the comparative of risk management
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tisk management bank ocbc amislamicTRANSCRIPT
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THE COMPARATIVE ANALYSIS OF RISK MANAGEMENTbetween (based on the risk disclosure of 2011)
INTRODUCTIONRISK MANAGEMENT STRATEGYRisk management processesCredit Risk Process
Identify credit risk of transaction
Select asset & portfolio mixInternal credit rating models PD, LGD, EAD A-IRB F-IRB Standardised approach for other. Portfolio limits , counterparty limits, benchmark returnsCollateral and tailored structures
Monitor and report portfolio mixReview customer under Watchlist Undertake post morterm review
Internal credit rating system Probability of default (PD) Loss given default (LGD) Exposure at default (EAD)
Market Risk Process
Identify market risk within existing and new products
Review market related information such as market trends and economic dataValue At Risk (VaR)Other risk measures (PV01)Stress testing & scenario analysisVaR limits Model & valuation controls
Periodical review & reporting VaRAnnual lost limit (ALL)Historical stress lost (HSL)Other detail management control.Var limitHsl limitLoss limitConcentration limits Greek limitsPresent value of one basis point limits (PV01)Stealth limits Others
Monitor limitsPeriodical review & reporting
Liquidity Risk Process
Identify liquidity risk within existing and new business activities
Review market related information such as market trends and economic dataLiquidity risk limitStress testing & scenario analysisContingency funding plan
Periodical review & reporting New liquidity framework (NLF) limitLiquidity concentration ratiosLiquidity coverage ratios (LCR) Financing to deposit ratio mn(FDR) Other detail Monitor limitsPeriodical review & reporting
Operational Risk ProcessIdentify and analyse risk in key processes/ activities within line of business
Incident management & data collection
Risk and control self assessment
Key risk indicators
Key control testing Policies addressing control and governance requirements to mitigate specific operational risk
Advisory establishment of internal control
Contingency planning Monitoring & reporting of loss incidents by event type, portfolio and line of business and entity, reporting of GRAF management triggers, risk profile status, key risk indicator breaches and key control testinf exceptions.
Periodical review of risk profile within line of business
Operational Risk Process Cont.
Shariah risk Corporate governance BOARD RESPONSIBILITY AND OVERSIGHTBANKDIRECTORSINDEPENDENT NON-INDEPENDENTOCBC53AmIslamic48Shariah Governance
SHARIAH GOVERNANCE STRUCTURE
Shariah Committee Report