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Europäisches Forum Alpbach 2008<br />
<strong>Risikomanagement</strong> <strong>in</strong> <strong>der</strong><br />
<strong>Rückversicherung</strong><br />
Dr. Ra<strong>in</strong>er Sachs<br />
Münchener Rück<br />
27. August 2008
Leitfragen zum Thema<br />
• Was verstehen wir unter Enterprise Risk Management, woher & woh<strong>in</strong>?<br />
• Wie sieht die <strong>Risikomanagement</strong> Struktur und die Aufgaben <strong>in</strong> <strong>der</strong><br />
<strong>Rückversicherung</strong> aus?<br />
• „E<strong>in</strong> Modell ist e<strong>in</strong> Modell ist e<strong>in</strong> Modell ist e<strong>in</strong> Modell!“<br />
• Warum s<strong>in</strong>d Emerg<strong>in</strong>g Risks wichtig für die (Rück-)Versicherung und<br />
wie gehen wir damit um?<br />
• Wie kam es zur „Subprime-Krise“ und was ist das überhaupt?<br />
• Wie sieht die Zukunft des <strong>Risikomanagement</strong>s aus?<br />
2
Enterprise Risk Management<br />
Die Anfor<strong>der</strong>ungen an das <strong>Risikomanagement</strong><br />
nehmen zu – <strong>in</strong>tern wie extern<br />
Rat<strong>in</strong>g Agenturen Aufsichtsbehörden<br />
Source: S&P New Insurance Enterprise Risk Management Evaluation Criteria,<br />
October 19, 2005<br />
Quantitative<br />
Requirements<br />
R. Sachs – <strong>Risikomanagement</strong><br />
Solvency II<br />
Supervisory<br />
review<br />
process<br />
Disclosure<br />
Transparency<br />
Measures to<br />
foster market<br />
discipl<strong>in</strong>e<br />
Entwicklung e<strong>in</strong>es ganzheitlichen Ansatzes → Enterprise Risk Management<br />
27. August 2008<br />
3
Enterprise Risk Management<br />
Die Entwicklung <strong>der</strong> Rolle von<br />
Enterprise Risk Management<br />
Fokus <strong>der</strong> VU<br />
Phasen <strong>der</strong><br />
Entwicklung<br />
von ERM<br />
2. Hälfte 90-er Jahre<br />
«Boom»<br />
� Wachstum<br />
� <strong>Risikomanagement</strong> durch<br />
diverse E<strong>in</strong>heiten im<br />
Versicherungs-<br />
Unternehmen<br />
� Ke<strong>in</strong>e o<strong>der</strong> wenig<br />
Koord<strong>in</strong>ation<br />
� Ansätze von Risikomodellierung<br />
und Asset-<br />
Liability-Mgmt<br />
2003 – 2006<br />
Krise «Konsolidierung» Vertrauen<br />
Wie<strong>der</strong>herstellung von:<br />
� EK-Grundlage<br />
� Ertragskraft<br />
� Glaubwürdigkeit<br />
E<strong>in</strong>richtung von:<br />
� zentralen RM-<br />
Teams unter CRO<br />
� RM Regeln und<br />
Berichtswesen<br />
� Risikomodellen<br />
� Anwendung von marktkonsistenten<br />
EEVs<br />
� verbessertes ALM<br />
2007…<br />
«Profitables Wachstum»<br />
� Ausrichtung auf profitables<br />
Wachstum<br />
� Aktives Management von<br />
Überschuss-kapital<br />
� Strategisches Risiko-<br />
Management<br />
� Impuls zur Entwicklung<br />
neuer Produkte (z.B.<br />
Variable Annuities)<br />
� Nutzen von Solvency II als<br />
e<strong>in</strong>e Opportunität <strong>in</strong> <strong>der</strong><br />
<strong>Rückversicherung</strong><br />
Rolle von ERM Entwicklungsansätze Emanzipation Bus<strong>in</strong>ess “Bus<strong>in</strong>ess Enabler Enabler”<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
4
Enterprise Risk Management<br />
ERM erfor<strong>der</strong>t e<strong>in</strong>e strikte Trennung von<br />
Verantwortlichkeiten und Kontrollen<br />
Bus<strong>in</strong>ess Management / Risk Owners Independent Risk Management<br />
• Bus<strong>in</strong>ess Plann<strong>in</strong>g<br />
• Identify and evaluate risks<br />
• Take steps to manage / mitigate all risks<br />
associated with their bus<strong>in</strong>ess<br />
• Manage and own risks of all approved<br />
transactions regardless of ultimate approval<br />
level<br />
Internal Audit<br />
