Comisión Nacional del Sistema de Ahorro para el Retiro
description
Transcript of Comisión Nacional del Sistema de Ahorro para el Retiro
Camino a Santa Teresa # 1040 8o. piso, Col. Jardines en la MontañaDelegación Tlalpan, C.P. 14220, México D.F.
Tel. +52 (55) 3000-2608 y 3000-2548 www. consar.gob.mx
Comisión Nacional del Sistema de Ahorro para el Retiro
Session II: Risk Identification and Focus and Risk Indicators
Risk Identification in practice
Thursday 8th September, 2011, Lima - Peru
PENSION FUNDS (AFORES) Internal Architecture
Investments Unit
Independent and central risk management Unit
Compliance Officer
(ensuring observance of
all the regulations)
Investment Commitee
Risk Management
Commitee
2
Accounting Dept
Legal Dept
Operation Dept
Comercial Dept
Back Office
Board of Directors
C.E.O.
Shareholders
Invest
ment
manag
emen
t
proced
ure
manua
l. Risk
manag
eme
nt
proced
ure
manua
l
Prospe
ctu
s
Indep
ende
nt
Expe
rt.Ind
epen
dent
Couns
elor.
Indep
ende
nt
Couns
elor. • Self- correction
programs
• monthly
Reports
Indep
ende
nt
Boar
d m
embe
r
Minutes of committee
CONSAR has different methods and processes for identifying risks within a pension fund
Comercial Dept
- Corporate governance defined in regulation must operate efficiently and fulfill the responsibilities entrusted to it.- The manuals describe prudential measures, internal processes, best execution practices, etc.- A prestigious independent expert must evaluate once a year, processes and models of the Specialized Risk Management Unit- The Compliance Officer, through “Self- correction programs” reported failures of regulation and is responsible for following up.With this AFORES achieves a 75% discount on the amount of sanction.
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Supervision Process runs on daily basis.
SUPERVISION PROCESSAFORES
CONSAR(DATABASE)
• INDEVAL• LOCAL CUSTODY• INTERNATIONAL CUSTODY
SUPERVISION(DATABASE)
Characteristics of instruments
Prices Risk Factors
• PRICE VENDORS.• VALUATION AGENTS.• INFORMATION SYSTEMS.
Surveillance System
RiskWatch
Riskwatch System
Risk Analysis System
Analysis and Reporting
Workflow System
- Regulatory non compliance- Advices.- Sanctions
(IN
SPEC
TIO
N) In due time and
proper form
Preserved without modification for legal
support.
• Sell/ Buy activityOn daly basis (Before 18hrs)•Siefores’ asset holdings.•Accounting (Financial Statement, Cash flows, balance sheets.•VaR Scenarios• Derivative holdings.
• Note decompositions
Transmits information
http://www.consar.gob.mx/normatividad/pdf/normatividad_emitida/circulares/Compilacion_19-8_19-9_19-10_y_19-11.pdf
Riskwatch System
-Stress Tests-What if analysis-Credit Risk
-Curve Shift-FX Shocks-Liquidity Risk
-Monte Carlo VaR-Historical VaR- VaR Contribution
Mexico's economic crisis of 1994 was the last and most recent crisis in the country of global implications.
