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1、Intelligent Enterprise Risk Management Beyond Basel II,Malcolm ListerGeneral Manager-Financial Services Australia&New Zealand SAS Institute Australia Pty Ltd,Basel II impacts all levels of the Enterprise,Regulators,Board,Business units,Group Risk management,intelligent Enterprise Risk Management is
2、needed to leverage the mass of data for competitive advantage,Operating units,Risk management departments,ENTERPRISE RISK PLATFORMRAPM-Optimization Enterprise-Wide Business Unit,Basel is only a catalyst-Enterprise Risk Management Must Measure&Optimize All Types of Risk Capital,A true enterprise risk
3、 framework gives an organization the ability to examine all of the layers within it.The result is a core that drives risk adjusted performance management throughout the organization.,Enterprise Risk Management Framework layers of sophistication,Business Unit Exposures,Enterprise Risk Exposures,Optim
4、ized Risk Capital,Risk Adjusted Performance Management,Substantial ROI comes from the changing of behavior throughout the organization,Risk Adjusted Performance Management(RAPM)This means.Risk Adjusted budgetingRisk Adjusted capital performance Risk Adjusted compensation etc.etc.Risk Adjusted Decisi
5、on Making,Risk Solution,The risk solution must incorporate the intelligence needed for RAPM to deliver needed ROI,Intelligence is the Common Denominator in Risk,Business intelligence enables organisations to leverage their information infrastructures to drive the corporate vision towards risk and re
6、ward,Forward-looking Analytic Intelligence is the Differentiator,“An Intelligence Value Chain thatgives you a complete end-to-end value proposition”,Executive Management Attitude Toward the Value of Risk-Critical for Investment in Risk Framework,Evolution of Risk Decision-Making The Future is Integr
7、ated and Forward-Looking,Presentation,Risk Dashboard and Reporting,Analysis,Data Mining,Analytics,Value at Risk Modeling,DataManagement,Data Repository,Data Cleansing,Access,Access to Multiple Data Sources,Multi-Platform,Risk Management requires an end-to-end approach,Operational Optimization,Strate
8、gic Advantage,Operational Risk is still a relatively new area Risk Management Lifecycle,Adoption,Maturity,Relatively Slower Advancement,Operational Risk,Credit Risk,Market Risk,Liquidity Risk,Asset/Liability Management,Level of Development,Operational Risk is still a new area Early Adopters Case Stu
9、dy,Major International BankHas engaged SAS to provide an Operational Risk infrastructure to meet its goalsThe bank is aiming to shifting capital reserves for the three major risk segmentsMarket Risk from 10%to 30%Credit Risk from 70%to 40%Op Risk from 20%to 30%Compliance with Basel II and the reallo
10、cation is expected will reduce capital reserves by at least 5%-resulting in$167 million in freed capital per day,Operational Risk a key area of ERM,Meridien:Key Features of Operational Risk Architecture Impacted by Basel II,Source:Meridien Research,the emphasis from the BIS is primarily around colle
11、cting and analyzing the data related to losses and key risk indicators,which then form the basis for assessing capital charge,Case Study:Major European Global BankPhase 1:Project Plan and Embedthe new Basel Accord requires that the new risk and value measures are used actively throughout the organis
12、ation,Case Study:Program RAROC 2004,Basel II-Integrated Modular Risk Architecture,Final words.,80%of all failed IT systems implementations faildue to the Organisations resistance to changeErnst&Young,It is not the strongest species that survive,nor the most intelligent,but the ones most responsive to change Charles Darwin,