Board of Management<br />
• Approves bus<strong>in</strong>ess strategy<br />
• Sets risk appetite and expected risk-adjusted returns<br />
• Resource and capital allocation<br />
• Clear mandate by the Board to ensure that<br />
for all classes of risk appropriate limits,<br />
policies, procedures and measures are <strong>in</strong><br />
place with<strong>in</strong> each Bus<strong>in</strong>ess Unit<br />
• Aggregate and monitor group-wide risks<br />
(e.g. risk capital) and report to Board<br />
• Develop risk mitigation strategies<br />
• Act as a risk consultant to Bus<strong>in</strong>ess Units<br />
Audit function <strong>in</strong>dependently verifies that effective controls are <strong>in</strong> place and function<strong>in</strong>g properly<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
5
Aufbau des <strong>Risikomanagement</strong>s<br />
Integriertes Risiko Management <strong>in</strong> <strong>der</strong> MR –<br />
Struktur folgt dem RM Prozess<br />
Risk Identification<br />
& Control<br />
� Risk assessment /<br />
risk report<strong>in</strong>g<br />
� Risk disclosure<br />
� Emerg<strong>in</strong>g risks<br />
management<br />
� Operational risk<br />
management<br />
� Accumulation control<br />
Risk Analytics &<br />
Report<strong>in</strong>g<br />
� Development and ma<strong>in</strong>te-<br />
nance of risk models<br />
� Legal entity models<br />
� Risk capital calculations<br />
� Allocation of risk capital for<br />
VBM purposes<br />
� Scenario calibration<br />
� Structure aligned with risk management process<br />
Risk Strategy /<br />
Asset & Liability<br />
Management<br />
� Strategic Risk<br />
Management Framework<br />
� Strategic ALM<br />
� Limits and Triggers<br />
System<br />
� Risk Management<br />
Governance<br />
� Risk reviews and new<br />
product approval<br />
� Bus<strong>in</strong>ess liaison roles designed to “embed” risk management tools and processes <strong>in</strong> our daily bus<strong>in</strong>ess<br />
� IRM reports to the Group CRO, i.e. is <strong>in</strong>dependent from the risk tak<strong>in</strong>g process<br />
R. Sachs – <strong>Risikomanagement</strong><br />
Solvency<br />
Consult<strong>in</strong>g<br />
� Identify and support new<br />
bus<strong>in</strong>ess opportunities<br />
� Enable operational units<br />
to display the additional<br />
value of re<strong>in</strong>surance<br />
� Strengthen client<br />
relationship through<br />
Solvency II-related advice<br />
and service<br />
27. August 2008<br />
6
Enterprise Risk Management<br />
Sichtbares Ergebnis des <strong>Risikomanagement</strong>s:<br />
Signifikante Reduktion <strong>der</strong> Kapitalkosten<br />
Investment risks<br />
� Lowered equity gear<strong>in</strong>g<br />
� Reduced concentration risks<br />
� Low credit risk<br />
Asset-liability management<br />
� State-of-the-art ALM<br />
� Strong risk management<br />
Insurance risks<br />
� Active cycle management<br />
� High diversification<br />
� Strong Group reserves<br />
Beta factor Munich Re and <strong>in</strong>dustry<br />
Source: Bloomberg raw beta to DJ Stoxx 600, total return, daily basis, 1-year. Status 30 April 2008.<br />
2.2<br />
2.0<br />
1.8<br />
1.6<br />
1.4<br />
1.2<br />
1.0<br />
0.8<br />
0.6<br />
Significantly<br />
reduced to<br />
below 0.8 for<br />
Munich Re<br />
2004 2005 2006 2007 2008<br />
Munich Re DJ EuroStoxx Insurance<br />
De-risk<strong>in</strong>g reflected <strong>in</strong> significant<br />
reduction of cost of capital<br />
Munich Re<br />
now well<br />
below <strong>in</strong>dustry<br />
7
Risiko-Identifikation –<br />
Emerg<strong>in</strong>g Risk Management<br />
8
Was s<strong>in</strong>d Emerg<strong>in</strong>g Risks?<br />
Def<strong>in</strong>ition und Eigenschaften von<br />
Emerg<strong>in</strong>g Risks<br />
