商业银行管理2.pptVIP

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(3)市场风险的分类 1)利率风险 2)股权头寸风险 3)汇率风险 4)商品风险 (4)计算银行的资本充足率 资本充足率 = 总资本 /(信用风险加权 资产 + 12.5 ×市场风险要 求的资本额 + 12.5×操作 风险要求的资本额 ) 4. 各国银行资本充足情况 The New Basel Accord (Basel II) Three pillars: The first Pillar-Minimum Capital Requirements The second pillar-Supervisory Review Process The third pillar-Market discipline 四、新《巴塞尔协议》核心内容简介 Pillar 1 - Minimum Capital Requirements The Basel Committee discuses the calculation of the total minimum capital requirements for credit, market and operational risk. The minimum capital requirements are composed of three fundamental elements: a definition of regulatory capital, risk weighted assets and the minimum ratio of capital to risk weighted assets. In calculating the capital ratio, the denominator or total risk weighted assets will be determined by multiplying the capital requirements for market risk and operational risk by 12.5 (i.e. the reciprocal of the minimum capital ratio of 8%) and adding the resulting figures to the sum of risk-weighted assets compiled for credit risk. The ratio will be calculated in relation to the denominator, using regulatory capital as the numerator. Pillar 2 - Supervisory Review Process Four Key Principles of Supervisory Review: Principle 1: Banks should have a process for assessing their overall capital adequacy in relation to their risk profile and a strategy for maintaining their capital levels. Principle 2: Supervisors should review and evaluate banks’ internal capital adequacy assessments and strategies, as well as their ability to monitor and ensure their compliance with regulatory capital ratios. Supervisors should take appropriate supervisory action if they are not satisfied with the result of this process. Principle 3: Supervisors should expect banks to operate above the minimum regulatory capital ratios and should have the ability to require banks to hold

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