Ch07巴塞尔协议（Basel协议）.ppt

Chapter 7银行资本监管条例的国际标准 巴塞尔协议 Basel Accord 基于风险的最小资本金是多少？ 信用风险 credit risk 市场风险 market risk 操作风险 operational risk 流动性风险 liquidity risk 模型风险 model risk 巴塞尔银行监管委员会Basel Committee on Banking Supervision(BCBS) 成立于1974年 委员会由来自以下国家的代表组成： 比利时、加拿大、法国、德国、意大利、日本、卢森堡、荷兰、瑞士、瑞典、英国和美国。(12个参与国) 在瑞士的巴塞尔国际清算银行(Bank for International Settlements,BIS)定期召开会议 这些会议的第一个主要成就——Basel I 1988《巴塞尔协议I》 是监管部门第一次尝试以风险为基础来定义资本充足率的国际性条约。 定义了有关资本充足率的两个标准 增强了银行的自身风险管理意识 提高了银行对于风险管理的投入 1992 G-10 通过法律强加实施 Over 100 other countries also adopted 1988: BIS I(Main framework) primarily focused on credit risk and appropriate risk-weighting of assets Basel I created a bank asset classification system and focuses on credit risk. Asset/capital=20% Cook ratio Banks must maintain Tier 1 and Tier 2 capital equal to a minimum of 8% of risk-weighted assets capital/all risk-weighted asset values=8% a bank asset classification system This classification system groups banks assets in five risk categories Risk weight: 0%, 10%, 20%, 50%, 100% Risk-weighted asset weight× asset value five risk categories 1. Cash, central bank and government debt and any OECD government deb - 0% 2. Public sector debt - 0%, 10%, 20% or 50% 3. Development bank debt, OECD bank debt, OECD securities firm debt, non-OECD bank debt, and non-OECD public sector debt, cash in collection - 20% 4. Residential mortgages - 50% 5. Private sector debt, non-OECD bank debt, real estate, plants and equipment, capital instruments issued at other banks - 100% Trading book The portfolio of financial instruments held by a brokerage or bank. Financial instruments in a trading book are purchased or sold to facilitate trading for the institutions customers, to profit from trading spreads between the bid and ask prices, or to hedge against various types of risk. Trading books can range in size from hundreds of thousands of dollars at the smallest institutions to tens of billions at the largest financial ins