Gest%E3o Integrada Do Balanco - Uma Vis%E3o Atual - Claudio Paiva
Transcript of Gest%E3o Integrada Do Balanco - Uma Vis%E3o Atual - Claudio Paiva
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Gesto Integrada do Balano:Uma Viso Atual
Cludio Paiva
2 Congresso Internacional de
Gesto de Riscos
So Paulo, 22 de outubro de 2012
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Agenda A evoluo de ALM: evidncias recentes
Os efeitos da Crise que se iniciou em 2007 Requerimentos do negcio e demandas regulatrias Integrao entre Riscos e Finanas Perspectiva do Regulador Perspectiva dos Bancos
Gesto Integrada do Balano Balano X Capital X Liquidez Viso prospectiva
Implementando Gesto Integrada do Balano Consistncia dos dados e das premissas Integrando cenrios econmicos X opcionalidades do
balano X estratgias da IF
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A crise de 2007...
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Turner Review 2009
comissionado em outubro 2008 O que podemos aprender com a crise de
2007/2008? Modelos matemticos sofisticados falharam? Produtos complexos como crdito estruturado
Preos baseados em modelos sofisticados Ausncia de dados histricos para ratings
Riscos espalhados no balano de forma complexa epouco transparente
Hipteses de liquidez se alteraram dramaticamentedevido falta de mercado de certos produtos
Ateno como produtos/ operaes so classificadas(disponveis para negociao, etc.)
Nem todos os riscos podem ser geridos ao nvel da IF
Silos!!
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Walker Review 2009comissionado em fevereiro 2009
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G302012
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Pesquisa conduzida pela PwC
antiga mas ainda atual Balance sheet management benchmark survey
Status of balance sheet management practices amonginternational banks
2009 PricewaterhouseCoopers LLP (1 semestre 2009)
This study covers the four main areas of balance sheetmanagement, namely interest rate risk management,liquidity risk management, capital management andmanagement of discretionary investment portfolios.
Concluses da Pesquisa:The scope of balance sheet management has expanded
to embrace capital management as well as a moreholistic view of the balance sheet, although this remainsa work in progress.
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Key Findings
Balance sheet management benchmark survey
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Key Findings
Balance sheet management benchmark survey
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IRRBBIRRBB
Risco de reapreamento de
ativos, passivos e posies
fora do balano
Risco de base
Risco de curva de taxas dejuros
Opcionalidades referentes a
taxas de juros embutidas nosprodutos bancrios
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Key Findings
Balance sheet management benchmark survey
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Key Findings
Balance sheet management benchmark survey
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Transforming the CFO role
in financial institutions
A report from the EconomistIntelligence Unit in collaboration
with CFO Research Services2011
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Transforming the CFO role
in financial institutions Tighter alignment is part of the emerging
competitive landscape A central element of the integration of risk
considerations into the management and operation offinancial institutions is the improvement of alignmentbetween the risk and finance functions. The push in this
direction predates the 2008-09 global financial crisis. Alignment, of course, does not mean merger.
Structured co-operation can enhancecollaboration between finance and risk Better alignment between the risk and finance functions,
then, is both necessary and profitable. Improved dataare an important part of the picture, and financialinstitutions are working towards this aim.
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Transforming the CFO role
in financial institutions
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A comprehensive analysis by Bain & Company ofapproximately 200 banks around the world reveal how banks
are modifying a broad range of practices they relied onbefore the crisis in order to better compete in the new
environment.
2012
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"Banks future hangs in the
balance sheet" Leading banks now recognize that the ability to fully
account for risk, capital and liquidity in line decisionswill be a source of competitive advantage.
Meeting the new standards will put a big dent in
banks return on equity and make it much harder forthem to exceed their cost of capital. As banks begin to
come to grips with these new realities, it is clear that
many have been using an incomplete map to guide
their business. The pursuit of revenue and earnings
growth with insufficient attention to the balance sheet
ran them into a ditch.
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O QUE DIZEM OS
REGULADORES?