Emerg<strong>in</strong>g risks comprise new and develop<strong>in</strong>g risks and their related<br />
bus<strong>in</strong>ess opportunities for the <strong>in</strong>surance <strong>in</strong>dustry.<br />
They result from changes <strong>in</strong> risk factors with a high degree of uncerta<strong>in</strong>ty<br />
<strong>in</strong> terms of occurrence probability and loss amounts, and with a<br />
substantial potential impact on the company’s risk profile.<br />
Key characteristics:<br />
� Driven by environmental, technological, social, economic or legal changes<br />
� L<strong>in</strong>k between cause and effect not proven<br />
� Catastrophe potential across <strong>in</strong>surance l<strong>in</strong>es and balance sheet<br />
� Difficult to quantify (frequency / severity)<br />
� Often long-term exposure<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
9
Was s<strong>in</strong>d Emerg<strong>in</strong>g Risks?<br />
“Vorhersagen s<strong>in</strong>d sehr schwierig –<br />
<strong>in</strong>sbeson<strong>der</strong>e wenn sie die Zukunft betreffen!”<br />
Normale Risiken<br />
Kfz<br />
Erdbeben<br />
Stürme<br />
...<br />
Emerg<strong>in</strong>g Risks<br />
Genetic<br />
Eng<strong>in</strong>eer<strong>in</strong>g<br />
Nanotechnology<br />
...<br />
Verlust<br />
Vergangenheit Zukunft<br />
0 ?<br />
Vergangenheit Zukunft<br />
10
Was s<strong>in</strong>d Emerg<strong>in</strong>g Risks?<br />
Emerg<strong>in</strong>g Risks können als abruptes Ereignis o<strong>der</strong><br />
als schleichende Verän<strong>der</strong>ung auftreten<br />
Mortality rates from<br />
<strong>in</strong>fectious diseases<br />
per 100,000 US<br />
population<br />
900<br />
800<br />
700<br />
600<br />
500<br />
400<br />
300<br />
200<br />
100<br />
Spanish flu,<br />
1918/19<br />
65<br />
60<br />
55<br />
50<br />
45<br />
40<br />
AIDS<br />
35<br />
1980 1982 1984 1986 1988 1990 1992 1994<br />
30<br />
25<br />
0<br />
1900 1910 1920 1930 1940 1950 1960 1970 1980 1990<br />
R. Sachs – <strong>Risikomanagement</strong><br />
Source: Prevent<strong>in</strong>g Emerg<strong>in</strong>g Infectious Diseases –<br />
A Strategy for the 21st Century, CDC<br />
27. August 2008<br />
11
Warum befassen wir uns mit Emerg<strong>in</strong>g Risks?<br />
Die Zeiten än<strong>der</strong>n sich<br />
Globalisation<br />
US products<br />
liability<br />
Increas<strong>in</strong>g claims<br />
awareness<br />
Worldwide travel<br />
Communication<br />
Media – always and<br />
everywhere accessible<br />
Quick spread of<br />
<strong>in</strong>formation via the<br />
Internet<br />
Shared risk perception<br />
New technologies<br />
Bio-, Nanotechnology<br />
IT, Wireless LAN, new materials<br />
Regulatory environment<br />
Complexity<br />
Stricter legal and regulatory<br />
requirements (dto. rat<strong>in</strong>g agencies)<br />
R. Sachs – <strong>Risikomanagement</strong><br />
Shorter <strong>in</strong>novation cycles<br />
Increas<strong>in</strong>g <strong>in</strong>terconnectedness<br />
of risk<br />
Increas<strong>in</strong>g value<br />
concentration<br />
Sharehol<strong>der</strong> Value<br />
Image, reputation<br />
Protection of sharehol<strong>der</strong><br />
capital<br />
27. August 2008<br />
12
Warum befassen wir uns mit Emerg<strong>in</strong>g Risks?<br />
“Core Global Risks” des World Economic Forum –<br />
alle können die Versicherungs<strong>in</strong>dustrie treffen<br />
Source: World Economic Forum, “Global Risk Report 2008”, January 2008<br />
27. August 2008<br />
13
Beispiel<br />
Intra-l<strong>in</strong>e Akkumulation: Asbest –<br />
Von Berufserkrankungen zu Produkthaftpflicht<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
14
Beispiel<br />
Globale Pandemie – e<strong>in</strong>e komplexe Risikosituation<br />
