1. - Email:shang@gcprm.com (GCPRM) www.gcprm.com 1

2. GTSMGCPRM Ministry of Finance.GTSM Auditing Department -2006APEC Introductory to Advanced Structured Finance Master ProgramVaR ------------------------------------------------------------------------------------------ GCPRM GCPRMPRMIA2 3. 2012-GCPRM 2012/7/6 ERM Frameworks, Fundamentals and Cultures- New views on the Basel II & IIIAccords and Dodd-Frank 2012/7/13 The Governance and Board of Directors Roles in Enterprise Risk Management 2012/7/20 ERM Case Study 2012/7/27 -Interest-Rate Risk and Hedging with Derivative Instruments 2012/8/3 -Market Risk and Liquidity Risk Management 2012/8/10 -Retail and Commercial Credit Risk Management 2012/8/17 -Operational Risk, Risk Capital Attribution and Risk-Adjusted PerformanceMeasurement GCPRMPRMIA3 4. 2012-GCPRM () () () () () () () () () () ()GCPRMPRMIA 4 5. 5 6. (,ERM)High-Performance Risk Management Analytic Framework-2011 Evolving from Quantitative Risk Management to a High-Performance RiskManagement Analytic FrameworkInsights on a new direction for risk management byMyron S. Scholes,PhD and Nobel Laureate, and Michael Stefanick, Director of Risk Practice at SAS--Leading firms will be strongly considering implementinga high-performance risk management framework that willprovide a complete picture of firm wide risk.-- (Enterprise-wide Risk Management)GCPRMPRMIA6 7. GCPRMPRMIA 7 8. VaR GCPRMPRMIA 8 9. GCPRMPRMIA 9 10. GCPRMPRMIA 10 11. -11 12. -GCPRMPRMIA 12 13. - BASEL I 8% ==()/(+12.5) GCPRMPRMIA 13 14. - Basel II capital requirements and the business cycleGCPRMPRMIA14 15. - 2010a. Countercyclical Capital Buffer Proposal(Consultative Document). Available. /GDPGAP 10/GDP/GDPGAP GCPRMPRMIA15 16. -GCPRMPRMIA 16 17. -GCPRMPRMIA 17 18. - 2010b.Guidance for National Authorities Operating theCountercyclical Capital Buffer. Basel III0-2.5%BCBS201012(Guidance for National Authorities Operatingthe Countercyclical Capital Buffer)/(credit / GDP) GCPRMPRMIA18 19. -1 /GDP RATIOt = CREDITt / GDPt X 100% CREDIT GCPRMPRMIA 19 20. -2 GDP(credit-to-GDP gap)/GDP GAPt = RATIOt - TRENDt TREND/GDP3 GDP (CREDITt / GDPt X 100%) (TRENDt)< L()=0% (CREDITt/GDPtX100%) (TREND t)> H()=2.5% L GCPRMPRMIA 49 50. 1987 U.S. stock market crash 1990 Collapse of U.S. high yield (junk) bondmarket 1991 Oil price surge 1992 ERM ERM (European Exchange RateMechanism) crisis 1994 U.S. bond market crash 1995 Mexican Crisis 1997 Asian crisis 1998 LTCM Russian default, Ruble collapse. LTCM 1999 Gold prices 2000 TMT TMT sector collapse 2001 9-11 September 11 payments system disruption 2002 Argentine crisis 2007 U.S. sub-prime mortgage collapseGCPRMPRMIA50 51. 150,000.00100,000.00 50,000.00 0.00251 301 351 401 451 501 551 601 651 701 751 801 851 901 951 1001 1051 1101 1151 1201 1251 -50,000.00-100,000.00 -150,000.00 GCPRMPRMIA51-200,000.00 52. 99% C.I VaR2501%2.5 4 (K)5-9VaR 0-40.00 5 0.40106 0.50 7 0.65 8 0.75(K)9 0.85 10 1.00 GCPRMPRMIA52 53. :VaR (1994) VaRJ.P. Morgan Dennis Weatherstone 4:15 report (VaR)()()GCPRMPRMIA 53 54. VaR- LTCM (1998) 1998LTCM500 47LTCM10VaR3.2(99%) GCPRMPRMIA 54 55. LTCM-VaRVaR (LTCM 10VaR) VaRVaR LTCMVaRGCPRMPRMIA 55 56. VaR--2012 (VaR),LTCM.20. (J.P. MorganChase)(JPM-US) 20 Jamie Dimon GCPRMPRMIA 56 57. VaR 2012510520CEOFBICEO GCPRMPRMIA 57 58. VaR Markit CDX.NA.IG.9125CDS510 MarkitCDX.NA.IG.9CDSIG.95IG.910 10IG.9GCPRMPRMIA 58 59. VaR VAR201167001.2920121.86 VaRCDX.NA.IG.9 GCPRMPRMIA 59 60. -VaRLTCM19989GCPRMPRMIA60 61. VaR- (LTCM) VaRGCPRMPRMIA 61 62. : (:) GCPRMPRMIA 62 63. Q & 63