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1、ARisk-FactorModelFoundationforRatings-BasedBankCapitalRulesMichaelB.GordyBoardofGovernorsoftheFederalReserveSystemOctober22,2002AbstractWheneconomiccapitaliscalculatedusingaportfoliomodelofcreditvalue-at-risk,themarginalcapitalrequirementforaninstrumentdepends,ingeneral,onthepropertiesoftheport
2、folioinwhichitisheld.Bycontrast,ratings-basedcapitalrules,includingboththecurrentBaselAccordanditsproposedrevision,assignacapitalchargetoaninstrumentbasedonlyonitsowncharacteristics.Idemonstratethatratings-basedcapitalrulescanbereconciledwiththegeneralclassofcreditVaRmodels.ContributionstoVaRare
3、portfolio-invariantonlyif(a)thereisonlyasinglesystematicriskfactordrivingcorrelationsacrossoblig-ors,and(b)noexposureinaportfolioaccountsformorethananarbitrarilysmallshareoftotalexposure.AnalysisofratesofconvergencetoasymptoticVaRleadstoasimpleandaccurateportfolio-leveladd-onchargeforundiversifie
4、didiosyncraticrisk.Thereisnosimilarlysimplewaytoaddressviolationofthesinglefactorassumption.JELCodes:G31,G38TheviewsexpressedhereinaremyownanddonotnecessarilyreflectthoseoftheBoardofGovernorsoritsstaff.IwouldliketothankPaulCalem,DarrellDuffie,PaulEmbrechts,JonFaust,ErikHeitfield,DavidJones,DavidLa
5、ndo,GennadySamorodnistky,DirkTasche,andTomWildefortheirhelpfulcomments,andSusanYehforeditorialsuggestions.PleaseaddresscorrespondencetotheauthoratDivisionofResearchandStatistics,MailStop153,FederalReserveBoard,Washington,DC20551,USA.Phone:(202)452-3705.Fax:(202)452-5295.Email:hmichael.gordy@frb.
6、govi.Recentyearshavewitnessedsignificantadvancesinthedesign,calibrationandimplementationofport-foliomodelsofcreditrisk.Largecommercialbanksandotherfinancialinstitutionswithsignificantcreditexposurerelyincreasinglyonmodelstoguidecreditriskmanagementattheportfoliolevel.Modelsallowmanagementtoidentify
7、concentrationsofriskandopportunitiesfordiversificationwithinadisciplinedandobjectiveframework,andthusofferamoresophisticated,lessarbitraryalternativetotraditionallendinglimitcontrols.Morewidespreadandintensiveuseofmodelsisenc