mit vielen Facetten<br />
+ BCM<br />
Biometrical data<br />
� Age groups potentially affected<br />
� Hospitalization, <strong>in</strong>tensive care units<br />
� Costs of treatment<br />
� Length of absenteeism<br />
� Death toll<br />
Example: Swiss<br />
Solvency Test<br />
(SST)<br />
Exposure<br />
Stress test<br />
of portfolio<br />
analysis<br />
Flu<br />
Pandemic pandemic<br />
Scenario<br />
establishment<br />
Science/<br />
Medic<strong>in</strong>e:<br />
Monitor<strong>in</strong>g<br />
SARS:<br />
Learn<strong>in</strong>g<br />
from the<br />
past<br />
R. Sachs – <strong>Risikomanagement</strong><br />
Medical risk factors<br />
� Virus transmission and spread, virulence<br />
� Waves of pandemic (length, frequency)<br />
� Preparedness of health care systems<br />
� Availability and efficacy of drugs and<br />
vacc<strong>in</strong>es<br />
27. August 2008<br />
16
Beispiel<br />
Shell – Bereit für den Krisenfall<br />
Beg<strong>in</strong>n<strong>in</strong>g of 1970’s<br />
� Shell plann<strong>in</strong>g group focus<strong>in</strong>g on<br />
factors/events <strong>in</strong>fluenc<strong>in</strong>g the oil price<br />
� Strategy development tak<strong>in</strong>g <strong>in</strong>to account<br />
potential wild card …<br />
� Core strategy based on assumption of<br />
cont<strong>in</strong>uation of past oil price movements<br />
� Alternative strategy based on “wild card”<br />
significant oil price <strong>in</strong>crease due to<br />
supply limitation<br />
� Be<strong>in</strong>g prepared for wild card – def<strong>in</strong>ition of …<br />
� Required precautionary measures<br />
� Respective strategic options and<br />
operative actions<br />
Source: Munich Re, Corporate Development; Shell<br />
1973 oil crisis<br />
� Oil price quadrupled due to limited<br />
supply follow<strong>in</strong>g Yom Kippur war<br />
� Shell able to significantly strengthen<br />
market position with<strong>in</strong> crisis due to fast<br />
implementation of measures predef<strong>in</strong>ed<br />
<strong>in</strong> scenarios<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
17
Ergebnis<br />
Emerg<strong>in</strong>g Risks erfor<strong>der</strong>n neue, ganzheitliche<br />
Ansätze im Risiko Management<br />
Source: Wharton Risk Centre with Data<br />
from Insurance Information Institute<br />
Source: Climate Change Impacts Europe: Today and <strong>in</strong> the<br />
future, European environmental Agency, Copenhagen 2004<br />
Cross-balance sheet impact of pharma loss<br />
Man-made disasters – Higher value concentration Global spread – Higher complexity<br />
R. Sachs – <strong>Risikomanagement</strong><br />
Source: Hufnagel, L. et al. (2004) Proc. Natl. Acad.<br />
Sci. USA Vol. 101, No. 42, pp. 15124-15129; Copy-<br />
right ©2004 by the National Academy of Sciences<br />
27. August 2008<br />
18
Risiko-Analyse & Report<strong>in</strong>g –<br />
MR Capital Model<br />
19
Grundlagen <strong>der</strong> Bewertung<br />
Risikomessung unter ökonomischen<br />
Randbed<strong>in</strong>gungen<br />
In e<strong>in</strong>er ökonomischen Sicht gelten folgende<br />
Bewertungspr<strong>in</strong>zipien:<br />
� Kapitalanlagen werden marktkonsistent<br />
bewertet. Dies bedeutet e<strong>in</strong>e mark-to-market<br />
Bewertung, wo Marktpreise vorhanden s<strong>in</strong>d<br />
o<strong>der</strong> e<strong>in</strong>e Mark-to-model Bewertung.<br />
� Verpflichtungen werden konsistent zu<br />
Bewertungspr<strong>in</strong>zipien aus dem Kapitalmarkt<br />
bewertet. Dies bedeutet z.B., dass Optionen<br />
und Garantien <strong>in</strong> <strong>der</strong> Lebenserstversicherung<br />
mit risiko-neutralen Bewertungstechniken<br />
bewertet werden.<br />
Ökonomische Bilanz<br />
Wert<br />
