ImpactofBaselIIonMedium-SmallBanksinChina

(巴塞爾對(duì)中小銀行的影響)QingXu/June,2007

Contents/內(nèi)容Creditriskcapitalmeasurement信用風(fēng)險(xiǎn)資本的量化2.Whichapproachisbetter?那種方法更好?3.Whatneedtobeansweredfromregulators’pointofview?我們需要從監(jiān)管者得到哪些要求?4.Howtoproceedundercurrentcircumstances?中小銀行如何實(shí)施?信用風(fēng)險(xiǎn)資本的量化方法

BaselIapproach:severalweightingsareappliedtodifferentassettypes,majoradvantage/disadvantageis“onesizefitsall”.巴塞爾I方法:一個(gè)權(quán)重對(duì)所有的企業(yè)BaselIIapproach:Standardizedapproach(BaselImodified)andIRBfoundationandadvancedapproach,themajorchallengeis“onenumberfitsall”巴塞爾II方法:一個(gè)數(shù)字(經(jīng)濟(jì)資本)對(duì)所有的風(fēng)險(xiǎn)BaselIvs.BaselII

(Banks/銀行)SovereignandRetail

政府及零售業(yè)務(wù)Claimsincludedintheregulatoryretailportfolios:75%監(jiān)管批準(zhǔn)的零售組合:75%Claimsecuredbyresidentialmortgage:35%個(gè)人住房按揭:35%Claimsecuredbycommercialrealestate:100%由商業(yè)物業(yè)抵押的資產(chǎn):100%2.Whichapproachisbetter?

那種方法更好?

Typeofbanks(銀行種類)Market(市場)Regulator(監(jiān)管機(jī)構(gòu))BaselI巴塞爾IWholesaleoriented(批發(fā)業(yè)務(wù)為主)Emerging(新興市場)Easyimplemented容易實(shí)施BaselIIStandard巴塞爾II標(biāo)準(zhǔn)法Retailoriented(零售為主)Developed/Emerging成熟/新興Relativelyeasy相對(duì)容易BaselIIIRB(內(nèi)部評(píng)級(jí)法)Bankwithgoodresources有充足資源的銀行Developed成熟市場Highdemanding要求較高

StandardizedApproach(標(biāo)準(zhǔn)法對(duì)外部評(píng)級(jí)機(jī)構(gòu)的要求)

RegulatorisresponsibleforECAIin:監(jiān)管機(jī)構(gòu)需對(duì)外部評(píng)級(jí)機(jī)構(gòu)要求如下:Objectivity(客觀)Independence/Transparency(獨(dú)立及透明)Disclosure(披露)Resources(資源)Creditability(可信度)CDR/PDReference

違約率的參考標(biāo)準(zhǔn)Moody'sHistoricalCDR

穆迪的歷史違約率數(shù)據(jù)(1920-2006)穆迪的歷史違約損失率數(shù)據(jù)(1982-2006)IRBRatingScale

(內(nèi)部評(píng)級(jí)與外部評(píng)級(jí)比較)ExampleofRiskweighting

內(nèi)部評(píng)級(jí)法的風(fēng)險(xiǎn)權(quán)重舉例Retailcase:Processandtechnicaldocumentation(零售模型案例:開發(fā)過程及技術(shù)文檔要求)General(概況)Targetportfolio/Typeofmodel/Version/Projectstructure目標(biāo)組合/模型種類/版本/項(xiàng)目管理架構(gòu)Feasibilitystudy(可行性研究)Scopeandwhatmodel/Portfolioinformation模型范圍/模型類別/組合信息Sourcesystem(信息系統(tǒng))Datapreparationandanalysis(數(shù)據(jù)分析)Quantity/Quality(數(shù)據(jù)數(shù)量及質(zhì)量)Definitions(定義)Default/loss/exposure/time/client/facility違約/損失/敞口/時(shí)間/客戶/債項(xiàng)Riskdrivers(風(fēng)險(xiǎn)因素)Logicvariableselectionandtransformation

變量的選擇及轉(zhuǎn)化CaseContinued(案例續(xù))Structuralrelationship/StrongcorrelatedVariables/discussionwithusers(變量的相關(guān)性/與用戶討論)Modelestimationprocess(模型開發(fā)過程)Samplepreparation/Typeofmodels/Typeofstatisticalmodels/Constructionofratingclasses樣本準(zhǔn)備/模型類別/統(tǒng)計(jì)模型類別/分級(jí)Initialmodelvalidation(模型初始認(rèn)定)Samplepopulation/statisticstodeterminetheaccuracyofthemodel模型認(rèn)定樣本/確認(rèn)模型準(zhǔn)確度的統(tǒng)計(jì)數(shù)據(jù)Modelselectionandassigningriskcomponentvalues最終的模型選擇及風(fēng)險(xiǎn)系數(shù)確定Processofmodelselection/determinationofameanPD/LGD/EADforratingclasses(模型選擇過程/確定各級(jí)的平均PD/LGD/EAD)Issuesforfuturemodels(遺留問題)Implementationissues(實(shí)施相關(guān)的問題)DataRequirement(原始數(shù)據(jù)要求)4.HowtoproceedforMedium-SmallBanks?(中小型銀行如何實(shí)施?)CarefulplanningabouttheBaselIIimplementationregardingtheresourcesandcost/benefitanalysis仔細(xì)規(guī)劃實(shí)施BASELII所需的資源以及實(shí)施導(dǎo)致的成本收益分析Phaseapproachisappropriateformostsmall-mediumbankswiththedirectionofquantificationofcreditrisk對(duì)大多數(shù)中小型銀行來說,以量化信用風(fēng)險(xiǎn)為方向的分布實(shí)施是合適的Setting-upITinfrastructureisnecessarytocollectdataandimprove