PENGuRuSaN RISIKO DI KWSP

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  • GAMBARAN UMUM

    Dalam menetapkan matlamat untuk merealisasikan VisidanMisinya,KWSPperlumemastikanbahawasegalaunsuryangberkaitantelahtersediabagimenguruspelbagairisikoyangtimbuldaripadapersekitaranperniagaanyangsentiasaberubah. Sama ada ianya risiko strategik, kredit, pasaran,kecairan atau operasi, KWSP terus memanfaatkan budayapengurusanrisikonyayangteguhdanrangkakerjapengurusanrisiko yang bersepadu untuk merebut semua peluang danmenanganisemuaancaman.

    Pada2011,KWSPterusmelaksanakanpelbagaiinisiatifyangbertujuanmenerapkanbudayapengurusanrisikoyangkukuhdi setiap peringkat organisasi. Inisiatif ini termasuk latihandan pembangunan sumber manusia secara berterusan,pelaksanaandasaryangkomprehensifdanstrukturorganisasiyang bersesuaian, serta peranan dan tanggungjawab yangditakrifkandenganjelas.

    OVERVIEW

    AstheEPFsetsitssightsonrealisingitsVisionandMission,itneedstoensurethatnecessaryelementsaresetinplacetobettermanagethevariousrisksposedbytheever-changingbusiness environment. Whether it is strategic, credit,market, liquidity or operational risk, the EPF continues toleverage itsrobustriskmanagementcultureand integratedriskmanagement framework to takeadvantageofpotentialopportunitiesandcounterallpossiblethreats.

    In 2011, the EPF continued to implement various initiativesaimed at embedding a strong risk management culturewithin every level of the organisation. These initiativesincluded continuous staff training and development, theimplementationofcomprehensivepoliciesandanappropriateorganisationalstructure,aswellasclearlydefinedrolesandresponsibilities.

    PENGuRuSaN RISIKO DI KWSPRISKMAnAGEMEnTInEPF

    133Lembaga Kumpulan Wang Simpanan PekerjaLaporan Tahunan 2011 Annual Report

  • The EPFs risk management structure provides clear linesofresponsibilityandaccountabilityfortheriskmanagementprocess as well as outlines the principal riskmanagementandcontrolresponsibilities:

    1 The Board and the Investment Panel:

    The Board of the EPF (Board)isretainstheoverallriskmanagementresponsibility;whereas

    The Investment Panel is responsible for therisksrelatedtomakinginvestmentdecisions.

    Mewujudkan polisi risiko/Establishment ofriskpolicy

    Memastikan pelaksanaan dan pematuhan terhadap polisi risiko/Ensureriskpolicyimplementation & compliance

    Pematuhan dan pelaksanaan polisi risiko/Riskpolicyimplementation& compliance

    Jawatankuasa Audit Lembaga/Board Audit Committee

    Disokong oleh Jabatan Audit Dalaman

    SupportedbyInternal Audit Department

    Jawatankuasa Pengurusan Risiko Operasi/

    ManagementOperationsRiskCommittee

    Unit Perniagaan & Cawangan/Business Units & Branches

    32Jabatan&66Cawangan/32 Departments & 66 Branches

    Jawatankuasa Risiko Pengurusan/ManagementRisk

    Committee

    Jawatankuasa Pengurusan Pelaburan/ManagementInvestment

    Committee

    Jabatan Pengurusan Risiko/ RiskManagementDepartment

    Lembaga KWSP/Board of the EPF

    Jawatankuasa Pengurusan Risiko Lembaga/BoardRiskManagementCommittee

    Jawatankuasa Risiko Panel Pelaburan/InvestmentPanelRiskCommittee

    Panel Pelaburan/Investment Panel

    Nota/NoteKWSPmengamalkanpendekatanbawahkeatasdanataskebawahthe ePF practises both a bottom-up and top-down approach

    PENGURUSAN RISIKO DI KWSPRisK manaGement in ePF

    Struktur pengurusan risiko KWSP menyediakan garistanggungjawab dan akauntabiliti yang jelas berkenaanprosespengurusanrisikosertamenetapkantanggungjawabutamadalampengurusandankawalanrisiko:

    1 Lembaga dan Panel Pelaburan KWSP

    Lembaga KWSP (Lembaga) mengekalkantanggungjawab bagi keseluruhan pengurusanrisiko;manakala

    Panel Pelaburan KWSP bertanggungjawabterhadaprisikodalammembuatkeputusanpelaburan.

