Audit Expert Project Expert 85-
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- George Fleming
- 7 years ago
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1 - Audit Expert Project Expert
2 ; : -.,,.. ; -.,.. ;..,.. ;..,... ;..,... : -.,, -.. ; -.,, : - /..,..,... ;..... :. -, ISBN ,, ; /16.. «imes» , / , ,.,., 12. / : (8652) mail: agrus2007@mail.ru -,.,.,15 ISBN , 2014
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54 ), -,, :,.., 5-23%, 50-70%. -,., -, -.,, -., -. ( ) 1-2 -,, ( , 6-7). - (63%, )
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57 , % 140% 120% 100% 80% 60% 40% 20% 0% 120% 120% 124% 123% 101% 101% 110% 104% 79% 73% 61% 46% 48% : -, %.,,,,, 21-28%
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62 ,, (.).,, ( ) , , , ,6., % 57,8 42,7 21,2 % 8,1 9,2 11,8 % 13,3 13,6 15,7 (. 2) ,, -. :, 2012, 21,2%,.,, ,4..,,,,. 62
63 2 - ( ) /, /,, % ,,,, % % % %, % 15,5 0,6 16,8 1,3 20,9 4,1 11,6 1,0 10,6-1,0 13,2 2,6 (. 16) ,4..,,, 2012, 6.,, ,6%,, , 13,2%,, -, ,.,,, (, ). 63
64 ,, -,,,, -,,,,, ,3.. 46,2% ,2%.,,., ,7% 4,3.., ,6.. ( 16% ).,,,,., ,5...,, , ( 5626,0.. 64
65 39,5%) 2011, ,2.. 0,1%. (69,0% 2011, 102,6% 2012, 4,7% ).,, ( ),,... 3, ,9.., 0,6..,, 1,1.., 0,8.. 0, , ( 0%) ( 1-20%) ( 21-50%) ( %) ( 100%) % % % %,,, ,2 51,3-1,9 42,5-8,8 42,8 0,3 35,8 35,2-0,6 38,0 2,8 37,5-0,5 8,8 9,9 1,1 9,8-0,1 9,8 0,0 1,0 1,8 0,8 3,5 1,7 3,6 0,1 1,2 1,8 0,6 6,2 4,4 6,4 0,2 :
66 1,8% 3,6% 1,8% 6,4%,,,., (. 4). 4 -,, % / / / ,,.. 184,1 422,0 1014,7 1035,4 129,2 140,5 2,0,.. 1,3 2,1 5,1 5,2, 0,8 3,0 0,1, %,....., 2011, [9]: , -.,, ,9.. 5,2%,,.. 66
67 %.. %, %.. %, %.. %, % 1608,6 68,5 1760,3 74,4 9,4 3379,1 78,4 92,0 3611,9 77,7 6,9 290,9 12,4 193,4 8,2-33,5 411,8 9,6 112,9 455,6 9,8 10,6 176,9 7,5 212,0 9,0 19,8 284,5 6,6 34,2 284,0 6,1-0,2 271,1 11,5 199,5 8,4-26,4 234,0 5,4 17,3 295,3 6,4 26,2 2347,5 100,0 2365,2 100,0 0,8 4309,4 100,0 82,2 4646,8 100,0 7, ,5%, 56,6%, 60,5%, 8,9%. 97,9%., :, 2010., ( 3) ,8.. 50,5%, ( 581,2.. 67
68 225,2%). 9, ,9%, ,5%, - ( ),. 156,5%,.., IV 2010, (, : )., ,7%., ( 14,7.. ), ,. 68
69 .,.,,,, (,,.),.,., ,., (8,4% 2010, 6,8% ,0% ), 3,7..,.,,,.,,
70 825,1.., ,,, -. ( 2 3),.,,,,,,, :,,,,.,,,.,, :, ;,,, 70
71 .,,,. ( 8). 2008, (36,9%), (25,8%), (15,4%). 10%, (13,8%) ( 72,0%).. : ,3.., 3,1.., 4,0.., 4,1....,,, [10]. 71
72 , ,0% , , , ,6% 205, % 2008, 706,3%, 43,3% 2008.,,, , %,.. 508,0 409,2 205,1 40,4, % 3,0 1,8 0,7-2,3, % 22,7 13,3 4,9-17,8 2 2,3.., 22,7% ,9% 2011,.. 17,8.. 72
