市场风险资本的内部评级法.ppt

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1、InternalModelsApproachforCapitalChargeforMarketRiskB.MahapatraReserveBankofIndiaStructureIntroductionBroadPrinciplesforRBIApprovalQualitativeCriteriaforIMAApprovalandCorporateGovernanceofRiskRiskMeasurementMinimumQuantitativeCriteriaBackTestingStressTestingValidationofMode

2、ls1.1.Introduction-TimeScheduleforAdvancedApproaches–CircularJuly7,2009Sl.No.ApproachEarliestDateofApplicationtoRBILikelyDateofApprovalbyRBIa.IMAforMarketRiskApril1,2010March31,2011b.TSAforOperationalRiskApril1,2010September30,2010c.AMAforOperationalRiskApril1,2012March31,

3、2014d.IRBforCreditRiskFoundation&Advanced)April1,2012March31,20141.2.GuidelinesIssuedbyRBIGuidelinesforIMAforMarketRisk–issuedonApril7,2010byRBIBanks’boardstotakeadecisionwhetherandwhentoadoptIMABankscancontinuewithsimplermethodsforcapitalchargeforcreditandoperationalrisks

4、,whileadoptingIMAforcapitalchargeformarketrisk1.3.IMAforMarketRisk-GuidelinesBasedonBCBS1996Guidelines;BaselIIFramework;andUpdatedwithJuly2009enhancements/revisionstoBaselIIFramework;andIndianposition1.4.ScopeofApplicationApplicationatsoloandconsolidatedlevels(otherthanins

5、urancebusiness)Nooff-setallowedamongandbetweengroupentitiesSolo–onnetbasis,exceptwhererepatriationnotpossibleTomonitormarketriskexposureofeachentityseparately1.5.TypesofRisksCoveredInterestrate-relatedinstrumentsandequitiesintradingbookExchangeraterisk(includingopenpositio

6、ningold)bothinbankingandtradingbookRiskrelatingtoinvestmentsinMFsintradingbook1.5.1.InterestRateRiskinTradingBookGeneralmarketrisk–generallevelofmovementinpricesinthemarketSpecificrisk–movementofpriceduetofactorsrelatedtospecificissuerDefaultrisk–potentialofdirectorindirec

7、tlossCreditmigrationrisk–duetodown(up)gradationCreditspreadrisk–variationduetochangeinspreadoverriskfreesecurityIncrementalrisk–riskswhicharenotcapturedinVaRbasedestimatesofspecificrisk1.5.2.EquityPriceRiskinTradingBookGeneralmarketriskSpecificrisk1.5.3.ExchangeRateRisk–Bo

8、thinBankingandTradingBookOpenpositions,includingingold1.5.4.CommodityPriceRiskNotapplicab