X = 100%94%
29%21% 19%
13% 12%2%
0%10%20%30%40%50%60%70%80%90%
100%
Mexican Crisis1994
Russian Crisis1998
Máximo Drawdown
(22-oct-2008)
Asian Crisis1997
+100 PBS -5% inflationSeptember 11
2001
-5% MXPUSD
TEQUILA EFFECT BASE INDEX (100% = Tequila effect)
In the period from 15 to 30 December 1994 the rate Cetes 28 days rose from 13.75% to 31%, the exchange rate peso-dollar exchange rose from 3.4606 to 4.995 and later reach levels per dollar of 7.2 and stabilized at 6 pesos on average
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Example
Siefore B1 B2 B3 B4 B5 SISTEMABonos Guber. a tasa fija 41.0% 27.7% 31.3% 23.3% 25.8% 29.8%Renta Variable Nacional 0.0% 32.0% 27.4% 32.5% 31.5% 24.7%Renta Variable Extranjera 0.0% 15.4% 17.3% 20.1% 15.0% 13.5%Derivados FX y tasas 10.0% 7.4% 14.6% 14.4% 19.7% 13.2%Bonos Guber. A Tasa Real 29.8% 8.4% 6.1% 6.8% 5.5% 11.3%Deuda Privada Nacional y otros 17.8% 9.4% 4.9% 3.7% 4.3% 8.0%Deuda Extranjera 4.3% 1.6% 1.2% 1.2% 0.7% 1.8%Bondes182, BPA182 0.8% 0.0% 0.0% 0.0% 0.0% 0.2%Cetes 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%IPAB 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Bursatilizados 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%Revisables BANXICO 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%Efectivo -0.4% -0.1% -0.1% -0.2% -0.4% -0.2%UMS -3.2% -1.8% -2.8% -1.9% -2.0% -2.3%TOTAL VaR 100% 100% 100% 100% 100% 100%
Another complementary tool is the value at risk contribution
Contribution to Value at Risk (Base 100 by type of Siefore)
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Example
The marginal VaR for derivatives represents the amount of risk that derivatives will add to the portfolio
Siefore Básicas 1 Básicas 2 Básicas 3 Básicas 4 Básicas 5AFORE 1 0% 0% 0% 0% 0%AFORE 2 0% 0% 0% 0% 0%AFORE 3 0% 0% 0% 0% 0%AFORE 4 11% -4% -2% 6% -4%AFORE 5 0% 1% 4% 3% 6%AFORE 6 7% 7% 8% 9% 16%AFORE 7 2% 8% 9% 23% 18%AFORE 8 18% 3% 18% 23% 33%AFORE 9 17% 12% 23% 23% 29%AFORE 10 8% 12% 14% 32% 46%AFORE 11 0% 21% 26% 38% 46%AFORE 12 10% 21% 22% 34% 52%AFORE 13 37% 31% 25% 30% 35%AFORE 14 18% 28% 38% 51% 62%AFORE 15 29% 50% 56% 54% 57%SISTEMA 12% 18% 26% 34% 42%
(Total VaR)
Derivatives
(VaR without derivatives)
-
( A )
( B )
( A ) – ( B )
( A )
If (B) is greater than (A) means that derivatives help reduce the risk.
=
Example
Surveillance System
Rgimen de Inversin
Contabilidad
• Verifies Investment Regime fulfillment, valuation and accounting records.
Investment Regime
Financial accounting validations
To validate more than 2,000 instruments in 187 funds takes approximately two hours
Risk Analysis System
Rgimen de Inversin
Contabilidad
• Performance Contribution
• Daily gains and losses• Asset Allocation Reports• Historical Analysis• Diversification Reports• Relevant Trades
(outliers)• Inflows and Outflows.• Risk Measures (WAM,
Durations, Maximum Drawdown
• , etc)• Liquidity Reports• Credit Reports• Sectorial Reports• Net Return Indexes• Etc.
Inspections (Prudential reviews on-site)
Rgimen de Inversin
Contabilidad
2. Corporate Governance 3. Compliance
Officer4. Back Office and Treasury
5. Independent and central risk management Unit
1. Investments Unit
Inspector focuses on problems or vulnerabilities of each AFORE.
Risk
Identification Actio
ns to
redu
ce ri
skAnalysis &
Risk Scoring Update
Inspections (Prudential reviews on-site)
The topics reviewed and the depth of the in-situ inspection vary in each case depending on
The profile of the Afore The size and complexity of its operations Previous problems or weaknesses identified Qualifications of its operators Failures detected through the daily surveillance of portfolios.
If a weakness is identified and a recommendation is emitted and depending on the seriousness of the breach
Functionaries and/or operators may be removed Investment authorizations in specific instruments may be
revoked Even the license to operate may be revoked. Legal action may be taken
CONSAR has different methods and processes for identifying risks within a pension fund
-Inspections
-Surveillance System
-Quantitative Risk Analysis
-Independent Expert
Reviews
-Compliance Officer Monthly Reports
-Internal Reports and meetings
…Others
-Questionnaires to the Afores
-Self-correction programs
Camino a Santa Teresa # 1040 8o. piso, Col. Jardines en la MontañaDelegación Tlalpan, C.P. 14220, México D.F.
Tel. +52 (55) 3000-2608 y 3000-2548 www. consar.gob.mx
Comisión Nacional del Sistema de Ahorro para el Retiro
Session II: Risk Identification and Focus and Risk Indicators
Risk Identification in practice
Thursday 8th September, 2011, Lima - Peru