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Testes de stress regulatrios
2004BCBSpublishesBas
elIIrulesrequiring
stresstesting,underPillarI
andasacomponent
ofPillarIIICAAP
2008 2009 2010 2011 2012
2016StartofphasinginofBaselIII
Conservation
Buffer
2019Fullimplementa
tionofBaselIII
Conservation
Buffer
May 2009 BCBSpublishes principles forsound stress testingpractices and supervision
Jun 2010 EBAaugments aggregatedstress testing withinstitution-level stresstesting
Mar 2011 - EBA issues2nd round ofinstitution-level stresstesting
Jul 2008 USagencies issue finalguidance about PillarII supervisory reviewprocess, endorsingstress testing as animportantcomponent of PillarII ICAAP
Jan 2009 Federal Reserveannounces SCAP
Nov 2011 - US Fedannounces CCAR withaggregated andinstitution-level tests
May 2009 EBAannounces EU-wideaggregate stress test
Mar 2012 - USFed announcesCCAR results
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Testes de Stress
SCAP, CCAR, EBA
Stress Testing Banks
Til Schuermann, 2012
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Testes de Stress
SCAP, CCAR, EBA Exemplo: Supervisory Capital Assistance Program
(SCAP)
Construo de um modelo de gesto integrada de riscospara efetuar testes de stress em vrios componentessimultaneamente:
Receitas
Perdas Requerimentos de capital Novos cenrios de volumes e demais opcionalidades Restries de liquidez
Objetivo: prover suporte consistente do plano denegcios do banco.
Validao dos inputs parte crtica do processo!
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Attempt to evaluate capital planning process of 30 largest
BHCs, to assess their ability to continue operations through
economic and financial market stress
Focus not on ability to raise capital but ability to manage capital
In addition to stress testing, evaluated quality of each BHCs
capital planning process Stress test component involved 4 scenarios and 25 variables
Assessed ability to sustain Tier 1 Common ratio > 5%, Tier 1
ratio > 6%, and Tier I Leverage Ratio > 3 or 4%, through 9
quarters in all scenarios
Not a one-off event. Designed to reveal and resolve deficiencies
in capital planning process on an ongoing basis
CCAR
Comprehensive Capital Analysis and Review
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CCAR
Comprehensive Capital Analysis and Review More than simply a stress tests. Fed also evaluates BHCs
Capital policy Comprehensive capital plan Reasonableness of assumptions and analysis underlying the
capital plan
At least four scenarios BHC Baseline
Supervisory Baseline At least one BHC Stress Supervisory Stress
BHCs submit annual capital plans to the Federal Reserve: Description of BHCs process for assessing capital adequacy
Planned capital actions (dividends, share repurchases, issuance)
BHCs capital policy governing capital distribution and issuance
Projections of sources and uses of capital over 9-quarter forward
horizon under expected and stressed economic conditions
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Testes de Stress
SCAP, CCAR, EBA
Stress Testing Banks
Til Schuermann, 2012
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Compilation of documents that form the global regulatory framework for
capital and liquidity
Date Documents
11 June 2012 Report to G20 Leaders on Basel III implementation
21 Dec 2011 Application of own credit risk adjustments to derivatives -
consultative document
20 Dec 2011 Core principles for effective banking supervision - consultative
document
19 Dec 2011 Definition of capital disclosure requirements - consultative
document
25 Oct 2011 Treatment of trade finance under the Basel capital framework
01 Jun 2011 Basel III: A global regulatory framework for more resilient banksand banking systems - revised version June 2011
20 Dec 2010 Capitalisation of bank exposures to central counterparties -
consultative document
16 Dec 2010 Basel III: International framework for liquidity risk measurement,
standards and monitoring
13 Jul 2009 Revisions to the Basel II market risk framework - final version
30 Jun 2006 Basel II: International Convergence of Capital Measurement and
Capital Standards: A Revised Framework - Comprehensive
Version
ICAAP
Basel 2.5
IRRBB
Basel III
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FSA Guidance (jan 2011)
asset & liability management
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Dear CEO ALM
FSA 2011
Our views are based on a number of in-depth reviews of treasury functions and
associated risks as part of introducing the new liquidity regime, as well as our ongoing
supervisory assessments and reviews. This work covered a wide range of firms
including both large and small banks and building societies, overseas banks operating
in the UK, and some larger investment firms. As part of this work, we have attended as
an observer a number of senior ALM committees, as described more fully in this letter,
and received senior ALM committee minutes and papers from a wide range of firms.
