商业银行合规管理跟操作风险管理--mnlou.ppt

Corporate Banking Dept. * * Corporate Banking Dept. * * Corporate Banking Dept. * * Corporate Banking Dept. * * Corporate Banking Dept. * * Corporate Banking Dept. * * * Corporate Banking Dept. * * * So what is Basel II and how is it different to Basel I The main difference is the 3 Pillars approach, with the 1st Pillar including the origins of Basel I but with much more analysis and the inception of a new category of risk. Pillar 1 Looking at Credit Risk we now have 3 options to weight the assets according to credit risk. The foundation is as per Basel I, with the Foundation IRB approach allowing West to have their own models for PD. The Advanced IRB approach allows internal models over a broader range of areas. So the relevant one for you is the Foundation IRB There are minor amendments of market risk as well, but the other major difference is the inclusion of operational risk. (Fraud, Human IT error). Again there are 3 options, increasing in degrees of the use of internally created models. The FSA are flexible as long as the process is comprehensive and systematic. Pillar 2 Very briefly the main aim of Pillar 2 is to ensure that there is a structured way that firms and their respective supervisory bodies can gain an understanding that the capital held covers all material and residual risks. (ICAP???) (USE TEST???) One area that does have an direct impact on the audit committee is the oversight that is expected from the Board and Senior management Corporate Banking Dept. * * Corporate Banking Dept. * * Corporate Banking Dept. * * * Can adopt standardised from now Must apply for waiver for advanced approaches Can only adopt from 1 Jan 2008 CS adopting Advanced Can use Advanced for most portfolios but Standardised for some Corporate Banking Dept. * * * Corporate Banking Dept. * * Corporate Banking Dept. * * Corporate Banking Dept. * * Corporate Banking Dept. * * Corporate Banking Dept. * * Corporate Banking Dept. * * 明确RACA为考核风险管理工作的一个主要方面。 Corporate Banking D