() Outside-in () Top-down () Bottom-up 2

2007 1 2 1

/ / OPERATION CONTROL SYSTEM / 3

Internal Capital Adequacy Assessment Process, ICAAP 4

1 5

1. (PD) 2. (LGD)LGD 3. (EAD) PDLGDEAD EL= PD*LGD*EAD 6

1. 2. IRB PD*LGD*EAD 3. Beta 4. L 1 L 2.Ln Lr 1 Lr 2 Lr n 2 σ 1 = ( Lri n i EL%) 2 7

(capital requirement) 12.5 ( 8 ) (RWA-equivalent) 8

DurationConvexityPVBPDelta 1. ( event risk vs. business risk) 2. 3. 9

/ 4. (error correction) (catastrophic losses) RAROC (1) (2) (3) ( ) 6.2. (Advanced Measurement Approach, AMA) : (Internal Measurement Approach (Loss Distribution Approach (Scorecard 10

Principal for the management and supervision of interest rate risk, July 2004 ( ) 1 Principles for the Management and Supervision of Interest Rate Risk (July 2004), page 38: Such a framework is intended for supervisory reporting purposes only, and is not intended to represent an adequate framework for internal risk management purposes. 11

爲爲 () 12

() Tier 1 regulatory capital core regulatory capital Tier 2 regulatory capital Supplementary regulatory capital Tier 3 regulatory capital Risk Weighted Asset 8 % 4 % 13

Tier 3 Tier 2 Tier 1 RWA 8 SREP Source: CEBS CP03 revised 20 June 2005. 14

asset allocation performance measurement () 15

invested capital () 産産爲 16

hybrid capital instruments (subordinated debt) minimum buffer remaining buffer 産 () 17

hybrid equity senior debt 99.9%BBB 99.97% BBB 99.9% A 99.93% AA 99.97% 18

() risk bearing capacity risk profile () A 19

() / 20

() Outside-in trigger ratio target ratio () Top-down Earning at Risk, EaR 23

Summary of Income by Business Unit Confidence Level : 95.00% Millions Jan-04 Feb-04 Mar-04 Oct-05 Nov-05 Dec-05 Mean SD Annualized SD Multiplier 95% Corr. EAR South 40 39 41 45 43 45 42.3 1.81 6.25 1.64 10.29 0.5728 5.9 North 31 30 33 34 35 36 33.0 1.77 6.13 1.64 10.08 0.5863 5.9 East 13 14 13 15 16 16 14.3 1.16 4.02 1.64 6.61 0.5129 3.4 Retail Banking 84 83 87 94 94 97 89.6 4.20 14.55 1.64 23.93 0.6348 15.2 Local 50 48 42 47 54 53 51.3 3.55 12.31 1.64 20.25 0.6487 13.1 Overseas 25 21 20 26 29 20 23.8 2.86 9.92 1.64 16.31 0.5486 8.9 Corporate Banking 75 69 62 73 83 73 75.0 4.92 17.03 1.64 28.02 0.7883 22.1 Corp Finance 4 6 1 9 10 9 6.5 2.87 9.96 1.64 16.38 0.5465 8.9 FX Trading 6 (2) (1) 3 3 3 4.5 3.55 12.30 1.64 20.23 0.1694 3.4 Rate Trading 12 11 7 20 20 21 14.9 5.56 19.26 1.64 31.67 0.6640 21.0 Investment Banking 22 15 7 32 33 33 25.8 6.68 23.13 1.64 38.04 0.8781 33.4 Institutional 5 4 4 5 6 5 4.6 0.82 2.86 1.64 4.70 0.2722 1.3 Personal 4 5 4 5 6 6 5.0 0.81 2.79 1.64 4.60 0.4516 2.1 Asset Management 9 9 8 10 12 11 9.6 1.21 4.20 1.64 6.91 0.4853 3.4 ALM 19 20 18 19 20 19 20.0 1.06 3.68 1.64 6.06 0.3548 2.1 Group 209 196 182 228 242 233 220.0 13.37 46.32 1.64 76.19 1.0000 76.2 = 24