    Jabatan Pematuhan Pelaburan/ InvestmentComplianceDepartment

    134 Lembaga Kumpulan Wang Simpanan PekerjaLaporan Tahunan 2011 Annual Report

  • 2 TheBoardRiskManagementCommitteeand InvestmentPanelRiskCommittee:

    The Board Risk Management Committee isresponsible for assisting the Board in overseeingall operational riskmanagementactivities (i.e. allactivitiesexceptforactivitiesinmakinginvestmentdecisions)andtoensurethattheriskmanagementprocessisinplaceandisfunctioningeffectively

    The Investment Panel Risk Committee isresponsible for investment risk oversight, whichincludesrecommendingtheaggregateriskappetitefor Investment Panel sign-off, approving riskmanagement policies and limits, reviewing riskexposures, and providing direction in relation toriskmanagement practiceswithin the investmentfunction

    3 Dedicated Committees

    The Management Operation Committee (MORC)is a committee established at the managementleveltooverseetheOperationalRiskManagement(ORM)ofEPF.TheMORCchairedbytheCEOanditsmembersconsistoftheCEO,DeputyCEOs,HeadofRiskManagement,HeadofHumanResourcesandothersasdeemedappropriate

    The Management Risk Committee (MRC) is amanagement-level committee responsible fordeveloping the risk policy and appropriate limitsfor managing the investment risks of the EPF.Its members consist of the CEO, Deputy CEOs,Head of Risk Management, Head of InvestmentCompliance,HeadofQuantitativeandPerformanceAnalysisandrelevantHeadsofDepartment

    The Management Investment Committee (MIC)is a management-level committee responsiblefor evaluating the performance of the EPFsinvestmentsaccording toassetclassesaswellasrecommendinginvestmentstrategiesandproposalstotheInvestmentPanel

    4 The dedicated independent risk management andcompliance functions, namely, the Risk Management Department andtheInvestment Compliance Department,areresponsibleforensuringtheimplementationofandcompliancewithriskpolicies.

    5 The Business Units and Branches comprising 32departmentsand66branchesrespectivelyarethefirstline of defence against risks. They are responsible foridentifying,mitigating andmanaging risks within theirlines of business. They are also to ensure that theirday-to-daybusinessactivitiesarecarriedoutwithintheestablishedriskpolicies,proceduresandlimits.

    PENGURUSAN RISIKO DI KWSPRisK manaGement in ePF

    2 Jawatankuasa Pengurusan Risiko Lembaga dan Jawatankuasa Risiko Panel Pelaburan:

    Jawatankuasa Pengurusan Risiko LembagabertanggungjawabmembantuLembagamengawasisemua aktiviti pengurusan risiko operasi (iaitusemuaaktivitikecualiaktivitimembuatkeputusanpelaburan) dan memastikan bahawa prosespengurusan risiko dilaksanakan dan berfungsidenganberkesan

    Jawatankuasa Risiko Panel Pelaburan bertanggungjawab mengawasi risiko pelaburan,termasuk memperakukan tahap risiko agregatuntukkelulusanPanelPelaburan,meluluskanpolisidanhadpengurusanrisiko,mengkajipendedahanrisikodanmemberikanpanduanberhubungdenganamalanpengurusanrisikodalamfungsipelaburan

    3 Jawatankuasa Khusus

    Jawatankuasa Pengurusan Risiko Operasi adalahsatu jawatankuasa yang diwujudkan di peringkatpengurusan untuk memantau pengurusan risikodiKWSP.JawatankuasaPengurusanRisikoOperasidipengerusikanolehKetuaPegawaiEksekutifdanahlinya terdiri daripadaKetuaPegawai Eksekutif(KPE), Timbalan KPE, Ketua Jabatan PengurusanRisiko,KetuaJabatanPengurusanSumberManusiadanmana-manalainyangdirasakansesuai

    Jawatankuasa Risiko Pengurusan adalahjawatankuasa peringkat pengurusan yangbertanggungjawabmerangkapolisidanhadrisikoyang sesuai untukmenguruskan risiko pelaburanKWSP.Ahli-ahlinyaterdiridaripadaKPE,TimbalanKPE, Ketua Jabatan Pengurusan Risiko, KetuaJabatan Pematuhan Pelaburan, Ketua JabatanKuantitatif dan Analisa Prestasi dan Ketua-ketuaJabatanyangberkaitan

    Jawatankuasa Pengurusan Pelaburan adalahjawatankuasa peringkat pengurusan yangbertanggungjawab menilai prestasi pelaburanmengikutkelasasetsertamencadangkanstrategisertapeluangpelaburankepadaPanelPelaburan

    4 FungsipengurusanrisikodanpematuhanyangkhususdanberkecualidilaksanakanolehJabatan Pengurusan Risiko dan Jabatan Pematuhan Pelaburan, yangbertanggungjawabmemastikanpolisirisikodilaksanakandandipatuhi.

