巴塞尔资本协议中英文完整版(11附录3).docVIP

附录3 IRB法风险权重的实例 1. 按照信用风险IRB法，下表列举了四类资产的风险权重。采用第三节规定的一项风险权重函数，得出每类资产的风险权重函数。计算风险权重函数的参数包括计量违约概率、违约损失率及假设的有效期限2.5年。 2. 对中小企业借款人的风险暴露，采用企业规模调整（中小企业是采用并表方式的企业集团的组成部分，企业报告的销售额小于5000万欧元，这部分公司暴露为中小企业暴露）。因此，如果贷款企业的销售额是500万欧元，在确定第二栏中另一套风险权重过程中，需要进行企业规模调整。 IRB法风险权重的实例 资产类别: 公司贷款 住房抵押贷款 其他零售贷款 合格的循环零售贷款 违约损失率: 45% 45% 45% 25% 45% 85% 45% 85% 期限: 2.5 年 销售额 百万欧元 : 违约概率: 50 5 0.03% 14.75% 11.61% 4.31% 2.40% 4.97% 9.38% 2.85% 5.38% 0.05% 20.03% 15.80% 6.51% 3.62% 7.42% 14.02% 4.28% 8.09% 0.10% 30.19% 23.91% 11.25% 6.25% 12.54% 23.68% 7.29% 13.76% 0.25% 50.63% 40.34% 22.70% 12.61% 23.91% 45.16% 13.98% 26.41% 0.40% 64.59% 51.60% 32.19% 17.89% 32.28% 60.98% 18.87% 35.64% 0.50% 72.00% 57.57% 37.89% 21.05% 36.86% 69.63% 21.51% 40.64% 0.75% 86.50% 69.21% 50.68% 28.16% 46.01% 86.90% 26.69% 50.41% 1.00% 97.44% 77.91% 62.03% 34.46% 52.90% 99.93% 30.47% 57.55% 1.30% 107.79% 86.05% 74.31% 41.28% 59.25% 111.91% 33.82% 63.88% 1.50% 113.59% 90.58% 81.88% 45.49% 62.64% 118.33% 35.56% 67.17% 2.00% 125.77% 99.99% 99.19% 55.10% 69.20% 130.71% 38.81% 73.31% 2.50% 136.00% 107.85% 114.70% 63.72% 73.96% 139.71% 41.11% 77.66% 3.00% 145.21% 114.97% 128.86% 71.59% 77.67% 146.71% 42.94% 81.11% 4.00% 162.19% 128.33% 154.13% 85.63% 83.50% 157.72% 46.11% 87.11% 5.00% 178.27% 141.41% 176.35% 97.97% 88.56% 167.29% 49.34% 93.20% 6.00% 193.80% 154.44% 196.27% 109.04% 93.64% 176.87% 52.90% 99.92% 10.00% 250.22% 204.50% 260.66% 144.81% 117.95% 222.79% 69.51% 131.30% 15.00% 307.24% 258.48% 320.10% 177.83% 154.81% 292.41% 90.06% 170.11% 20.00% 352.49% 303.50% 365.62% 203.12% 192.33% 363.29% 107.66% 203.36% 144 2 145