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Four key themes emerged from our work in this area:
1. The role of the senior ALM committee.
2. The composition and authority of the senior ALMcommittee.
3. The forward-looking nature of, and decisionsmade by, the senior ALM committee.
4. The degree of challenge observed at the seniorALM committee.
Dear CEO ALM
FSA 2011
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Dear CEO - ALM
FSA 2011
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Dear CEO - ALM
FSA 2011Qual o objetivo do ALCO?
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BIS BCBS 222consultative document junho 2012 Principles for effective risk data aggregation and
risk reporting
1. One of the most significant lessons learned from the globalfinancial crisis that began in 2007 was that banks informationtechnology (IT) and data architectures were inadequate tosupport the broad management of financial risks. Many bankslacked the ability to aggregate risk exposures and
concentrations quickly and accurately at the bank group level,across business lines and between legal entities.
4. Many in the banking industry recognise the benefits ofimproving their risk data aggregation capabilities and areworking towards this goal. ...Supervisors observe that making improvements in risk dataaggregation capabilities and risk reporting practices remainsa challenge for banks, and supervisors would like to see
more progress, ...
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BIS BCBS 222consultative document junho 2012 8. The adoption of these principles will enable fundamental
improvements to the management of banks. Theseprinciples are expected to support a banks efforts to: Enhance the infrastructure for reporting key information,
particularly that used by the board and senior management toidentify, monitor and manage risks;
Improve the decision-making process throughout the banking
organisation; Enhance the management of information across legal entities,
while facilitating a comprehensive assessment of riskexposures at the global consolidated level;
Reduce the probability and severity of losses resulting fromrisk management weaknesses;
Improve the speed at which information is available and hencedecisions can be made; and
Improve the organisations quality of strategic planning andthe ability to manage the risk of new products and services.
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Rentabilidade & adio de valor!
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O QUE OS BANCOS ACHAM
DE TUDO ISSO?
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Inside Business February 28, 2011
Brighter future for bank stocks as believers join the foldBy Patrick Jenkins
Why would you ever invest in a bank?
Its a natural enough question. Between January 2008 andDecember 2010 banks globally lost 41% of their stock
market value, much worse than the broader market (minus29%). And the reams of rules and regulations introduced
after the financial crisis threaten to drag down futureprofitability.
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September 30, 2012
Wall Street: Leaner and meanerBy Tom Braithwaite
Banks confront a post-crisis world oftougher regulations and lower profits
When Goldman Sachs went public in 1999, it was able to boast anROE of more than 40%, although it was never again to reach suchlevels. Last year it racked up its worst ever ratio: 3.6%.
If the institutions adjust to the new financial landscape, the employeeswho remain are going to have to adjust, too. Their bosses insist thatbonuses will have to fall if banks are to deliver a decent return for
investors.Some bankers are finding it hard to adapt to the new Wall Street.
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Deutsche Bank
2007/2008Consolidation of capital
management tasks
Capital & RiskCommittee
Group RiskCommittee(GRC)
Asset / LiabilityCommittee(ALCO)
CorporateInvestments /Alternative AssetsGovernanceCommittee (CI/AA)
Old setup New setup
Newly formed Capital& Risk Committee (CaR)
Composition: CRO (Chair), CFO,MRM, CRM, TCM plus ExecutiveLevel Business Heads
Key advantages
Explicit managementresponsibility for all capitaldrivers
Integrated planning andmonitoring of business andrisk profiles to maximizecapital performance
Ongoing capital consumptioncontrol
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Deutsche Bank
Annual report 2011 Deutsche Bank like all other financial institutions
will continue to be impacted both by the changingcompetitive landscape and a stricter regulatoryenvironment and it continues to operate in anenvironment that exposes it to significantlitigation risks.
Risk management, capital adequacy and balancesheet efficiency will remain increasingly importantas competitive differentiators. Deutsche BankManagement has improved our capital, liquidityand refinancing structures, which are crucial forfuture success.
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INGBarclays Global Financials Conference, 11/09/2012
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Nedbank
annual report 2011BALANCE SHEET MANAGEMENT:Over the past five years or so, and after the global financialcrisis, the landscape of banking has changed fundamentally,together with very significant regulatory developments (egBasel II and now Basel III).Accordingly, Nedbank Group has embedded worldclass balance
sheet management (BSM) across the following five corefunctions: Risk management. Funding and liquidity management. Capital management. Margin management. Strategic portfolio management (eg portfolio tilt).