() Bottom-up G10 60% 10% 20% 10% 25

0 Capital-Asset Pricing Model, CAPM Dividend Growth Model, DGM RAPM 125 100 75 50 25 125 10% 20% 25% 25% 30% 40% A 0 100 75 50 25 25% 40% A 20% 25% 30% 26

AB 100 A 50 40% 25% 10% ( ) B 20% B A 25% B 10% A 没 20% A 10% ( ) 没 27

risk-adjusted return on capitalraroc risk based performance management - 28

building block approach ICAAP Consultation Paper Application of the Supervisory Review Process under Pillar 2 June 2005 by Committee of European Banking Supervisors () 29

. Qualitative standards 30

() ICAAP 1 () () 1. 2. 3. 4. 5. 6. 2 (material risks) ( ) (correlation and diversification or asset 31

valuation assumption) 1 1. 2. 3. 2 1. 2. 3. 3 1. 2. 3. SWOT 1 2 3 4 32

1 2 3 4 ( ) 1 2 3 1 2 3 () 33

(scenario analysis) (sensitive analysis) 1. : (historical scenario): (hypothetical scenario): 2. (sensitive analysis) / 34

ALM 35

2. 2. 2. 2. 2.3 36

2.1 2.1 2.1 2.1 2.1 3.3 2.2 2.2 2.2 2.3 2.2 4.3 2.4 2.2 2.5 2.3 2.3 2.4 2.5 3. 3. 3. 3. 3.. 3.1 3.1 3.1 3.1 3.1 3.2 3.2 3.2 3.2 3.3 3.3 3.3 3.6 3.4 3.4 3.4 3.5 3.5 3.5 3.6 4. 4. 4. 4. 4. 4.1 4.1 4.1 4.1 4.1 4.2 4.2 4.2 4.2 4.2 4.3 4.3 4.3 4.3 4.3 4.4 4.4 4.4 3.5 4.4 4.5 4.5 5. 5. 5. 5. 5. 37

38 5.1 5.2 5.3 NAB

/ / operation control / system 1. 2. / 3. 4. 2. 1 - (strategy) (policy) (procedure) 2-1. 2. 3. 39

/ / 1. (top-down approach) 2. 3. / / 4. operation control 1. 2. ( ) system 40

1. 2. 3. 4. 5. 6. / system 5. 4: - 5-6 41

A 95 3 31 a 100 20 120 b 5 200 200 c 12500 50 550 d 15 1,800 1,800 e 202,000 100 2,100 3 f 5 30 30 47

g 53,000 400 3,400 2 h 1,000 1,000 i 1,000 20 1,020 9,600 620 10,220 aa 5 600 600 bb cc 2 450 10 460 1 1,200 20 1,220 dd 9 1,000 420 1,420 ee 4,000 50 4,050 ff 3 200 200 gg 7800 800 hh 1 40 40 ii 800 800 jj 630 630 9,680 540 10,220 95 3 31 1050 48

95 3 31 a/aa 320 6 b/bb 500 2 c/cc 200 1 d/dd 100 6 4 e/ee 300 2 14 f/ff 80* 15 2 g/gg 250* 6 *delta 3 49

95 3 31 88.4 1050 8.42 9.39 1050 0.89 9.31 20 50

1 95 3 31 1 =a+b+c+d a b c 51 d 2=e+f+g e f g 3 (1)-(2 1 A 4800 4800ee+gg 4800 1 3 B 5000 5000e+g 450 450bb 4550 3 6 C 200 200b 600 600aa 400 6 12 D 1000 1000dd 1000 1 2 E 1800 1800d 1200 1200cc 600 2 3 F 200 200ff 200 3 4 G 4 5 H 5 7 I 7 10 J 10 15 K 500 500c 500 15 20 L 20 M A(M 7500 A (M 8250 1100a+h 800ii +

1 95 3 31 4 5 6 / 7 8 9 10 (4)a=(5)a (4)b=(5)b (5)a (5)b (6)a (6)b (7)a (7)b (8)a (8)b (9)a (9)b (10)a (10)b (10)a (10)b 1 A 1 3 B 50 500b 300ee 250gg 3 6 C 220 320a 100dd 6 12 D 150 200cc100d 250g 1 2 E 200 500bb 300e 2 3 F 3 4 G 4 5 H 5 7 I 7 10 J 10 15 K 15 20 L 20 M 370 250 52

