The professional qualification examination for banks is about to begin. Let's review it quickly. The column of professional qualification of banks has prepared "Key Points of Risk Management of Grass-roots Banks 20 17: Characteristics and Classification of Market Risks", hoping to help candidates.

Characteristics and classification of market risk (P 162-P 166)

1. Market risk refers to the risk that the on-balance sheet and off-balance sheet business of a bank will suffer losses due to adverse changes in market prices;

2. According to different sources, interest rate risks are divided into four categories: repricing risk, yield curve risk, benchmark risk and option risk;

① repricing risk, also known as maturity mismatch risk, is the most important and common form of interest rate risk. Differences in maturity or repricing periods of assets, liabilities and off-balance-sheet businesses originating from banks.

(2) Benchmark risk, also known as interest rate pricing benchmark risk, if interest income and interest expenses are inconsistent with the benchmark interest rate, it will adversely affect the bank's income or internal economic value, because the spread between its cash flow and income has changed.

3. Generally speaking, options and optional clauses are executed when they are beneficial to the buyer and unfavorable to the seller;

4. Exchange rate risk: the risk of loss of banking business due to unfavorable exchange rate changes;

5. Stock price risk refers to the risk of losses to commercial banks due to adverse changes in the stock prices held by commercial banks;

6. Commodity price risk refers to the risk that the prices of various commodities held by commercial banks will change adversely, which will bring losses to commercial banks. The commodities here include agricultural products, mineral products and precious metals. Among them, gold is not included; The fluctuation of gold price is included in the category of exchange rate risk of commercial banks.

4.2 Test sites of main trading products and their risk characteristics (P 166-P 17 1)

1. Forward foreign exchange trading is a common method to avoid exchange rate risks and fix foreign exchange costs; A foreign exchange transaction in which the buyer and the seller agree to deliver the goods on a specific date in the future according to the currency, exchange rate and amount agreed at the time of the transaction, the decisive factors include spot exchange rate, spread and term.

2. Futures refer to standardized forward contracts traded on exchanges; The economic function of futures: ① hedging market risks; ② Value discovery.

The difference with the long-term lies in:

(1) Futures contracts are standardized and generally formulated by exchanges;

(2) Futures trading is generally traded on the exchange, and the exchange bears the risk of default;

(3) Futures contracts have good liquidity and can be closed at any time before expiration.

3. The two parties agree to exchange a series of cash flow contracts in a certain period in the future, such as interest rate swap and currency swap;

4. Options are classified according to the exercise price: in-price options, parity options and out-of-price options; The value of options includes intrinsic value and time value.

On the one hand, financial derivatives can be used to hedge market risks, on the other hand, they will also cause huge losses because of high leverage.

4.3 test center account division (P 17 1-P 176)

1. The trading account records the financial instruments or commodity positions held by the bank for trading or avoiding the risks of other items in the trading account; The position in the trading account must be free from any restrictions during the trading process, or it can completely avoid its own risks.

2. The items in the trading account are usually priced according to the market price. When there is no market price to refer to, they can be priced according to the model;

3. The positions recorded in the trading account shall meet the following three requirements:

(1) Written trading strategy with positions, financial instruments and portfolios approved by the senior management;

(2) Having clear policies and procedures for position management. It is necessary to set the trend day by day and make an accurate valuation according to the market price;

(3) Having clear policies and procedures for monitoring positions consistent with the Bank's trading strategy, including monitoring the trading scale and the balance of trading accounts.

4. Items in bank accounts are usually priced at historical cost;

5. For assets held for sale, changes in their fair values are not included in profits and losses, but included in owners' equity.

Test site 4.4 Basic concepts of market risk measurement (P 176-P 184)

1. Compared with market value, the definition of fair value is broader and more general;

There are four ways to measure fair value:

(1) The market price can be obtained by direct use;

(2) estimate the market price with a recognized model;

③ actual payment price;

(4) allow the use of enterprise-specific data, which can be reasonably estimated and do not conflict with market expectations.

2. Exposure is risk exposure, that is, the balance of various risky assets held by banks;

① Open positions in a single currency include net open positions in spot, net open positions in forward, open positions in options and other open positions; Single currency open position = spot net open position+forward net open position+option open position+others = (spot assets-spot liabilities)+(forward buying-forward selling)+option exposure+others.

② Three calculation methods of total positions:

Cumulative total open position = the sum of all foreign currency long positions and short positions;

Net total open position = the difference between the total long position and the total short position of all foreign currencies;

Short-side method, the long and short positions of each foreign exchange are added separately, and then the two totals are compared, and the largest one is taken as the bank exposure.

