Ersdel 1

1.
2.
3.
4.
5.
" "-

6.
7.
Copyright by Munkhzaya.B 2012
. / /
2012-10-18
8.
10/17/2012
, ,

VaR

10/17/2012
1. ,
,
10/17/2012
y 3000 -
,
.
y XVII
.
y 1916 (Henry Fayol)

.
4
1931 -

.

.

.
10/17/2012
10/17/2012
10/17/2012
y 1973 (Bretton Woods
system)
,

.
y ,
.

.
7
10/17/2012

,

.
y
y
y
y
10/17/2012
2.

, .
10/17/2012
10
10/17/2012
1
2
3
4
5
1
2
3
4

11
www.bis.org
10/17/2012
12
10/17/2012
,
1.
2.
3.
4.
5.
6.
7.
8.
9.
13
/Interest rate risk/

/market risk/
/credit risk/
/off-balance-sheet
risk/

/technology risk, operational risk/
/foreign exchange risk/

/country risk/
/liquidity risk/
/insolvency risk/
10/17/2012
No min al rate Risk free rate Risk primium
Re al rate No min al rate Inflation

2012-10-01
14
13.25%
15.6%
10/17/2012
Change in MNT deposits (right axis)

40
100
Change in FX deposits (right axis)
80
Inflation in Mongolia
30
60
Real interest rate on MNT deposits
40
20
20
10
0
-20
0
Feb-07
May-07
Aug-07
Nov-07
Feb-08
May-08
Aug-08
Nov-08
Feb-09 -40
-60
-10
-80
-20
-100
: MONGOLIA MONTHLY ECONOMIC UPDATE

WORLD BANK April 2009 http://www.worldbank.org.mn
15
17
10/17/2012
16
10/17/2012
1.

2.

3.
,

,

.
10/17/2012
,

, .

( )
.
18
10/17/2012
250
200
150

y
, ,
,
,
.
y
, ,
,
.
100
//
50
19
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
1995
1994
1993
10/17/2012
20

y

?
?
.
y

21
10/17/2012
y ,

.
y
.

.
y
.
22
60.0%

/ /
50.0%
4000
3500
40.0%
3000
2500
30.0%
2000
20.0%
1500
1000
10/17/2012
y
y
y
10.0%
500
0

y

.
y
.
y
1996-2011
4500
10/17/2012

5000
0.0%
1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
23
10/17/2012
24
10/17/2012
25

.
y

// .

,
,

.
y ,
, .
10/17/2012
26

,

.
y
,
,

.
10/17/2012
10/17/2012

,
,

.
27
28
10/17/2012
USD/MNT-
2006-01-02 - 2010-02-26
1700.00
1600.00
1500.00
1400.00
1300.00
1200.00
1100.00
1000.00
Series1
29
10/17/2012
30
10/17/2012
Euro money index
0-100%-
.

.
y
.
y political risk (25% weighting),

y economic performance (25%),
y debt indicators (10%),
y debt in default or rescheduled (10%),
y credit ratings (10%),
(Moodys, SandP, Fitch)
y access to bank finance (5%),

y access to short-term finance (5%),
y access to capital markets (5%)

y forfaiting (5%).
31
10/17/2012
32
10
2008 3
Rank
Previous
1
2
3
4
5
6
7
8
9
10
1
2
3
4
5
6
10
9
8
7
Country

.
2.
.

.
3.
.
1.
99.88
97.47
96.21
93.39
92.96
92.36
92.25
91.95
91.95
91.27
33
10/17/2012
34
1,2,3
1,2,3
1,2,3
1, 2, 3
1, 2, 3
1, 2, 3

1.

2.

Moody's
Standard &
Poor's
Fitch
Aaa
AAA
AAA
Aa1
Aa2
Aa3
AA+
AA
AA-
AA+
AA
AA-
A1
A2
A3
A+
A
A-
A+
A
A-
Baa1
Baa2
Baa3
BBB+
BBB
BBB-
BBB+
BBB
BBB-
3.
WR

NR

35 P

10/17/2012
10/17/2012
Moodys, Standard & Poor's, Fitch -

Moodys-
10/17/2012
.
Moodys, Standard and Poors, Fitch rating
Score
Luxembourg
Norway
Switzerland
Denmark
Sweden
Ireland
Austria
Finland
Netherlands
United States
36
10/17/2012
y ,

,

,
.
.
y

.

.
y

.

.
37
10/17/2012
38

Millions
2,000.0
1,800.0
1,600.0
1,400.0
1,200.0
1,000.0
800.0
600.0
400.0
200.0
12/31/97
06/30/98
12/31/98
06/30/99
12/31/99
06/30/2000
12/31/2000*
06/30/2001
12/31/2001
06/30/2002
12/31/2002
6/30/2003
12/31/2003
8/31/2004
2/28/2005
8/31/2005
2/28/2006
8/31/2006
2/28/2007
8/31/2007
2/29/2008
8/31/2008
2/28/2009
8/31/2009
2/28/2010
.
y ,

.
y

.

