巴塞尔新协议下.ppt

Name of committee or team A changing environment increasingly favorable and demanding for companies with advanced risk culture日益改变的环境对有先进风险文化的企业既有利也提出更高要求 Industry Benchmark – July 2006 工业基准比较—2006年6月 From Basel I to Basel II从巴塞尔i到巴塞尔ii In effect since 1988; very simple in application (e.g. 8% capital required for all type of corporates) 1988年生效,应用简单,各企业只有8%的资金要求 Easy to achieve significant capital reduction with little or no risk transfer无须或及小的风险 转移便能达到可观的减资 Much more complex and risk sensitive 更复杂,更具有风险敏感性 Basel II introduced to combat regulatory arbitrage exploit and improve bank risk management systems Basel 打击监管套利剥削和提高银行风险管理系统 Treats exposures very unequally depending on risk exposure characteristics根据风险披露的特点区别对待不同披露 Treats banks very unequally depending on sophistication of risk management systems 根据风险管理系统复杂性的不同却别对待不同银行 Risk / Regulator View风险/监管观察 Industry Benchmark – July 2006 Concept of Basel II – Three pillar architecture新巴塞尔的概念---三支柱结构 Basel II – Scope of Application新巴塞尔应用范围 Applied on consolidated basis to mainly internationally active banks 主要面对全球范围内活跃银行 Implementation may not be uniform实施方法避免单一: 140+ items subject to national discretion Countries that will adopt Basel II 将应用Basel II 的国家: 13 member states of the Basel Committee 巴塞尔委员会的13个成员国 95 non-Basel states will implement Basel II rules 95个非成员国将实施Basel II 条约 Basel II Framework – Credit Risk Approach Standardised Approach标准方法 – STA / Simplified Approach Similar to current Basel Accord / CAD 1 Based on external ratings Broader range of risk weights (0%; 20%; 50%; 100%; 150%) Foundation Internal Ratings Based Approach 内部评级基础法- FIRBA New approach based on the internal models of the bank Risk weighted assets = ? (PD; LGD; EAD; M) Probability of default; Loss Given Default; Exposure at Default; Maturity Only the PD is internally computed by the bank The other factors are supervisory rules Advanced Internal Ratings Based Approach高级内部评级法 - AIRBA All the factors are internally computed by th