<strong>der</strong> Kapital-<br />
anlagen<br />
Eigenkapital<br />
Wert <strong>der</strong><br />
Verb<strong>in</strong>dlich-<br />
keiten<br />
Risikomessung nach unterschiedlichen Rechnungslegungsstandards möglich.<br />
Für die <strong>in</strong>terne Steuerung gilt die ökonomische Sichtweise.<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
20
Modellstruktur<br />
Risikokapital wird über e<strong>in</strong> Baukastensystem<br />
bestimmt<br />
Credit risk<br />
� Corporate<br />
bonds<br />
� Retrocession<br />
ceded<br />
� Other<br />
receivables<br />
Asset risk<br />
Market risk<br />
� Equities,<br />
property<br />
� Interest rate<br />
risk<br />
� Foreign<br />
exchange<br />
RISK<br />
Insurance risk<br />
P&C<br />
� NatCat and<br />
other large<br />
losses<br />
� Loss due to<br />
premium<br />
<strong>in</strong>sufficiency<br />
� Reserve<br />
uncerta<strong>in</strong>ty<br />
L&H<br />
� Mortality/<br />
longevity<br />
� Morbidity<br />
� Persistency<br />
R. Sachs – <strong>Risikomanagement</strong><br />
Operational risk<br />
Bus<strong>in</strong>ess risk<br />
� Changes <strong>in</strong><br />
volume<br />
� Changes <strong>in</strong><br />
pric<strong>in</strong>g<br />
marg<strong>in</strong>s and<br />
expenses<br />
Event risk<br />
� Fraud<br />
� Errors<br />
� Systems<br />
<strong>in</strong>terruption<br />
27. August 2008<br />
21
Aggregation<br />
Zusammenführung <strong>der</strong> e<strong>in</strong>zelnen Risikosegmente<br />
Asset Risk<br />
Market Risk<br />
Credit Risk<br />
Risk<br />
Non-Life<br />
Risk<br />
Non-Life<br />
Basic Risk<br />
Non-Life<br />
Event Risk<br />
Life Risk<br />
The <strong>in</strong>dividual risks are<br />
aggregated <strong>in</strong>corporat<strong>in</strong>g<br />
their nonl<strong>in</strong>ear dependency<br />
structure (copula)<br />
represented by a rank<br />
correlation matrix and<br />
coefficients of upper tail<br />
dependency.<br />
22
Aggregation<br />
Modellierung von Tail Abhängigkeiten zwischen<br />
Risikofaktoren<br />
Risk factor 2<br />
no tail dependency<br />
Risk factor 1<br />
Risk factor 2<br />
tail dependency<br />
Risk factor 1<br />
In Munich Re’s risk model Copulas are used to <strong>in</strong>corporate tail<br />
dependencies, <strong>in</strong> particular between Non-Life Cat Risk and Asset Risk.<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
23
Risikomodellierung <strong>in</strong> <strong>der</strong> Münchener Rück –<br />
Standard Prozess mit Report<strong>in</strong>g zu den relevanten Parteien<br />
Risk capital report<strong>in</strong>g<br />
� Quarterly assessment of Economic Risk Capital (ERC) at ERGO and MR<br />
� Relevant bodies (e.g. Group risk committee, ERGO risk committee) discuss quarterly<br />
capital reports<br />
� ERC strongly embedded <strong>in</strong> key management processes, e.g.<br />
� Strategic Risk Management Framework (ALM, Insurance Risk steer<strong>in</strong>g, risk<br />
mitigation)<br />
� Capital allocation and pric<strong>in</strong>g<br />
� Performance measurement<br />
� Embedded <strong>in</strong> annual plann<strong>in</strong>g process<br />
� Consistent with pr<strong>in</strong>ciples of Solvency II<br />
� Annual disclosure (s<strong>in</strong>ce year end 2001)<br />
Risk model<strong>in</strong>g is a rout<strong>in</strong>e process that is embedded<br />
<strong>in</strong> relevant management applications<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
24
Risiko-Strategie –<br />
Strategic Risk Management Framework<br />
25
Solvency II und MaRisk<br />
Solvency II<br />
Anfor<strong>der</strong>ungen aus MaRisk<br />
MaRisk fokussieren den strategischen Rahmen des Unternehmens<br />
Vorstand / Leitung des VU<br />
verantwortlich für<br />
Geschäftsstrategie Risikostrategie<br />
<strong>Risikomanagement</strong><br />