39
10/17/2012
10/17/2012

2008-1 2010 2
20%
y ,
15%
, , ,
, ,
,

.
y
,

.
10%
5%
0%
-5%
-10%
-15%
-20%
-25%

42
10/17/2012
/1990-2010 /
31

14
13
12
15
14
8
5
1 2 2
1990-1994 1995-1999 2000-2004 2005-2010
43
10/17/2012
44
10/17/2012
, ,

.
.
:
, .
.
.

.

.
45
10/17/2012
46
10/17/2012

4,000
3,500
y 1995 2- 26 233
Cendant , 2,800
Sumitomo , 2,600
Credit Lyonnais,
2,400
Bank of Credit and
Commerce
Interantional /BCCI/,
1,500
2,000
1,500
Metallgesellschaft,
1,500
1,000
500
1980
10/17/2012
Washington Mutual,
3,200
2,500
47
LTCM, 3,500
3,000
Baring .
26 Nicholas Leeson

1.3 .
y

.

.
Bank of America,
4000
Continental Illinois,
3,600
48
1985
1990
Notern Rock, 2,500
Orange county, 1,600

Barings Bank, 1,200
Key stone, 1,100
Bankgesellschaft
Daiwa, 1,100
Berlin, 800
Allied Irish Banks,
691
Bankers Trust , 177
NatWest, 118
1995
2000
2005
2010
10/17/2012
49

. ,
,
, , ,
,
.
1940-

.
10/17/2012
50
y ,
y 1990- ,
10/17/2012
. 1995-1996

,
.
52
10/17/2012
,
,
.

.
2007-2008

.
,

.

.
53
10/17/2012
,
.

.
y 1950-
.

VaR .
51
10/17/2012
54
10/17/2012

y 2009
3.
55
10/17/2012

- .

,
, ,

. (ISO/AZ/NZS
31000, 2009)
56
10/17/2012
1.
1.
2.
3.
4.
1.
2.
3.
4.

,

,
,
.
y
, , ,
, ,
,
.
y , ,
. (ISO/AZ/NZS
31000, 2009)

, .
6.
, , , ,

5.

,
: (ISO/AZ/NZS 31000, 2009)

57
10/17/2012
58
10/17/2012
2.
2.
y ,
y .

. :
,
, .
y
.
: , ,
, .
, ,
.
,
.
,
, ,

,
.
y

,
.
59
10/17/2012
60
10/17/2012

?

?

?
SWOT
61
Copyright by Munkhzaya.B
2012
10/17/2012
62
2012
10/17/2012
SWOT
Top down/
Bottom up
approach
Interview
Brainstorming

63
2012
10/17/2012
64
2012
10/17/2012
2012
10/17/2012
66
65
2012
10/17/2012
67
2012
10/17/2012
68
2012
10/17/2012
3.
4.
y ,
. ,

.

.
y
.

VaR (Value at Risk)
.

.
69
10/17/2012
.
,

.
, , ,
, ,

.
70
10/17/2012
71
2012
10/17/2012
72
2012
10/17/2012
y Fault tree analysis
73
2.
2012
10/17/2012
74
2012
10/17/2012

Fault tree analysis

Positive fault
tree analysis
Negative fault
tree analysis
Fault tree analysis

75
2012
10/17/2012
76
2012
77
2012
10/17/2012
10/17/2012

-
-
-
,
-
-
-
-
-
-

-
-
-
2012
78
1=
10=
3
5
9
0,3% - 0,5%
1,0% - 2,0%
7,0% - 10,0%
4
8
2
0,5% - 1,0%
5,0% - 7,0%
0,1% - 0,3%
10
6
3
> 10,0%
2,0% - 3,0%
0,3% - 0,5%
1
8
2
0,0% - 0,1%
5,0% - 7,0%
0,1% - 0,3%
10/17/2012
Loss Given Event (LGE and LGER)
79
Copyrigth by Munkhzaya.B
2012
Loss Given Event (LGE and LGER)
80
y :

0,2%

100

0,2
,
2. ,
3.
.
1.
EL=EI PE LGER
2012
10/17/2012
82
10%
2
0,2
2012
10/17/2012
5.
5.
1.
3.
, .

.
,

.
.
,

.

.
.
.
2.
. ,
, .
.
.
.

.
. (Brown, 2005)
83
2012
81
Copyrigth by Munkhzaya.B
10/17/2012
84
10/17/2012
5.
6.
4.

.
,
.
.
, ,
.
y , ,
,
, ,
.
,

, .
y
.
.
y
.
y
.
85
10/17/2012
86
6.
KPI KRI
.
2012
10/17/2012
6.

