482,042,73288,165,350,25426,449,605,0761,186,095,3073,953,650,7091.65%0.50%14.23%12.12%0.16%0.00%73.50%73.50%79.54%

    42002031406434,297,618,554,7875,281,824,908,46887,317,532,99626,195,259,899986,772,7543,289,242,5631.65%0.50%13.27%30.74%0.11%0.00%55.88%55.88%79.37%

    42002041372464,287,457,875,3475,268,393,243,99483,456,274,91625,036,882,475894,227,2842,980,757,7431.58%0.48%15.58%29.31%0.29%0.00%54.82%54.82%79.26%

    42002051397864,387,435,342,8425,265,155,036,38483,616,222,16925,084,866,651876,618,4082,922,061,2931.59%0.48%15.68%32.09%0.29%0.00%51.94%51.94%79.22%

    42002061376154,352,822,561,7515,190,857,517,00482,388,694,08324,716,608,225841,897,9492,806,326,3381.59%0.48%15.47%30.38%0.39%1.47%52.29%52.29%79.25%

    42002071376254,286,124,037,6605,106,915,638,09881,172,128,49424,351,638,548838,279,0462,794,263,4371.59%0.48%15.75%31.36%0.29%1.49%51.11%51.11%79.30%

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