徐庆 标准法与内部评级法的权衡

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1、ImpactofBaselIIonMedium-SmallBanksinChina(巴塞尔对中小银行的影响)QingXu/徐庆June,2007Contents/内容Creditriskcapitalmeasurement信用风险资本的量化2.Whichapproachisbetter?那种方法更好?3.Whatneedtobeansweredfromregulators’pointofview?我们需要从监管者得到哪些要求?4.Howtoproceedundercurrentcircumstances?中小银行如何实施?信用风险资本的量化方法BaselIapproac

2、h:severalweightingsareappliedtodifferentassettypes,majoradvantage/disadvantageis“onesizefitsall”.巴塞尔I方法:一个权重对所有的企业BaselIIapproach:Standardizedapproach(BaselImodified)andIRBfoundationandadvancedapproach,themajorchallengeis“onenumberfitsall”巴塞尔II方法:一个数字(经济资本)对所有的风险BaselIvs..BaselII(Corporat

3、e/企业)BaselIvs.BaselII(Banks/银行)SovereignandRetail政府及零售业务Claimsincludedintheregulatoryretailportfolios:75%监管批准的零售组合:75%Claimsecuredbyresidentialmortgage:35%个人住房按揭:35%Claimsecuredbycommercialrealestate:100%由商业物业抵押的资产:100%2.Whichapproachisbetter?那种方法更好?Typeofbanks(银行种类)Market(市场)Regulator(监管

4、机构)BaselI巴塞尔IWholesaleoriented(批发业务为主)Emerging(新兴市场)Easyimplemented容易实施BaselIIStandard巴塞尔II标准法Retailoriented(零售为主)Developed/Emerging成熟/新兴Relativelyeasy相对容易BaselIIIRB(内部评级法)Bankwithgoodresources有充足资源的银行Developed成熟市场Highdemanding要求较高3.Whatneedtobedonefromregulators我们需要从监管者得到哪些要求?Pillar2isba

5、sedonfourkeyprinciples:支柱2基于以下四项原则:Bank’sownassessmentofcapitaladequacy(由银行自己评估的资本充足率)Supervisoryreviewprocess(监管者的评估)Capitalaboveregulatoryminima(高于最低要求的资本需求)Supervisoryintervention(监管的干预)StandardizedApproach(标准法对外部评级机构的要求)RegulatorisresponsibleforECAIin:监管机构需对外部评级机构要求如下:Objectivity(客观)I

6、ndependence/Transparency(独立及透明)Disclosure(披露)Resources(资源)Creditability(可信度)CDR/PDReference违约率的参考标准Moody'sHistoricalCDR穆迪的历史违约率数据(1920-2006)穆迪的历史违约率数据(1983-2006)穆迪的历史违约损失率数据(1982-2006)IRBRatingScale(内部评级与外部评级比较)ExampleofRiskweighting内部评级法的风险权重举例Regulator’srequirementforIRBApproach(内部评级法的监

7、管要求)Modelgovernance(模型管理的治理架构)Modeldevelopment(模型开发)Modelvalidation(模型确认)Modeldocumentation(模型开发的文档记录)Modelimplementation(模型实施)Policyandusermanual(模型政策及用户手册)Usertest/acceptance/training(用户测试/验收/培训)Internalapproval(内部审批)Regulatorreview(监管机构评估)Retailcase:Processandtec