, .
87
10/17/2012
88
2012
Balanced
score card
-
-
-
-
ERM
software
10/17/2012

.
:
y
y
y
y
y ,
y
y
y ,
y , ,
y ,
.
89
10/17/2012
4. VaR
90
10/17/2012
VaR
VaR
Phillipe Jorion- :
Value at Risk (VaR) ,
,
.
(Delta Normal)
(Historical simulation)
- (Monte Carlo Simulation)

(EWMA)
5. GARCH (Generalized autoregressive
conditional heteroskedastic)
6. - (VarianceCovarianve)
1.
2.
3.
4.
VaR P * *
-
-
-
91
10/17/2012
92
10/17/2012
VaR
VR
(Delta Normal) .

.
(95% 99%)
.
VaR P * *
93
10/17/2012
94
y : 2 16- 5,500,000
VaR P
2 17

95%- .
y :
0,02217.
y P
y

y 95%
10/17/2012
y 99%
=2.33
=1.65
-
95
10/17/2012
96
10/17/2012
VaR

historical
simulation
.
VaR P
5,500,000.00 1.65 0.02217
201,192.75
y 5.5 201,2
95%- .
y N
VaR VaR N
97
10/17/2012
98
y -

.

yt j Tt11

VaR- .

m
1 j

m

VaRt HS m,
w mj yt j t 1
y

t j
m
1
t 1
10/17/2012

.

dY
dt dW
Y
. W Wiener .
100
y Wiener
VaR P MD

. -
VaR
10/17/2012
- VaR
Yt Yt 1 t 1t t 1 zt t
10/17/2012
- VaR
VaR
99
y P
y MD - MD D /(1 R )
(0,1)-
.
y 99%
y 95%
=2.33
=1.65
y - -
101
10/17/2012
102
10/17/2012
y 50,000,000 10%- , 5
VaR P MD
4,21
2 17

95%-
.
y :
0,00125 .
4.21
50,000,000.00
1.65 0.00125
1 0.1
394,687.50
50 394,687.50
95%- .
103
10/17/2012
104
10/17/2012
5.
105
VaR

Undiversified VaR
10/17/2012
y = 1- VaR
y = 2- VaR
y = 3- VaR
107
(2 1,3 VaR1 VaR3 ) (2 3, 2 VaR3 VaR2 )
1-
2-
3-
1-
2-
1, 2
10/17/2012
y 4 VaRp- .
y = VaR
VaR12 VaR2 VaR3 (2 1, 2 VaR1 VaR2 )

2
VaR p
106
1,769,883.16
381,810,00
394,687.50
201,192.75
2,747,573.41
3-
1,3
USD/MNT
2,3
10/17/2012
108
USD/MNT
0.1306 -0.20362
0.172
-
-0.44091
0.32652
0.15615
-
10/17/2012
VaR
:
y VaR
y
y VaR
1,7698883.16 2 381,810.00 2 394,687.50 2 201,192.75 2

(2 0.1306 1,7698883.16 381,810.00)
(2 (0.20362) 1,7698883.16 394,687.50)
VaR p (2 (0.44091) 1,7698883.16 201,192.75)
1,783,073.35
(2 0.172 381,810.00 394,687.50)
(2 0.32652 381,810.00 201,192.75)
(2 0.15615 394,687.50 201,192.75)
2 17 1,783,073.35
95%- .

diversified VaR .
109
10/17/2012
110
:
y VaR-
.
y VaR .
y

.
y
.
y
.
10/17/2012
VaR
VaR
111
10/17/2012
y 1960-1970 City .
y 1996 Basel .
y 1998 .
y 2004 .
112
10/17/2012

y VaR-
6.
113
. VaR-
VaR- (Backtesting)
VaR-
.
10/17/2012
114
10/17/2012
VaR-

VaR-
.6
.4
.2
.0
-.2
-.4
VaR
T=255
T=510
T=1000
99%
N<7
1 < N < 11
4 < N < 17
97,5%
2 < N < 12
6 < N < 21
15 < N < 36
95%
6 < N < 21
16 < N < 36
37 < N < 65
92.5%
11 < N < 28
27 < N < 51
59 < N < 92
90%
16 < N < 36
38 < N < 65
81 < N < 120
-.6
2001
2002
2003
2004
2005
2006
2007
2008
PROUSD
VARLONGUSD
VARSHORTUSD
12
-4
-8
2001
115
2002
2003
2004
2005
2006
2007
2008
PROXAU
VARLONGXAU
VARSHORXAU
10/17/2012
116
10/17/2012
VaR-

0
1
2
3
4
5
6
7
8
9
10
3.00
3.00
3.00
3.00
3.00
3.40
3.50
3.65
3.75
3.85
4.00
8.11%
28.58%
54.32%
75.81%
89.22%
95.88%
98.63%
99.60%
99.89%
99.97%
99.99%
7.