73 ,, ,,, [10]. :,,, [21]. « ». -,.,. 5 ;, ;,, ;,. 73
74 ,.,,.,,,,,, [31] ,9%,,, 78,4%, 30%, (68,2%), (55,4%).,,. 2011, ( ). 2012, 74
75 ,., , , ,, 50.., ,6% 30,6% ( 19..) ,9%.,, , [10]., : ;, 75
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79 - -,, -, -. 8, % (+, -) 2010, , ,67 : ,42, , , ,7, , , ,06 ( %), ,08 7,1 5,32 3,04 - : 1,29 1,01 0,76-0,83 -, 31,52 40,21 38,47 59, ,4 0,46 0,34 0, ,77 6,33 4,9 18,16 -,. 0,004 0,02 0,02 0,07-25,75 31,79 31,86 50,22-62,39 52,65 56,2 37,
80 , -, ,3.,.,, ,14 -, ( ) 1, ,3. 9, % (+, -) 2010, (..) ,66, , ,7, , ,89, %, , ,29 1,15 0,9 0, ,16 15,75 12,74 30,6 -,.. 0,01 0,06 0,05 0,12 -, , ( 80
81 27,63%), ( 6,62%). - ( 10). 10, % (+, -) 2010, , , , , , , , , ,9 ( % ), ,8 0,58 0,79 0,75-0,92 2,8 2,07 4, ,56 18,49 14,22 20, ,02 12,23 15,29 42, ,67 0,47 0,35-0,22-6,63 6,17 4,57 0, ,88 0,97 0,79 0,06-79,46 58,25 61,87 40,
82 ,,, -. : ; ; ;. -., ,2 2011, ( 11). 11 -,, % (+,-), - : ,57 -. (. ) , ,30, ,9 ( %), - : (. ) 11,7 20,78 15,56 19,28-0,03 13,75 16,73 41,12 -, - 88,23 65,46 67,69 38,9-82
83 .,, , 1, , ( 12). 12 -, % (+,-) 2010, (..) ,41, - - (..) ,57 % 90,06 88,99 91,4 104,37 -, , ,5 157, ,03, % (268272,9..) 1, ,28 % ,7.., 1, ( 13). 83
84 13 - -, % ( +,-), , : , , , , , ,9 165, , , , ,4 110, ,3 52,5 10,8 10,8 20,57-41, , : , , ,7 139, ,8 / , , ,9-1379, , , ,5 137, , , , ,1 82, , , , , , : % , , ,1 134, ,2 % 50658, , ,4 69, , ,9 4688,1 4688,1 330,1 3268, ,4 200, ,4 505,7 531,8 531,8 105,1 26, , , ,4 : , , ,3 143, , , , ,9 99,5-6362, , , ,2 94,3-635, , , ,1 148, , , , ,3 130, ,8. 125,9 34,9 34,9 27, , , ,4 75, , , , ,7 77, , , , ,6 %,,, 84
85 308,4.. 0,65 % , 51,1%), 31,2 % 14% ,2 %, 1,5 %. ( 14) 1,6 %, - 14, % , (+,-) % %, , - 90,06 88,9 91,4 1,34 104,3-10,56 18,49 14,22 3,66 134,6 0,02 12,23 15,29 15, %, ,5 53,2 52,3 2,8 105,6-50,44 46,8 47,6-2,84 94,4. 26, ,9-0,9 96,6. 18,9 15,7 20,1 1,2 106,3 5,4 7,9 7,3 1,9 146,3 65,3 44, ,7 156,2 51,7 44, ,7 197,2 31,8 42,7 51,1 19,3 160,6. 25,7 41,5 31,2 5,5 121,4 9, ,
86 1, , , % - ( +,-), , : , , , , , ,9 165, , , , ,4 110, ,3-52,5 10,8 10,8 20,57-41, , : , , ,7 139, ,8 / , , ,9-1379, , , ,5 137, , , , ,1 82, , , ( % ), :. 28,5 25,8 22,7 79,6-5,8 %. 2,9 5,2 4, ,8 18,9 15,7 20,1 106,3 1,2-50,4 46,8 47,7 94,6-2,7 : - 5,4 7,9 7,3 135,1 1,9 / - 26, ,9 96,6-0,9 9,7 14, ,3 7,5 2, ,5-49,5 53,1 52,3 105,6 2,8
87 1,4%, 0,8 % ,9.. ( ,1 ), ,7.. ( 1,4 ), ,4.. ( 1,1 ).,, ( 1,5 ) , -, (. 16) , , % ( +,-), , : , , ,1 134, , , , ,4 69, , ,9 4688,1 4688,1 330,1 3268, ,4 200, ,4 505,7 531,8 531,8 105,1 26, , , ,4 - : , , ,3 143, ,9 87
