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1 Basel %

2 2 Basel (CP3) 2005 (New Capital AccordBasel 2) (Consultative paper 1 CP1) (CP2) % OECD 0%10%20% ( ) 50% 20% OECD OECD 1 OECD ( ) 50% 100% OECD 0% 1 20% 50% ( ) NIFRUF 1

3 % / 1 0.0% 1.0% 6.0% 7.0% 10.0% % 5.0% 8.0% 7.0% 12.0% 5 1.5% 7.5% 10.0% 8.0% 15.0% ( ) 1 0.5% 2.0% % 5.0% 1 1.0% 3.0%

4 4 Basel 2 30 (Value at risk VaR) ( SPV 4 4% 15%) 5 ( 1.25%) ( 50%)

5 % (2 ) ( ) ( 8 %) = ( + + ) ( ) OECD 8% (The IMF Monetary Authority of Singapore, MAS) 12% 100% (Probability of defaultpd) 5 (Loss given defaultlgd) (Exposure at defaultead) (MaturityM)

6 6 Basel 2 3 AAA~ AA 1 0% 20% 20% 20% 20% A~ A 2 20% 50% 50% 20% 50% BBB~ BBB 3 50% 100% 50% 20% 100% BB~ BB 4~6 100% 100% 100% 50% 100% B~ B 4~6 100% 100% 100% 50% 150% B 7 150% 150% 150% 150% 150% 100% 100% 50% 20% 100% % 50% (external credit assessment 100% institutionecai) 6 150%1 20%1 50% 100% (100%) ( BBB 150%)

7 BB (public 6 sector entities, PSEs) 20% BBB ( (Haircut ) 10%0 HEHCHFX) (H 10 ) % AAA~AA A~BBB BB~BB AAA~AA A~BBB NRM H = H (1) 10 H

8 8 Basel 2 H 10 1, [ ] 800 N RM HE 0 ( 6 ) 20% NRV H = H (2) 10 8% 90 N RV 1 1,000/( ) 520 C CA = (3) 1+ HE + HC + HFX 100% (520) (800) (C A ) (2) (E) r * = r w (4) r* %8% r w %8% [ E ( 1 w) CA] r r* = ( 5) E r*100% 800(10.15) 520 / %

9 %100% (Special purpose vehicle, SPV) ( ) (clean break) (originator) (SPV) (PD) (LGD) (EAD) (M)

10 10 Basel 2 (benchmark risk weight BRW) (risk weightrwr r) ( ) 1 (PD) 2 (LGD)1 3 (EAD) 4 5 (BRW C ) BRW C (PD)976.5N(1.1118G(PD)1.288)(10.470(1PD)/PD 0.44 ) (RW C )(LGD/50)BRW C (PD)12.5LGD (RW C )(LGD/50)BRW C (PD) 1b(PD)(M3) 12.5LGD 6 (M) 3 (impaired) 10 3 (Default) 90 (Rating)

11 (LGD) (PD) % 75% EC A LGD LGD 1(1w)(C A /E) EC A LGD wlgd C/E 30% LGD50% C/E 30% LGD40% 30%C/E 140% LGD 1(0.2(C/E)/140%) 50% (EAD)

12 12 Basel 2 N( G(PD) 1.288) Merton-style LGD 100% % 100% 75% (10.470(1PD)/PD 0.44 ) (Over the counter,otc) 3 (potential future exposure,pfe) PDLGD 0.7%50% BRW 100% 100% BRW PD NIF RUF 50% L/C 20% RWC min{(lgd/50)brwc(pd),12.5 LGD} RW C min{(lgd/50)brw C (PD) 1 b(pd)(m3),12.5lgd} (BRW) (r) b(pd) PD LGD M 1b(PD)(M3) PD PDLGD 100 BRW C (PD)976.5N(1.1118G(PD) 2.0% 1.288)(10.470(1PD)/PD 0.44 ) 50% 1,000,0002.0%

13 %10,000 ( ) 1 PDLGD 10,000 8%1,000, % (M) ( ) PD % % AAA to AA A BBB to BB B AA 1,000,00020%8%16, ,000,00014%8% 11,200 1,000,000100%8% 80,000 B 100

14 14 Basel 2 80, ,000 1,000,000100%8% 1,000, %8% 1,000,000400% 8%320, % G (multiplication factor)

15 (operational risk) (strategic) reputational systemic (event indicator, EI EAD) (probability of event, PE) (loss given event, LGE) (expected loss, EL ) 20% ( ) ( )

16 16 Basel 2 ( ) ( ) ( ) ( ) ( )

17 ( ) w ( 15%) IRB (QIS2.5) (margin income) IRB(internal ratings based) (advanced measurement approach, AMA) CP CP2 3 CP 2 20% 12%

18 18 Basel 2 ) 26% 1. (Bank for International Settlement BIS) (Basel Committee on Banking Supervision Basel Committee ) 1974 The Herstatt Bank Franklin National Bank G the 3 3 Committee on the Global Financial System 5 The Committee on Payment and Settlement Systems(CPSS) BIS (

19 The Bankers Mr. William J. McDonough, President and CEO of the Federal Reserve Bank of New York (1988 ) Natwest 1091, Citi 5459, Barclays 1051, Mizuho 50512, Citi 992, BOA Fuji 903, JP M. Chase 3767, Cr. Agricole 872, HSBC 3466, Sumitomo 863, Cr. Agricole 2644, DKB 853, ICBC 2284, Mitsubishi 823, Deutsche 2018, IBJ 822, Tk Mitsubishi 2016, Sanwa 773, Sakura 2004, SPV(special purpose vehicle) 5.Moody s SPV Aaa 0.01% A1 0.05% Ba1 1.25% Aa1 0.02% A2 0.06% Ba2 1.79% Aa2 0.02% A3 0.07% Ba3 3.96% Aa3 0.03% Baa1 0.13% B1 6.14% Baa2 0.16% B2 8.31% Baa3 0.70% B % 6.

20 20 Basel ( 100 ) RTC Basel Committee

新巴塞爾資本協定簡介

新巴塞爾資本協定簡介行政院所屬各機關因公出國人員出國報告書 ( 出國類別 : 實習 ) 參加東南亞國家中央銀行總裁聯合會 (SEACEN) 及金融穩定研究中心 (FSI) 共同舉辦之第九屆銀行監理人員區域性研討會報告服務機關 : 行政院金融監督管理委員會銀