香港金管局信用风险指引.pdf

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1、SupervisoryPolicyManualCA-G-4ValidatingRiskRatingSystemsV.1–14.02.06undertheIRBApproachesThismoduleshouldbereadinconjunctionwiththeIntroductionandwiththeGlossary,whichcontainsanexplanationofabbreviationsandothertermsusedinthisManual.Ifreadingon-line,clickonblueunderlinedheadingsto

2、activatehyperlinkstotherelevantmodule.—————————PurposeTosetouttheHKMAapproachtothevalidationofAIs’internalratingsystems,andtherequirementsthattheHKMAexpectsAIstofollow,inordertoqualifyforusingtheIRBApproachestomeasurecreditriskforcapitaladequacypurposesClassificationAtechnicalnote

3、issuedbytheHKMAPreviousguidelinessupersededThisisanewguideline.ApplicationToalllocallyincorporatedAIswhichintendtousetheIRBApproachestomeasurecreditriskforcapitaladequacypurposesStructure1.Introduction1.1Terminology1.2Background1.3Scope2.HKMAapproachtovalidation3.Factorstobeconsid

4、eredinthevalidationprocess3.1Logicandconceptualsoundnessofaratingsystem3.2Systemsandcontrols3.3Dataquality1SupervisoryPolicyManualCA-G-4ValidatingRiskRatingSystemsV.1–14.02.06undertheIRBApproaches3.4Accuracyofaratingsystem3.5Benchmarking3.6Stress-testing4.Corporategovernanceandove

5、rsight5.Othersystemsofcontrol5.1Independence5.2Transparency5.3Accountability5.4Useofinternalratings5.5Internalandexternalaudit5.6Treatmentofexternalvendormodels6.Dataquality6.1Overview6.2Managementoversightandcontrol6.3ITinfrastructureanddataarchitecture6.4Datacollection,storage,r

6、etrievalanddeletion6.5Dataprocessing6.6Reconciliation6.7Dataqualityassessment6.8Useofexternalandpooleddata6.9Statisticalissues7.AccuracyofPD7.1Overview7.2Validationofdiscriminatorypower7.3Validationofcalibration8.AccuracyofLGD8.1Overview8.2MethodsassigningLGDtonon-defaultfacilitie

7、s8.3IssuesspecifictoworkoutLGD8.4LGDestimationprocess2SupervisoryPolicyManualCA-G-4ValidatingRiskRatingSystemsV.1–14.02.06undertheIRBApproaches8.5ValidationofLGDestimates9.AccuracyofEAD9.1Overview9.2Constructionofadevelopmentdataset9.3EstimationofEAD9.4ValidationofEADestimates10.I

8、ssuesonLDPs10.1TypesofLDPs10.2Imp