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Nedbank
gesto por valor The strategic impact of Basel III internationally is
very significant, changing business models andpotentially reducing return on equity (ROE)extensively.
Maximising economic profit (EP) form part of thefour key strategic focus areas of Nedbank Group,a carefully structured, integral and holisticcomponent of the groups manage for valueemphasis, involving strategic portfoliomanagement and client value management.
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Nedbank
objetivos buscados Target an optimal balance sheet and income
statement shape and mix. Maximise Economic Profit and ROE via optimising
EP-rich activities. Optimise the strategic impact of Basel III.
Reduce TTC earnings volatility. Optimise the risk profile versus return of the
group, aligned with the approved risk appetite. Embed a culture of client value management in
all businesses.
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O QUE GESTO INTEGRADADO BALANO?
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Situao atual1. Ambiente de negcios mais desafiador
1. Mercados volteis
2. Spreads cada vez mais comprimidos
2. Maior complexidade do balano
3. Aumento do custo regulatrio1. Custos diretos (pessoal e sistemas)
2. Capital (mais e melhor)
4. Maior foco no balano atual1. E o futuro?
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Situao atual5. Processo de gesto fragmentado/ insuficiente
1. Foco restrito e/ou pouco integrado2. rea de Risco como Compliance
Gerar relatrios regulatrios
3. Finanas como anlise das demonstraes financeirasdo ano anterior
6. Ambiente interno1. Silos
Tipos de riscos Finanas/ risco reas de negcio
2. Mltiplos processos correlatos3. Processos fragmentados
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Risco
de
Liq
uidez
ICAAP
Processo fragmentado
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Gesto Integrada do Balano
definio!Gesto Integrada do Balano um conjunto deprocessos e medidas visando prover uma viso simultneae consistente do perfil de risco e de rentabilidade/valoradicionado, incluindo restries de capital, a que ainstituio est submetida visando subsidiar decisesestratgicas e o planejamento de capital da IF, observando
tanto a posio atual bem como fornecendo uma visoprospectiva dinmica.
Concerne prioritariamente o processo de tomada dedecises estratgicas em toda a Instituio
Alocao de recursos dentro da IF
Foco no comportamento futuro
Rentabilidade sustentvel (no tempo)
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Ingredientes Integrao dos diferentes aspectos da gesto do balano visandoobter uma abordagem integrada, colaborativa e consistente: ALM
IRRBB, EaR(resultados), EVE (valor econmico) NII net interest simulation
Risco de crdito/ mercado Econmico e regulatrio
Risco de liquidez
LCR, NSFR Planejamento de capital
RWA (risk-weighted assets) Alocao de capital econmico e regulatrio
Testes de stress macroeconmico Rentabilidade
FTP Taxas de juros Preo de transferncia de liquidez
RAROC
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Rentabilidade FTP
Gesto do BalanoEaR
EVE
Risco de MercadoNegociao
Risco Contraparte
Risco de Liquidez TticaEstratgica
Alocao
de Capital
Economico
Regulatrio
Risco de CrditoRWA
Previso de Perdas
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Benefcios Propiciar uma viso integrada e global de riscos da
instituio
Identificar riscos e antecipar o comportamento atual efuturo do Balano com maior antecedncia e preciso,incorporando cenrios de mercado, de comportamento e deestratgias corporativas
Aumentar a competitividade dos produtos e apoiar o seudesenvolvimento
Promover alocao efetiva e eficiente de capital e seuplanejamento futuro
Reduzir a volatilidade dos resultados
Estabelecimento de apetite de risco da IF
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Necessidade de aprimoramentos na gesto deriscos e do balano abrange trs frentes
processos
dados
governana
integrao
Novas necessidades
novas solues
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Implementao Disciplina de dados
Trabalho cooperativo das diversas reas Repositrio com uma viso nica de dados e com
premissas consistentes Disciplina!
Granularidade dos dados
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ImplementaoConjunto abrangente de medidas & anlises
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Implementao
viso prospectiva
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Cludio Paiva
Scio-Diretor
Analitix Solues em FinanasAv. Pedroso de Morais, 38
So Paulo, SP
Tel 11 3814 [email protected]