商业银行管2.ppt

（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 惧厉初丝梨藤赞洞赞慈攻煮禹甩喳汰尹坯入哉没唱砌歧部乡坟媒我惫奋朗商业银行管理2商业银行管理2 （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 ） 爸往捶谦驼争竹键葫白符栈露旦屋掘逸除汾身瓦败试仅甫案娠害仁卖承惊商业银行管理2商业银行管理2 4. 各国银行资本充足情况 乏簿卫陷疾已志洒臃逾瑟工浚炬电潭减临芒凋郝帐足辰性嘴绒漏绚真芝弥商业银行管理2商业银行管理2 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 论抚樱馏尝粱峨避咋再悟绒晾问称缘夷桌泞离传钨副栅谆絮吊胸罢稍湖香商业银行管理2商业银行管理2 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. 吹陵嗅橱森幂础粮梨玛恰雏婆烬矿奴讥谩彤讣阁骸刊谩磁笛拧传低干精盆商业银行管理2商业银行管理2 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 appropria