1
2
3
4
5
6
7
8 *12.5 + +
9
10
11
12
13
Part 2 - (Credit Risk Weight) 1. 2. 14
BASEL II BBB+ ~ BBB- AAA ~ AA- A+ ~ A- BB+ ~ BB- B+ ~ B- B- 1 2 3 4 ~ 6 7 15
[ ] 1000 / AAA / 0B- / 100 = X 0 1000 = X 8 0 80 16
17
18
19
20
21 6
22
23 8. - 50% - 35% 90 90/ 180 100% 9. 100% 50
50 1. 50 60 100 2. 50 0.3 3. 0.5 100 24
25 10
11 150 26
27
28
29
30
31
32 0 AA 100 0 AAA 100 50 BBB 100 150 CCC 100 B OECD 50 BBB+ 0 100 B- 0 50 BBB+ 0 20 A 0 AOECD BASEL II BASEL I
33
34
35 4.
. 36
2 ; : 20 : 0 : 37
3 option1 - option2 - option2 38
4 39
5 100 100-100 100 40
6 (External Credit Assessments InstitutionECAI) S&P 1997 ECAI 41
Part 3 - (Credit Risk Mitigation) 42
43
44
45
46
47
48
0 0 49
50
51
(own estimates for haircuts) 99 5 10 20 52
BBB- / A3 BBB- / A3 (zero haircut) 0 0 53
(core market participants) 20 54
(back testing)99 10 5 1~3 55
56
57
BBB-A3/P3 (main index) 58
59
60
61
(first to default credit derivative): 1250 62
AAA ~ AA- A1/P1 A+ ~ A- A2/P2 BBB ~ BBB- A3/P3 BB+ ~ BB- BB- 20% 50% 100% 350% 63
2. 64
3. 65
1. A- 66
67
Part 4-68
69
70 1. : A- 100 100 50 3000 2.
71 3. standby L/C 4.
5. option 1-20 OBU 2 100 6. 90 180 72
7. 15 8. 73
74 0.0329 0.6411 0.2086-0.1463 0.7551 0.1881-0.3973-0.8080-0.5693-0.0282-0.2965-0.1356 0 0.0250 0.0036-0.0306 0.1920 0.0703 0 0.1100 0.0199 0.2531 1.1638 0.6254 0.0204 0.2216 0.1085
1. A. 6 ~ 7 0.2086 B. 0.6254 2. A. 0.5693 B. 0.1356 75
76
77