    5 Unit Perniagaan dan Cawangan, dimanamasing-masingterdiridaripada32jabatandan66cawanganmerupakanbarisanpertahananhadapanmenghadapirisiko.Merekabertanggungjawabmengenalpasti,mengurangkansertamenguruskanrisikoyangberkaitandenganbidangtugasmereka.Mereka jugaperlumemastikanbahawa tugasharianyangdilaksanakanmematuhipolisi,prosedurdanhadyangtelahditetapkan.

    135Lembaga Kumpulan Wang Simpanan PekerjaLaporan Tahunan 2011 Annual Report

  • 6 The Board Audit Committee, supportedbytheInternalAudit Department, is responsible for providing anindependentassessmentoftheadequacyandreliabilityofthesystemofinternalcontrols,aswellascompliancewithpoliciesandprocedures.

    INVESTMENT RISK MANAGEMENT

    FRAMEWORK

    TheInvestmentRiskManagementFrameworkaimstosupporttheinvestmentprocessesoftheEPFandensurethatproperriskgovernanceisinplacewithregardtoinvestmentdecisionmaking.

    The frameworkprovidesaholisticviewof theriskprofileoftheEPFs investmentportfolio. ItenablestheEPFtohaveacommon approach in identifying, measuring, monitoringandmanaging our portfolio risks. Thiswill ensure the EPFoptimises return on risk taking activities within its risktolerancelevels.

    Theriskgovernanceframeworkisillustratedinthefollowingchart.

    Proses, Polisi & Prosedur Risiko/Risk Processes, Policies & Procedures

    Sistem Risiko & Data/Risk systems & Data

    Organisasi Pengurusan Risiko yang Berkesan/effective Risk management organisation

    Penentu Risiko & Had/Risk Quantification &

    Limits

    Alokasi Aset Strategik/strategic asset allocation (saa)

    Alokasi Aset Taktikal/tactical asset allocation (taa)

    Proses Pelaburan/investment Process

    Pemilihan Sekuriti & Pengurusan Portfolio/security selection & Portfolio management

    Pengukuran Risiko/Risk measurement

    Laporan Risiko & Prestasi/

    Risk Performance & Reporting

    PENGURUSAN RISIKO DI KWSPRisK manaGement in ePF

    6 Jawatankuasa Audit Lembaga, dengan dibantuoleh Jabatan Audit Dalaman, bertanggungjawabmelaksanakanpenilaianbebasterhadapkecukupandankeutuhan sistem kawalan dalaman serta pematuhanterhadappolisidanprosedur.

    PENGURUSAN RISIKO PELABURAN

    RANGKA KERJA

    Rangka Kerja Pengurusan Risiko Pelaburan adalah untukmembantuprosespelaburanKWSPdanmemastikan tadbirurus yang sesuai dipraktikkan dalam membuat keputusanpelaburan.

    Rangka kerja ini memberikan gambaran yang menyeluruhberkenaan profil risiko portfolio pelaburan KWSP. Iamembolehkan KWSP menggunakan pendekatan yangsama untuk mengenal pasti, mengukur, memantau danmenguruskan risiko portfolionya. Dengan ini, KWSP dapatmemastikan pulangan yang optimum daripada aktivitipelaburannya setelah mengambil kira lingkungan tahaprisiko.

    Rangkakerjatadbirurusrisikodigambarkanmenerusicartadibawah.

    Rangka kerja tadbir urus risikoRiskgovernanceframework

    136 Lembaga Kumpulan Wang Simpanan PekerjaLaporan Tahunan 2011 Annual Report

  • METHODOLOGY AND PROCESS OF THE INVESTMENT RISK MANAGEMENT

    MARKET RISK MANAGEMENT

    Market risk is the riskof loss fromchanges in the valueofportfoliosandfinancialinstrumentsduetothemovementsininterestrates,foreignexchangeandequityprices.

    Theprimaryobjectiveofmarketriskmanagementistoensurethatlossesfrommarketriskcanbepromptlymitigated,andthatriskpositionsaresufficientlyliquid.ThiswillenableEPFtoreduce itspositionwithout incurringpotential lossthat isbeyondEPFsriskappetite.

