Basel 2 91 6 1 1988 7 1999 6 2001 1 2002 2005 3 2001 12 26 1 2 1988 1988 1996 8% 1992 3
2 Basel 2 2002 1999 6 (CP3) 2005 (New Capital AccordBasel 2) (Consultative paper 1 CP1) 2001 1 1988 (CP2) 2004 0% OECD 0%10%20% ( ) 50% 20% OECD OECD 1 OECD ( ) 50% 100% OECD 0% 1 20% 50% ( ) NIFRUF 1
91 6 3 100% / 1 0.0% 1.0% 6.0% 7.0% 10.0% 15 0.5% 5.0% 8.0% 7.0% 12.0% 5 1.5% 7.5% 10.0% 8.0% 15.0% ( ) 1 0.5% 2.0% 12 1.0% 5.0% 1 1.0% 3.0%
4 Basel 2 30 (Value at risk VaR) ( SPV 4 4% 15%) 5 ( 1.25%) ( 50%)
91 6 5 250% (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 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% 3 1 20% 50% (external credit assessment 100% institutionecai) 6 150%1 20%1 50% 100% (100%) ( BBB 150%)
91 6 7 BB (public 6 sector entities, PSEs) 20% BBB ( (Haircut ) 10%0 HEHCHFX) (H 10 ) % 1 1 5 5 AAA~AA 0.5 2 4 A~BBB 1 3 6 BB~BB 20 20 20 AAA~AA 1 4 8 A~BBB 2 6 12 20 30 0 15 8 NRM H = H + 9 10 (1) 10 H
8 Basel 2 H 10 1,000 90 [ ] 800 N RM HE 0 ( 6 ) 20% NRV H = H + 19 10 (2) 10 8% 90 N RV 1 1,000/(100.660.26) 520 C CA = (3) 1+ HE + HC + HFX 100% (520) (800) (C A ) (2) (E) r * = r w (4) r* 80044.75%8% 28.64 r w 0.15 800100%8% 64.00 [ E ( 1 w) CA] r r* = ( 5) E r*100% 800(10.15) 520 /80044.75% 64.00 28.64 35.36
91 6 9 50%100% (Special purpose vehicle, SPV) ( ) (clean break) (originator) (SPV) 1966 7 (PD) (LGD) (EAD) (M)
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)
91 6 11 3 2002 (LGD) (PD) 1 5 3 5 2005 50% 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 Basel 2 N(1.1118 G(PD) 1.288) Merton-style LGD 100% 0.20 99.5% 100% 75% (10.470(1PD)/PD 0.44 ) (Over the counter,otc) 3 (potential future exposure,pfe) 976.5 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%
91 6 13 50%10,000 ( ) 1 PDLGD 10,000 8%1,000,00012.5% (M) ( ) PD % % AAA to AA 0.03 20 14 A 0.07 50 19 BBB to BB B 0.20 45 0.70 100 100 100 1.40 154 7.00 400 150 15.00 588 AA 1,000,00020%8%16,000 100 1,000,00014%8% 11,200 1,000,000100%8% 80,000 B 100
14 Basel 2 80,000 120,000 1,000,000100%8% 1,000,000 150%8% 1,000,000400% 8%320,000 1 3 10 99% G10 1996 1 60 1997 (multiplication factor) 1996 10
91 6 15 (operational risk) (strategic) reputational systemic (event indicator, EI EAD) (probability of event, PE) (loss given event, LGE) (expected loss, EL ) 20% ( ) ( )
16 Basel 2 ( ) ( ) ( ) ( ) ( )
91 6 17 ( ) w ( 15%) IRB 2001 5 (QIS2.5) (margin income) IRB(internal ratings based) (advanced 1999 6 measurement approach, AMA) CP1 2001 1 CP2 3 CP 2 20% 12% 2001 12
18 Basel 2 ) 26% 1. (Bank for International Settlement BIS) 1930 8 2. (Basel Committee on Banking Supervision Basel Committee ) 1974 The Herstatt Bank Franklin National Bank G10 2005 the 3 3 Committee on the Global Financial System 5 The Committee on Payment and Settlement Systems(CPSS) BIS (
91 6 19 4 30 3.The Bankers Mr. William J. McDonough, President and CEO of the Federal Reserve Bank of New York (1988 ) 1988 2000 1 Natwest 1091,7856.11 Citi 5459,02211.23 2 Barclays 1051,8945.54 Mizuho 50512,59511.39 3 Citi 992,0384.86 BOA 4076.42211.04 4 Fuji 903,2782.75 JP M. Chase 3767,15312.03 5 Cr. Agricole 872,1444.06 HSBC 3466,73613.30 6 Sumitomo 863,3472.57 Cr. Agricole 2644,98410.20 7 DKB 853,5252.41 ICBC 2284,8308.12 8 Mitsubishi 823,1782.58 Deutsche 2018,74712.60 9 IBJ 822,6153.14 Tk Mitsubishi 2016,7569.69 10 Sanwa 773,0742.50 Sakura 2004,16111.31 4. 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% B3 15.08% 6.
20 Basel 2 7. 8. 81 ( 100 ) RTC www.bis.org Basel Committee