, , .
250 250-
95
99.99
.
117
10/17/2012
118
10/17/2012
y Stress testing

.
y Scenario Analysis

.

.
y
y
y
y
y
119
10/17/2012
120
10/17/2012
1.
y 6%
/.
/
y 20%
/.
/
y . 10%
y . , 10%
(
)

10/17/2012
122
1987.10.19
1990
1990.08.03
1991-2
1994
1992
ERM
1995.01.23
1997.10.27
1998.08.27
10
1999
11
2001.09.11
-0.90
-2.7
-5.6
-4.2
*
-1.00
-1.90
-3.80
-3.6
-2.6
-1.8
2002
2008
10/17/2012
-4.8
124
(Hosking 1985)
.
y VaR
*
n

n
n 1 ln 1

7.8590 c 2.9554 c 2
Jan-2003
Jan-2004
Jan-2005
Jan-2006
Jan-2007
Jan-2008
-0.002
-0.004
-0.006
USD/MNT Min
GEV 99%
GEV 99.5%
Jan-2003
l2
n
!1 1 2

l1 !1 1

10/17/2012
USD/MNT GEV
125
10/17/2012
-3.4
2008
-2.20
12
123 13
/EVT/
121
1,
Jan-2004
Jan-2005
Jan-2006
Jan-2007
Jan-2008
-0.02
-0.04
-0.06
JPY/MNT Min
10/17/2012
126
GEV 99%
GEV 99.5%
10/17/2012
0
Jan-2003
Jan-2004
Jan-2005
Jan-2006
Jan-2007
Jan-2003
-0.01
Jan-2008
Jan-2004
Jan-2005
Jan-2006
Jan-2007
Jan-2008
-0.02
-0.02
-0.03
-0.04
-0.04
-0.05
-0.06
-0.06
EUR/MNT Min
CHF/MNT Min
GEV 99%
GEV 99%
GEV 99.5%
GEV 99.5%
0
Jan-2003
Jan-2004
Jan-2005
Jan-2006
Jan-2007
Jan-2003
Jan-2008
-0.02
Jan-2004
Jan-2005
Jan-2006
Jan-2007
Jan-2008
-0.005
-0.04
-0.01
-0.06
CHY/MNT Min
GBP/MNT Min
127
GEV 99%
GEV 99%
GEV 99.5%
GEV 99.5%
10/17/2012
128
10/17/2012
0
Jan-2003
Jan-2004
Jan-2005
Jan-2006
Jan-2007
Jan-2008
-0.01
8.

-0.02
-0.03
RUB/MNT Min
GEV 99%
GEV 99.5%
0
Jan-2003
Jan-2004
Jan-2005
Jan-2006
Jan-2007
Jan-2008
-0.05
-0.1
-0.15
XAU/MNT Min
129
GEV 99%
GEV 99.5%
10/17/2012
130
2
.

.
1.
2.
3.
4.
10/17/2012
132
2
,
.
131
10/17/2012

.
.
10/17/2012

.
y 2 .
1.
2.
Sourse:http://en.wikipedia.org/wiki/File:Total_world_wealth_vs_total_
world_derivatives_1998-2007.gif
133
10/17/2012
134

(underlying assets)
y
y
135

, .

CME, COMEX NYMEX
.
,
.

.

.
10/17/2012
10/17/2012
136
10/17/2012
y (hedging)

,
.
y ,

.
y
y
137
10/17/2012
138
10/17/2012
(long hedge),
y
(long hedge),
2. (short hedge)
y

.
,
.
1.
139
10/17/2012
( , , )

.
140
10/17/2012
(short hedge),
y
(, )

.
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

11. , ,

12. , ,
141
10/17/2012
142
10/17/2012

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Copyright by Munkhzaya.B 2012

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Copyright by Munkhzaya.B 2012

y 1973 (Bretton Woods

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

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/Interest rate risk/

Copyright by Munkhzaya.B 2012

No min al rate Risk free rate Risk primium

Re al rate No min al rate Inflation

Copyright by Munkhzaya.B 2012

Change in MNT deposits (right axis)

Real interest rate on MNT deposits

: MONGOLIA MONTHLY ECONOMIC UPDATE

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Euro money index

y political risk (25% weighting),

y debt in default or rescheduled (10%),

y credit ratings (10%),

(Moodys, SandP, Fitch)

y access to bank finance (5%),

y access to capital markets (5%)

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Moodys, Standard & Poor's, Fitch -

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

1990-1994 1995-1999 2000-2004 2005-2010

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Copyright by Munkhzaya.B 2012

Notern Rock, 2,500

Orange county, 1,600

(2 1,3 VaR1 VaR3 ) (2 3, 2 VaR3 VaR2 )

VaR12 VaR2 VaR3 (2 1, 2 VaR1 VaR2 )