88 , % ( +,-) , , ,9 99,5-6362, , , ,2 94,3-635, , , ,1 148, , , , ,3 130, ,8-125,9 34,9 34,9 27, , , ,4 75, , , , ,7 77, , , (% ), : 30,4 23,8 26,5 87,1-3,9 1,7 0,7 0,7 41, ,04 0,1 0, ,06 % - 1,4 1,8 1,8 128,5 0,4 0,01 0,01 0, : 14,6 14,1 13,6 93, ,7 27,2 26,2 64,3-14,5-0,3 0,2 0,2 66,7-0,1 16, ,3 96,4-0, ,7 5,9 5, ,5 3,4 48,5-3,6 10,2 5,1 5,1 50-5,1 96,7 73,3 70,8 73,2-25,9-88
89 (26,5% ), (16,3 %), (5,7 %.), (13,6%), (26,2 %) , ,1.. ( ,4, ), , 19352,3.. ( 1,2 ), 35995,1.. ( 1,6 ) ( 17) , (+,-), % -, , ,1 163, , , ,1 148, , , ,8 4906,8 158, , , ,1 5135,8 116, , ,3 119, , , ,4 4271,3 115, , , ,4 6211,2 133, , , ,2 5826,1 150, , , ,3 4043,5 126, , ,6 127, , ,6 382, , , , , ,41 % - -, ,6 63,7 63,3-6,3 90,94 1,16 1,13 1,12-0,04 96,5, - 4,26 3,06 3,03-1,23 71,1 2,9 2,1 2,1-0,8 72,4 3,8 2,7 2,7-1,1 71 2,5 2,1 2,1-0,4 84 1,5 1,4 1,4-0,1 93 2,1 1,6 1,6-0,5 76,1 3,2 2,5 2,5-0,7 78,1 8,4 19,9 19,8 11,4 235,7 89
90 ,8 %. 14,6% 13,6%, ,9 % ( ,5%), - 23% ( 6,1%) ,8 %, ,1 %.. 18, (% ) (+,-), % - 11,4 8,2 7,9-3,5 69,2-16,9 22,3 23 6,1 36 8,7 10,9 15,1 6,4 73,5 71,5 39,7 65,1-6,
91 19 ( % ) , % - ( +,-),.. :. 4,53 3,35 2,4 52,9-2,13. 0,47 0,67 0,5 102,4 0,03. 4,26 3,64 2,74 64,3-1,52 3 2,04 2, , ,85 1,03 0,77 90,5-0,08 1,55 1,85 1, ,17 1,2 0,37 0,64 53,3-0,56 15,86 12,95 10,56 66,5-5,3, :. 3,52 3,04 2,25 63,9-1,27 0,12 0,2 0, ,03 0,03 0,02 0,01 33,3-0,02-1,26 1,58 1,17 92,8-0,09-2,11 2,97 2,22 105,2 0,11 0,88 0,57 0, ,44 7,92 8,38 6,24 78,7-1,68 91
92 ,56%,, 5,3 %, - (2,4 %) (0,5 %) - (0,77 %) ,24 %, 1,68 %, - 2,3 %, 1,1. - 1,7 %, 1,4, 0,006 % ( 20). 20, (% ) (+,-), % ,9-5,7 12,8-14,1 47,5 0,03 0,01 0, ,02 0,2 0,01 0,08 0, ,004-0,003 0,01 0, ,15 0,92 1,7 0,55 147,8 2,5 2,45 1,7-0, ,8 %, -. 92
93 -, -, -., -, - -, -. /. /, - /,,., -.,,. - : (, -, ( ), " " -, ), -.,,, ( )
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95 ,. -, : 5 47,7%. -,,,, ( ,1%; 16%). -,. 1,,,., ( , 2 ),,,., 2011,
96 -,.,,,, II,.,,,,. II,. - -,, :,,,,., « »,, 96
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103 .,.. -,.,,.,,.., ( ), , 40,, 5.,. :,..,. 103
104 (%) - - (%) (%) (%) (%) (%) (%)
105 .,, (26,8%),, 13,0% 16,8%. : (10,65%) - (10,4%),,, - (12,3%)., 24 (45,1%) (43,0%),,. 43,0%. (53,8%), 42,6%. (45,1%) - (44,8%). - (-91,8), ,9.. ( ) (0,1%). ( 4,2%), - (8,1%), (7,8%) (9,3%) (5,6%)., ,5%, 105
106 3%., (19,7%),, (19,0%),,, 17,7%,. (~4%), (-7,9%) (-7,4%)., 9 10.,.,., ( 0,5% )., 30% (73,0%), «-» (62,8%) - (58,2%)..,, (270,1%) 106