<strong>Risikomanagement</strong> - Kreislauf Report<strong>in</strong>g<br />
Operatives Geschäft<br />
Geschäftsstrategie<br />
Nicht Gegenstand <strong>der</strong> Aufsicht!<br />
Risikostrategie (Auszug)<br />
� Formulierung von strategischen Zielen<br />
� Umgang mit vorhandenen Risiken<br />
� Risikotragfähigkeit für wesentliche<br />
potenzielle Risiken (Risikokapitalallokation)<br />
� Risikosteuerung (Limite)<br />
� Kontrollen<br />
� Berichtswesen<br />
Herausfor<strong>der</strong>ung:<br />
Bestimmung des Risikoappetits<br />
26
Strategic Risk Management Framework<br />
Risikoappetit<br />
Über wessen Risikoappetit sprechen wir?<br />
Kunden<br />
� Erwarten Produktleistung<br />
� Betroffen vom Risiko <strong>der</strong><br />
Insolvenz<br />
� Primär Downside Risiko, wenig<br />
Upside<br />
� Erwarten hohe<br />
Kapitalanfor<strong>der</strong>ung<br />
Management<br />
� Vertreter <strong>der</strong> Eigentümer<br />
� … aber auch von Kunden<br />
und Mitarbeitern<br />
� Möglichkeit von<br />
Interessenskonflikten<br />
(Pr<strong>in</strong>zipal-Agent Konflikt,<br />
„Moral Hazard“)<br />
Eigentümer / Aktionäre<br />
� Erwarten hohe Kapitalrendite<br />
(Dividenden,<br />
Aktienkursperfomance)<br />
� Chance auf Upside<br />
� Downside Risiko begrenzt<br />
(Limited Liability Put Option)<br />
Die Auswahl <strong>der</strong> im SRMF festgelegten Risikokriterien und Kalibrierung <strong>der</strong><br />
Limite berücksichtigt die Interessen unserer Kunden und unserer Aktionäre<br />
gleichermaßen<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
27
Strategic Risk Management Framework<br />
Strategic Risk Management Framework<br />
Ziele<br />
Sicht <strong>der</strong> Aufsicht<br />
Risikostrategie<br />
� Prüfung <strong>der</strong> Risikostrategie<br />
� Ziel: Konsistenz zwischen<br />
Risikoappetit und Geschäftstrategie!<br />
Letztendlich: Überprüfung <strong>der</strong><br />
Präzision <strong>der</strong> Unternehmens-<br />
steuerung!<br />
SRMF: Integriertes RM aus Sicht aller Stakehol<strong>der</strong><br />
Kunde/Rat<strong>in</strong>g Aktionär<br />
SRMF<br />
Aufsicht<br />
� SRMF ergänzt die Geschäftsstrategie aus Sicht<br />
aller Stakehol<strong>der</strong><br />
� Ziel: E<strong>in</strong> konsistentes, nachhaltiges<br />
Risikosteuerungssystem für alle Stakehol<strong>der</strong>!<br />
Synchronisation unterschiedlicher Präferenzen<br />
(VN, Aktionär, Aufsicht)!<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
28
Strategic Risk Management Framework<br />
Risikokriterien auf Gruppenebene<br />
Whole<br />
portfolio<br />
criteria<br />
Supplementary<br />
criteria<br />
Criterion Focus<br />
F<strong>in</strong>ancial strength Policyhol<strong>der</strong>s<br />
Avoid<strong>in</strong>g f<strong>in</strong>ancial<br />
distress<br />
Peak risk<br />
management<br />
Asset-liability<br />
mismatch<br />
Sharehol<strong>der</strong>s<br />
Sharehol<strong>der</strong>s<br />
(ma<strong>in</strong>ly)<br />
Sharehol<strong>der</strong>s<br />
Detailed criteria<br />
Internal risk model (VaR type),<br />
Solvency requirements,<br />
Rat<strong>in</strong>g agencies' requirements<br />
Economic earn<strong>in</strong>gs of 0 or less tolerated<br />
every ten years<br />
Concentration limits, maximum per-risk<br />
retention, etc.<br />
VaR limits for market and credit risk<br />
Supplementary criteria enhance robustness of SRMF<br />
29
Strategic Risk Management Framework<br />
Gesamtportfolio / Vermeidung von F<strong>in</strong>ancial Distress<br />
Insolvenz (Toleranz<br />
d. Versicherungsnehmer)<br />
F<strong>in</strong>ancial Distress<br />
(Toleranz d. Aktionärs)<br />
Höhe des Verlustes<br />
Risikotoleranz ausgedrückt als zulässige Wahrsche<strong>in</strong>lichkeit, dass e<strong>in</strong> gesetztes Limit<br />