    TheEPFadoptsthefollowingtoolstomanagemarketrisk:

    ValueatRisk(VaR)-anestimationoftheamountofmarketvaluethataportfoliocanloseoveracertaintimehorizonwithagivenprobability.TheMonteCarloSimulation isused to compute VaR tomeasure the riskiness of theportfolios

    Duration-alinearmeasureofriskforabondtodefinethepercentage increase (decrease) in thebonds valuefora1%fall(rise)inthebondsyield

    Trackingerror- refers to thestandarddeviationof theportfoliosexcessreturnsrelativetoabenchmark

    Simulationanalysis, includingstress testing isanothermethodofexaminingportfolioriskinextremesituations.Stress testing involves setting parameters such ascorrelation, volatility and returns at different values aswellasassessinghowaportfoliosriskmaychange

    Betameasurementusedforgaugingtheequityspricesensitivitiesagainstbenchmark

    PENGURUSAN RISIKO DI KWSPRisK manaGement in ePF

    KAEDAH DAN PROSES PENGURUSAN RISIKO PELABURAN

    PENGURUSAN RISIKO PASARAN

    Risiko pasaran adalah risiko kerugian daripada perubahandalam nilai portfolio dan instrumen kewangan disebabkanoleh pergerakan harga pasaran sama ada berkaitan kadarfaedah,tukaranwangasingdanhargaekuiti.

    Objektif utama pengurusan risiko pasaran adalah untukmemastikan agar kerugian daripada risiko pasaran dapatdikawaldengansegera,danpendedahanberisikomempunyaikecairan yang mencukupi bagi membolehkan KWSPmengurangkan pendedahan tersebut tanpa menanggungkerugianyangmelebihitahaprisikoKWSP.

    KWSP mengguna pakai pendekatan berikut untukmenguruskanrisikopasaran:

    nilai berisiko (VaR) anggaran jumlah nilai pasaranyangbolehditanggungkerugiannyaolehsesuatuportfoliodalamtempohmasatertentupadatahapkebarangkalianyangtelahditetapkan.SimulasiMonteCarlodigunakanuntukmengiraVaRbagimengukurtahaprisikoportfolio

    Tempohmasa ukuran linear risiko bagi sesuatu bonuntukmentakrif peratusan kenaikan (atau penurunan)terhadapnilaibontersebutbagikejatuhan(ataukenaikan)1%bagihasilyangdiperolehdaripadabontersebut

    Tracking Error merujuk kepada sisihan piawai bagilebihanpulanganportfolioberbandingpenandaaras

    Analisis simulasi, termasuk ujian tekanan adalah satulagikaedahmengujirisikoportfoliodalamkeadaanyangsukar. Ujian tekananmelibatkan penetapan parameterseperti korelasi, volatiliti dan pulangan pada nilai-nilaiyang berlainan dan menilai bagaimana risiko sesuatuportfoliobolehberubah

    Pengukuranbetadigunakanuntukmengukursensitivitihargasesuatuekuitiberbandingpenandaaras

    137Lembaga Kumpulan Wang Simpanan PekerjaLaporan Tahunan 2011 Annual Report

  • CREDIT RISK MANAGEMENT

    Creditriskistheriskoflossduetotheinabilityorunwillingnessofaborrower/counterparty tomeet itspaymentobligations.Exposure to credit risk arises through lending, hedging,tradingandinvestingactivities.

    Theprimaryobjectiveofcreditriskmanagementistoensurethat the EPFs exposure to credit risk is always within itscapabilityandfinancialcapacitytowithstandpotentialfuturelosses.

    TheEPFassesseditscreditexposuresthroughvarioustoolssuchas:-

    CreditPortfolioModellingusedtocomputeCreditVaRforgaugingthecreditriskexposure

    Corporate Rating Template provides a statistically-basedinternalriskratingforcorporateborrowersandisconsistentwithbestpracticeratingmodelsoffinancialinstitutions

    LIQUIDITY RISK MANAGEMENT

    Liquidity risk relates to the inability to meet financialcommitmentsandobligationswhen they falldue.TheEPFmaintainsadequatelevelsofliquidassetsintheformofcashand placements in financial institutions in order to meetmembers withdrawals and other financial commitmentsandobligations.

    MONITORING AND REVIEWING OF INVESTMENT RISK MANAGEMENT

    TheInvestmentPanelthroughtheRiskAppetiteStatementsdefinesthelevelofrisksthattheEPFiswillingtotolerate.This forms the basis of investment funds allocation. TheInvestmentPanelRiskCommittee(IPRC)providesoversightoninvestmentriskmanagementactivitiesandreviewsrisksintheEPFsinvestmentportfolio.

    The Management Risk Committee (MRC) in its meetings,reviewsportfolioriskreportstoidentifykeysourcesofriskacrossallassetclasses.Basedontheriskreports,theMRCmonitors large risk concentrations and determines theappropriateactiontob...

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