107 (160,2%), (161,4%) ,4% 67,2%., ,4%. - (12,6%) (14,6%). -,,, 1. - ( 22) ,,
108 ,, :,,, - ;,,, ,9%, ,6%, ,3%. : 2011.,,, 2012., 8,3%; 82,1%,, ; ,3%, ,7%, ,6% ,,,,, ;,, ; 108
109 , ; -, 50%, : , - 1,5..,.,, : ( 1); ( 2); - ( 3); ( 4); ( 5); ( 6); (N). -, 2010.,,,. 109
110 -,,..,, 53,3, ( 1); 0,26 0,65 1,08 ( 2); 1,29 0,97 4,89 - ( 3); 0,95 0,64 1,10 ( 4); 0,38 1,02 0,62 ( 5); 0,27 0,23 0,22 ( 6); 3,35 3,49 3,58 (N). 53,30 73,05 166, ,. 1 ( ) 19,75 73, ,,,,, 110
111 1,66,.,,,, ,,,,,,,. 24 -, , R A, % 0,98 1,92 1,33 R, % 4,78 5,97 2,69 4,84 3,10 2,03,,,,,,., ( ), 111
112 ,,., ,5.., 0,94.. ( ), 1,19..,,,. (20,59%), ,8.., :, 0,59.., 3, ,, 2,03,,.,, -,, ,,. 112
113 3.3 - : - ; ; - ; - ; -. -, - (, -, )., IT,. -.,,,., -, [3]., -,., - : -, ( ) -, 113
114 ,, -, -.,,,., - ;, ;,,. -., - -,.. 1. VaR,. - VaR-, -. : ; ; VaR ( ) VaR
115 , VaR., VaR ( ) / , - «-» ,. - - [3]. 115
116 . -,,.,,,. -,.,,,,,., -, - -.,,., ( ) -.,,, -,,., PriceWaterhouseCoopers, -.,
117 - -,.,., -, stoploss, stop out, take profit take out - - Capital Asset Pricing Model ( ) - - -, - -,, -. -, - 117, ;, - - ; , -, - -, -
118 - Gap - Value-at-Risk, - -, - / %, -, , -, -, -, -, - -, - ; -, - - ; ( )
119 - ( ) -, - - ( ) ( -, - ) , - -, -,, - (, - -, ), 3 - (, ). - - [1]. - (gap analysis) -.,,. - :, ( -,..); 119
120 , - (,..); (,,..); ( )., /.,.. -,.,,. (gap) : Gap t = A t L t, (1) A t t,.; L t t,.,, -,., -.,.,,,...,, - (cumulative gap), 120
121 , -, ( 2). Cumulative gap T =, (2) t 0 ; T..... ( - ) ( 3 4). Gap Ratio t =,.. (3) Cumulative Gap Ratio t = (4),, - : Gap % = (5), -, - 0,9-1,1., -, -, ( - ). 121
122 ., -., -,., -. -,.,,. - -, -. - : -, -,, -, ; -, ; -,,, - ; -,,, ; 122
123 -, -,,.,, -, -., -, -. -, , ( 2), ( 3) ( 4) -. ( 2) - : 2 = * 100% (1), - -,.;, - / -,.; 123
124 * ( ) -,. ( 3) : 3 = * 100% (2), - 30, -,.;, - / -, 30,.; * ( ) - 30,. ( 4) - ( 1 - ) -. : 4 = * 100% (3) (366),,.; ( ),.; 124
125 , - ( ), (366) -,.; * 365 (366) ( - ),,., *, * * ( - ), 0,1 % -, %, %.., - :: - -,. -,,,, ,. 125
126 26 - -, % ( 2) 15,0 64,6 46,9 44,9 ( 3) 50,0 65,3 64,3 122,2 ( 4) 120,0 14,2 8,9 12,6 ( 2) 15,0 23,0 23,9 42,1 ( 3) 50,0 72,0 66,7 103,2 ( 4) 120,0 111,0 93,4 62,1 ( 2) 15,0 150,1 186,4 125,9 ( 3) 50,0 153,6 179,5 134,7 ( 4) 120,0 1,6 0,8 0,7,, -., - 15,0 % ,1 % ( «-») 125,9 % ( ). -, ,4 %, 3 179,5 %, % 1,6 % , ,1 %, 103,2 % 62,1 %
127 , - -,,, -., -., - (basic indicator approach), : = 0,15 * (4) i i- ; n, - ( )., -, - : = + (5),.;,. = (6),.;,. = (7) 127