3. The change direction of bank assets and liabilities is opposite to the change direction of market interest rate. The longer the term of bank assets and liabilities, the greater the change range of assets and liabilities, that is, the greater the interest rate risk;

Duration gap = weighted average asset duration-(total liabilities/total assets) × weighted average debt duration;

When the duration is positive and the market interest rate drops, the value of assets and liabilities will increase, and the increase of asset value is greater than the increase of liabilities, so the market value of banks will increase. If the market interest rate drops, the value of assets and liabilities will increase, and the increase in asset value is less than the increase in liabilities, then the market value of banks will increase.

The yield curve shows four forms:

① yield curve: the longer the investment period, the higher the yield; The most common yield curve shape;

② Reverse yield curve: the phenomenon of interest rate inversion;

③ Horizontal yield curve;

④ Fluctuating return curve.

4.5 Market Risk Measurement Method Testing Center (P 185-P 190)

1. Gap analysis: a method to measure the impact of interest rate changes on the current earnings of banks;

It belongs to interest rate sensitivity analysis. A method to measure the influence of interest rate changes on the current income of banks. Specifically, assets and liabilities are divided into different time periods according to the repricing cycle, and then the difference between assets and liabilities is added to the off-balance sheet position to get the repricing "gap" of this time period, and then multiplied by the assumed interest rate change to get the impact of this interest rate change on net interest income.

When assets exceed liabilities in a certain period of time, there is a positive gap, that is, asset sensitive gap. At this time, the decline of market interest rate will lead to the decline of net interest income of banks; On the contrary, if the market interest rate rises, the net interest income will fall.

Gap analysis also has limitations:

① The maturity time or repricing time of all positions in the same time period is the same, regardless of the repricing time difference;

② Only the repricing risk is considered, and the benchmark risk is not considered;

③ Does not reflect the impact of interest rate changes on non-interest income and expenses;

(4) can only reflect the short-term impact, regardless of the impact on economic value.

2. Duration analysis: a method to measure the impact of interest rate changes on the economic value of banks;

Generally speaking, the longer the maturity date of financial instruments or the time from the next repricing date, the smaller the amount paid before the maturity date, and the higher the absolute value of the duration, indicating that interest rate changes have a greater impact on the economic value of banks;

Duration analysis is to consider the impact of interest rate fluctuations on the economic value of banks, which considers the potential impact of the present value of future cash flows of all positions and can make long-term estimation and evaluation;

3. Foreign exchange risk analysis:

A method to measure the impact of exchange rate changes on the current income of banks mainly comes from the mismatch of monetary amount and term in off-balance-sheet business of banks; Banks should distinguish the foreign exchange exposure formed by bank accounts and trading accounts, and control the exchange rate risk brought by foreign exchange exposure through hedging and quota management.

Limitation: It ignores the correlation of exchange rate fluctuations of various currencies, so it is difficult to reveal the exchange rate risk brought about by the correlation of exchange rate fluctuations of various currencies.

4. Sensitivity analysis: under the premise of keeping other conditions unchanged, study the possible impact of small changes in risk factors in a single market on the income or economic value of financial instruments or asset portfolios.

5. Value-at-risk (VAR) refers to the potential maximum risk that may be caused to fund positions, asset portfolios or institutions when market risk factors such as interest rates and exchange rates change under a certain holding period and given confidence level.

For example, the holding period is 1 day, the confidence level is 99%, and the risk value is 1 ,000 USD, which indicates that the loss of this asset portfolio will not exceed 1 ,000 USD from 99%.

The higher the confidence, the longer the term and the greater the VaR. VaR increases with the increase of confidence level and holding period.

6. Methods of calculating VAR value: variance-covariance method, historical simulation method and Monte Carlo method;

Variance-covariance: only reflects the first-order and second-order linear influence of risk factors on the whole portfolio, but can not reflect the high order, so the calculation is inaccurate;

Historical simulation method: high transparency, intuitive, relatively low system requirements, no deviation, no model risk, easy to achieve;

Monte Carlo method: structured simulation method, which simulates the changes of future risk factors by generating a series of random data with the same statistical characteristics as the simulated object, and the conclusions obtained are more reliable and comprehensive; The disadvantage is that it needs powerful computing equipment, takes a long time, and the model is risky and difficult to realize.

Test Center 4.6 General Requirements for Market Risk Management (P 19 1-P 194)

Responsibilities of the market risk management department of commercial banks:

① Formulate market risk management policies and procedures and submit them to the senior management and the board of directors for approval; ② Identify, measure and monitor market risks;

(3) Monitoring the compliance of relevant business departments and branches with market risk limits, and reporting the excesses.

④ Design and implement reflux inspection and pressure test;

⑤ Identify and evaluate the market risks involved in new products and new businesses, and review the corresponding operation and risk management procedures;

⑥ Provide independent market risk reports to the board of directors and senior management.