überschritten wird. Für Vermeidung von F<strong>in</strong>ancial Distress e<strong>in</strong>e deutlich höhere<br />
Wahrsche<strong>in</strong>lichkeit als das Kriterium F<strong>in</strong>anzstärke, z.B. 1-<strong>in</strong>-5 to 1-<strong>in</strong>-25.<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
30
Die Subprime-Krise –<br />
Hat das <strong>Risikomanagement</strong> versagt?<br />
31
Strukturierte Produkte<br />
Was heißt das eigentlich? -<br />
Die Hauptbestandteile und Varianten von Asset-Backed Securities<br />
Source: Prof. L. Overbeck „Risikoadäquates Rat<strong>in</strong>g von Verbriefungstransaktionen“,<br />
Schmalenbach-Gesellschaft, 26.03.2004<br />
Elemente <strong>der</strong> Struktur Mögliches Un<strong>der</strong>ly<strong>in</strong>g<br />
R. Sachs – <strong>Risikomanagement</strong><br />
CLO Collateralised Loan Obligation<br />
CBO Collateralised Bond<br />
Obligation<br />
CSO Collateralised Credit Default<br />
Swap Obligation<br />
RMBS Residential Mortgage Backed<br />
Securities<br />
CMBS Commercial Mortgage<br />
Backed Securities<br />
CCMT Credit Card Master Trusts<br />
CL Consumer Loan ABS<br />
…<br />
27. August 2008<br />
32
Strukturierte Produkte<br />
Es gibt wenig Möglichkeiten, die zugrunde liegenden<br />
Risiken zu durchschauen<br />
Funded (cash)<br />
or unfunded<br />
Un<strong>der</strong>ly<strong>in</strong>g Risk<br />
(synthetic)<br />
transfer<br />
Transparenz<br />
CDO CDO²<br />
R. Sachs – <strong>Risikomanagement</strong><br />
Komplexität<br />
Funded (cash)<br />
or unfunded<br />
(synthetic)<br />
Investment<br />
Investor<br />
27. August 2008<br />
33
Strukturierte Produkte<br />
Korrelation <strong>in</strong> den Kapitalmärkten<br />
How it REALLY works… … un<strong>der</strong> stress<br />
Source: “The Economist” 1997, IMF Global F<strong>in</strong>ancial Stability Report, April 2008<br />
Note: ABCP measures short-term fund<strong>in</strong>g (liquidity), CDS measures solvency<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
34
Strukturierte Produkte<br />
“E<strong>in</strong>e Investition <strong>in</strong> Strukturierte Produkte ist im<br />
wesentlichen e<strong>in</strong>e Wette auf die Korrelationsannahme!”<br />
Diversification?<br />
� Securitisation suppresses<br />
idiosyncratic risk<br />
� Systematic risk is enhanced <strong>in</strong><br />
every step of securitisation<br />
� CDO², CDO³, … have the<br />
highest level of systematic risk<br />
� Systematic risk is not<br />
diversifiable<br />
Correlation Drives the Loss Profile<br />
R. Sachs – <strong>Risikomanagement</strong><br />
Source: Reserve Bank of Australia, Bullet<strong>in</strong> November 2007<br />
27. August 2008<br />
35
Strukturierte Produkte<br />
E<strong>in</strong>ige Reaktionen des Managements waren den<br />
verän<strong>der</strong>ten Marktbed<strong>in</strong>gungen nicht angemessen…<br />
� Focus on growth, lack of clear strategy<br />
� Early warn<strong>in</strong>g signs, general<br />
uneas<strong>in</strong>ess <strong>in</strong> September 2006, yet no<br />
reaction by senior management<br />
� Resistance to change fund<strong>in</strong>g<br />
framework<br />
� Resistance to implement hard limits<br />
(proposal by treasury perceived as<br />
limitation of growth and rejected by<br />
CEOs)<br />
Management Action Possible Causes?<br />
� structural <strong>in</strong>centives: alpha creation<br />
based on low fund<strong>in</strong>g cost<br />
� Asymmetric risk/reward compensation:<br />
no adjustment for riskier positions, e.g.<br />
partial hedge preferred over full hedge<br />
� Insufficient <strong>in</strong>centives to protect<br />
reputation long-term: cash bonuses for<br />
short term performance of tra<strong>der</strong>s<br />
� Behavioural science: stick to prior<br />