128 , -,.;,.;,.;,.;,.;,.;,.; -,.;,.,, -, -.,, -, -, 9-11 %. 3,7 3,9 %,, -,. -, -,.,, ( 6, 7, ). - ( 6), - 128
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154 176., i. i i : i, i i i /..;..... i : i, ,.. - -, [ ] /.. // (401) : ,. RiskMetrics. 1 / - // = ,.. - : //.. - : ,.. :.. [ ] /.. -. :, ,.. ( - ): //.. : , [ ] /..,.. // (401) ,... [ ] /.. // , : //.. : ,.. [ ] /.. //. 154
155 ,.. - /.. // ,.. [ ] /..,....:, ,.. : : [ ] /.. -..:, ,.. :, [ ] / :, [ ] /... //, 2-.,. -. : -, ,.. [ ] /.. // Amendment to the Capital Accord to incorporate market risks. - Basle Committee on Banking Supervision, p Basel Committee's Principles for Sound Liquidity Risk Management and Supervision [Electronic resource] // Bessis J., Risk Management in Banking [Text]. John Wiley & Sons, New York, p CEBS Guidelines on stress-testing (CP32) [Electronic resource] // Crouhy, M. Risk Management [Text] / M. Crouhy, D. Galai, R. Mark N.Y. etc.: McGraw-Hill, p Dowd K. An introduction to market risk measurement. John Wiley & Sons, England, Chichester, p Final Report of the IIF Committee on Market Best Practices: Princi- 155
156 ples of Conduct and Best Practice Recommendations [Electronic resource] // Generally accepted risk principles United Kingdom: Coopers&Lybrand [Text] International convergence of capital measurement and capital standards: a revised framework Basle Committee on Banking Supervision, Jorion P. Value at Risk: the New Benchmark for Controlling Market Risk, second edition [Text]. N.Y. etc.: McGraw-Hill, p Morgan, J. P. RiskMetrics Technical Document / J. P. Morgan. Morgan Guaranty Trust Company, Global Research. - 3-rd edition. N.Y., p. / RiskMetrics.html Principles for sound stress testing practices and supervision / Basel Committee on banking supervision (May, 2009) // bcbs155.pdf Principles for sound stress testing practices and supervision [Electronic resource] // Revisions to the Basel II market risk framework // Basel committee on Banking Supervision, July 2009 [Electronic resource] // Risk Management Lessons from the Global Banking Crisis of 2008 [Electronic resource] // Sharpe, W. F. Investmenst [Text] / W. F. Sharpe, G. J. Alexander, J. V. Bailey. 6th ed. Upper Saddler River : Prentice Hall, p Supervisory framework for the use of «backtesting» in conjunction with the internal models approach to market risk capital requirements / Basle Committee on Banking Supervision January Trends in Risk Integration and Aggregation [Electronic resource] // 156
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