巴塞尔新资本协议框架介绍推荐.pptVIP

* * * * * * * * Under Basel II we will be required to deduct from capital any shortfall between our provisions for impairment and the expected losses generated as output of our Pillar 1 calculation. Conversely, under IFRS we are required to provide for impaired assets on the basis of incurred losses rather than expected losses. One of key drivers is the “expected loss” on undrawn commitments – such as credit card overdraft limits……we will challenge this with FSA but their is an area where they have limited, if any, discretion ……. One way of addressing this would be to reduce credit card overdraft limits or charge the customer in some way for the capital required to support them … This is a critical issue when our provisions for impairment are rising (as is the current state). Consider the difficulty of needing to explain to the market that we are satisfied with our provision coverage reducing, as was the case at the half year, whilst we are making a large adverse expected loss adjustment to our capital. The market would potentially perceive that our provisions should be at the level set in a regulatory context and amend their forecasts, regardless of our protestations. * * 支柱 3 – 市场纪律 PwC * 支柱 3 – 市场纪律 相关信息数据进行评估的信息披露要求： 适用范围 资本 风险 风险评估程序等 在新巴塞尔协议体系下，对内部方法的依赖在评估资本要求的过程中给予了银行更大的责任和自主判断的空间，这些要求就显得尤其的重要。 在会计处理和对信息披露监管的基础标准上的差异需要予以说明。 不同类型信息目前披露的频率(每季度，每半年，每年度等) * 支柱 3 – 信息披露要求 各种(定性和定量的)信息披露要求会对银行的经营管理产生重大影响，如果采用新巴塞尔协议中的高级法，这种影响将会更为显著。 特定的信息披露要求 定性和定量的信息披露 适用于所有对象 额外的信息披露要求或IRB/ AMA 适用的范围 ? 资本结构和充足性 ? ? 信用风险 一般性的信息披露 ? 整个业务组合采用标准化的监管风险加权 ? 采取根据内部评级法的组合[Portfolios]管理 ? 权益 – 银行账簿的头寸 ? 信用风险缓释 ? ? 证券化 ? 市场风险 ? 操作风险 ? ? 银行所面临的利率风险 ? * 信息披露的变化概览 总体披露（目前的要求） 信用敞口总规模 平均总敞口 按照类型、地域、行业分布、剩余期限划分 损失贷款 逾期贷款 个别及总体的准备金计提 按照类型和地域分布划分 先进银行（巴塞尔新资本协议） 对每一个非零售组合： 敞口的违约概率（PD）分析 敞口加权的平均LGD 敞口加权的平均EAD 对零售组合： 敞口的预期损失级别分析 对所有的资产组合 历史实际损失与过去经验的比较 * PwC * * * * * I have 2 questions and would like some feedback from the floor What do you think of all