32 95 3 31 1=a+b+c+d a b c 54 d 2=e+f+g e f g 3 (1)-(2 1 A 90 90ee+hh 90 1 3 B 500 500e+g 10 10bb 490 3 6 C 30 30f 30 6 12 D 420 420dd 420 1 2 E 20 20cc 20 2 3 F 3 4 G 4 5 H 5 7 I 7 10 J 10 15 K 50 50c 50 15 20 L 20 M A(M 580 A(M 540 20a 20i 620 + 540

32 95 3 31 4 5 6 / 7 8 9 10 (4)a=(5)a (4)b=(5)b (5)a (5)b (6)a (6)b (7)a (7)b (8)a (8)b (9)a (9)b (10)a (10)b (10)a (10)b 1 A 1 3 B 80 80f 3 6 C 320 320aa 6 12 D 200 200c 1 2 E 2 3 F 3 4 G 4 5 H 5 7 I 7 10 J 10 15 K 80 80ff 15 20 L 20 M 280 400 55

32 95 3 31 11 12 200 (12)a (12)b (11)=(3)+(4)a-(4)b (12)b=(11) (12)a 1 A 90 0.08% 0.07 1 3 B 570 0.32% 1.82 3 6 C 290 0.72% 2.09 6 12 D 220 1.43% 3.15 1 2 E 20 2.77% 0.55 2 3 F 4.49% 3 4 G 6.14% 4 5 H 7.71% 5 7 I 10.15% 7 10 J 13.26% 10 15 K 30 17.84% 5.35 15 20 L 22.43% 20 M 26.03% A (M 9.39 1050 0.89% 56

骤 57

ICAAP Committee of European Banking Supervisors 2 (business cycle) () (risk profile) () ICAAP (target ratio) () ICAAP ICAAP ICAAP 2 Consultation PaperApplication of the Supervisory Review Process under Pillar 2June 2005 63

() ICAAP ICAAP.. ICAAP () ICAAP ICAAP (risk profile) ICAAP ICAAP () ICAAP ICAAP () ICAAP 64

() ICAAP forward-looking () ICAAP ICAAP () ICAAP / dialog 65

MBSABS risk isolation SPV 66

(SPT) (SPC) () default exposure 67

() () (tranches) 68

() ( ) (excess spread) () ( ) () () () 69

() () Automated Underwriting System ( Fannie MaeDesktop Underwriter Freddie MacLoan Prospector) () Stress Testing of Securitized pool 70

() Vintage Analysis () Disclosure vs. Confidentiality 71

(tranches) 72

(capital at risk) Merton1974 3 Black and Scholes PD Default Point, DP VA, T 3 : (1) Belmont, David P. CFA (2004) "Value Added Risk Management in Financial Institution", John Wiley & Sons; (2) Gerhard Schroeck,(2002) "Risk management and value creation in financial institutions", John Wiley & Sons 73

V A,T V A, T DP 0 T Moody s (%) ( ) 16.00 1.00 B 10.00 1.28 4.95 1.65 Ba 2.50 1.96 1.00 2.33 0.51 2.57 0.35 2.70 Baa 0.19 2.90 0.14 3.00 A 0.07 3.20 Aa 0.03 3.40 Aaa 0.02 3.60 Moody s Report 0.01 3.80 74

BV A 275 ST% 45% LT% 12% Default Point 1 DP ' = ST % + LT % BV A 2 DP =140 V E = V A rt N( d1) DP' e N( d2)...(a) VA σ E = σ A, = N( d1)...(b) VE r5% T 1 V E 20 σ =30% (a)(b) E VA = 153.41 ; σ A = 3.91% AA Probability of Default, PD= 0.03% Distance to Default, DTD DTD = N 1 ( PD)...(c) VA 1 2 ln( ) + ( µ σ A ) T DTD = DP 2 σ T A...(d) 75

µ µ =5.90%(c)(d) DP=142.19 Economic Capital = V DP = 153.41-142.19 = 11.22 A 11.22 76