beliefs, ignore contradict<strong>in</strong>g signs and<br />
experiences<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
36
Strukturierte Produkte<br />
… komb<strong>in</strong>iert mit unwirksamer <strong>Risikomanagement</strong><br />
Infrastruktur<br />
� Valuation: mark-to-market –<br />
which market?<br />
� No <strong>in</strong>ternal pric<strong>in</strong>g/valuation model<br />
� strong rat<strong>in</strong>g dependence<br />
� limited look-through & fundamental<br />
analysis<br />
Measurement & Control<br />
� exposure distortion by hedges<br />
� Reliance on statistical risk measures<br />
and lack of risk-factor limits<br />
� Many formal reports existed, but no<br />
comprehensive view, also due to<br />
<strong>in</strong>complete data<br />
� "Hedged" positions netted <strong>in</strong> reports<br />
� Individual limits, yet no comprehensive<br />
coverage<br />
Report<strong>in</strong>g<br />
� No “reliances and limitations” section<br />
Real risks not captured by the applied tools → Model Risk!<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
37
Quo vadis, <strong>Risikomanagement</strong>?<br />
38
Die Zukunft des Risiko Managements<br />
Imag<strong>in</strong>e Analyse Act<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
39
Was wir daraus lernen<br />
Imag<strong>in</strong>e<br />
“Wenn wir so denken, wie wir schon immer gedacht haben,<br />
bekommen wir das, was wir schon immer bekommen haben!”<br />
� New bus<strong>in</strong>ess <strong>in</strong>itiatives with clear strategy and consi<strong>der</strong>ation of impact on support<strong>in</strong>g units<br />
� Bus<strong>in</strong>ess case and plan based on realistic assumptions and with regular challenge<br />
� Silo mentality vs. cross-discipl<strong>in</strong>ary communication and discussion → ERM Family!<br />
� Scenario plann<strong>in</strong>g and analysis as fundamental risk management tool:<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
40
Was wir daraus lernen<br />
Analyse<br />
Erkennen und überwachen <strong>der</strong> relevanten<br />
Risiken<br />
Highly sophisticated models <strong>in</strong> place “All models are wrong! But some are useful.”<br />
� Reliances and Limitations openly addressed<br />
and clearly communicated<br />
� Fundamental analysis of un<strong>der</strong>ly<strong>in</strong>g risks<br />
� In-house valuation <strong>in</strong>stead of heavy<br />
(exclusive?) reliance on external parties, e.g.<br />
agency rat<strong>in</strong>gs<br />
� Comprehensive limit system: we surely have<br />
enough limits, but do we have the right ones?<br />
� Have measures <strong>in</strong> place to deal with model risk,<br />
e.g. nom<strong>in</strong>al budgets, stress tests<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
41
Was wir daraus lernen<br />
Act<br />
Why?<br />
M<strong>in</strong>imum<br />
Action<br />
Requirements<br />
Beachten von Frühwarnzeichen –<br />
Handeln bevor es zu spät ist!<br />
� Alignment of risk management functions with <strong>in</strong>centives (compensation)<br />
� Risk management functions need sufficient authority, not only <strong>in</strong>dependence<br />
� Risk management is beyond a remote pr<strong>in</strong>ciple & policy unit<br />
R. Sachs – <strong>Risikomanagement</strong><br />
27. August 2008<br />
42
Was wir daraus lernen<br />
E<strong>in</strong> Modell ist e<strong>in</strong> Modell ist e<strong>in</strong> Modell…<br />
≠<br />
E<strong>in</strong> Modell kann ke<strong>in</strong>e Entscheidung treffen –<br />
aber für die Entscheidungsf<strong>in</strong>dung sehr wertvoll se<strong>in</strong><br />
R. Sachs – <strong>Risikomanagement</strong> 27. August 2008<br />
43
Vielen Dank!<br />
Dr. Ra<strong>in</strong>er Sachs
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