Vietnam Bank - June 2013 PDF

BASEL II Project
Thanachart Bank Public Company Limited

- Risk Policy & Capital Market
June 2013
-1-
Content
TBANK Risk Management framework

Overview of Basel II
Basel II Chronicle in Thailand
TBANK implementation plan
Pillar 1
Pillar 2
Issues to concern
Committee and working group
Overview of Basel III
-2-
Content

Pillar 1
Pillar 2
Issues to concern
-3-
TBANK Risk Mananagement framework

Board
Boardof
ofDirectors
Directors
Risk Management
Committee
Executive
Committee
Audit
Committee
Audit
AuditDepartment
Department
Chief
ChiefRisk
RiskOfficer
Officer
ALCO
ALCO
Compliance
ComplianceDept.
Dept.
Investment
InvestmentPortfolio
PortfolioCommittee
Committee
Credit
CreditCommittee
Committee
IT
ITSecurity
SecurityManagement
ManagementCommittee
Committee
CEO
CEO
-4-

Chief Risk Officer
Basel II & IRM
Risk Policy & Capital Markets
Asset Liability
Management
Credit Risk Management 1

Credit Risk &
Economic Capital
Credit Risk Management 2
Market Risk
Operational Risk
Risk Control
Fraud Management
Retail Risk Mgmt.

(under Retail Banking)
Consolidated Risk Policy

& Risk Reports
-5-

Risk Identification
Strategic
Risk
Operational
Risk
Credit
Risk
Banking
Risks
Market
Risk
Liquidity
Risk
-6-
Strategic
Risk
-7-
Credit
Risk
-8-
Credit
Risk
Credit Analysis
Lending Officer
Risk Analysis
Risk Limit Control
Credit Analyst
Risk Control Unit
-9-
Credit Approval
Credit Committee
Credit
Risk
Country
Risk
Ceiling
-10-
Market
Risk
-11-
Market
Risk
-12-
Interest Rate
Risk
-13-
Liquidity
Risk
-14-
Operational
Risk
-15-

Capital Allocation
Credit Risk
Market
Risk
Capital
-16-
Operational
Risk
Content

Pillar 1
Pillar 2
Issues to concern
-17-
Basel II : Overview
Pillar 1
Pillar 2
-18-
Pillar 3
Basel II : Overview
Pillar 1
Pillar 2
- Pillar 1 :
Require minimum capital adequacy to support
Implement from December 2008 onward
-19-
Pillar 3
Credit Risk
Market Risk
Operational Risk
Basel II : Overview
Pillar 1
Pillar 2
- Pillar 2 :
Require minimum capital adequacy to support
Implement from December 2010 onward
-20-
Pillar 3
Basel II : Overview
Pillar 1
Pillar 2
Pillar 3
- Pillar 3 :
Require the appropriate disclosure of banks information
Allow market participant to assess key information of bank
such as : banks exposure to risks / risk & capital management
Implement from June 2009 onward

-21-
Pillar I
-22-
Basel II : Principles of Pillar 1
Capital Accord
Calculation of minimum capital requirement

( BIS Ratio >= 8.5%)
Total Capital
Basel I 1988
Year 1996
(Current Accord)
Credit Risk
Total Capital
Credit Risk + Market Risk
Total Capital
Basel II
Credit Risk + Market Risk + Operational Risk
-23-

Total Capital
Tier 1
Tier 2
= Subordinated debentures
+ unrealized gain from
properties and plants
+ specific reserve for normal
loans
+ unrealized gain from equity
instrument in available for
sale portfolio
= Paid-in capital
+ premium on common share
+ statutory reserve
+ appropriated reserve
+ retained earnings after
appropriated reserve
-24-
Minimum capital requirements
Credit
Risk
Operational
Risk
-25-
Market Risk
(Trading Book)
Credit
Risk
Operational
Risk
-26-
Market Risk
(Trading Book)

Credit
Risk
Standardised
Standardised
Approach
Approach (SA)
(SA)
Internal
Internal Ratings
Ratings Based
Based
Approach
Approach (IRB)
(IRB)
Securitisation
Securitisation
Framework
Framework
ECAI Rating
Foundation
Foundation IRB
IRB
Approach
Approach
(FIRB)
(FIRB)
Internal Rating
and PD
regulatory LGD ,
EAD, and M
-27-
Advanced
Advanced IRB
IRB
Approach
Approach
(AIRB)
(AIRB)
Internal PD, LGD,

EAD, and M

Credit
Risk
Standardised
Standardised
Approach
Approach (SA)
(SA)
Internal
Internal Ratings
Ratings Based
Based
Approach
Approach (IRB)
(IRB)
Securitisation
Securitisation
Framework
Framework
ECAI Rating
Foundation
Foundation IRB
IRB
Approach
Approach
(FIRB)
(FIRB)
Internal Rating
and PD
regulatory LGD ,
EAD, and M
-28-
Advanced
Advanced IRB
IRB
Approach
Approach
(AIRB)
(AIRB)
Internal PD, LGD,

EAD, and M
Credit Risk : SA
On-balance Sheet
Off-balance Sheet
Risk from assets
Risk from obligations
= Credit assets
- Specific Provision
= Credit obligations
x CCF
= Net exposures
x Risk weight
= Net exposures
x Risk weight
-29-
Credit Risk : SA
Risk Weighted Assets
Net exposures
= Credit exposures
Risk weight
Asset type
Asset class
Performing
Assets
- Credit Risk Mitigation
Non-performing
Assets
-30-
Credit Risk : SA
1. Government / Central bank
2. Non-central government PSEs
3. MDBs
4. Financial Institutions
5. Securities company
6. Corporate
7. Retail
8. Mortgage
9. Other assets
10. Off balance sheet items
Risk weight
Asset type
Asset class
Performing
Assets
Non-performing
Assets
-31-

ECAI Rating Grade : Long term assessment
Rating Grade
Rating Grade
-32-

Risk weight classified by asset type : Performing assets
-33-

Risk weight : criteria of retail assets receiving 75% risk weight
1. Orientation criterion

loans to a person / group of persons / small sized business
2. Product criterion

Revolving credit

Line of credit

Personal loans

Hire purchase loans

Credit line / obligation to small sized business
-34-

Risk weight : criteria of retail assets receiving 75% risk weight
3. Granularity criterion

diversification of risk

amount* not exceed 0.2% of total qualified 75% RW retail assets
4. Low value of individual exposures

amount * not exceed 50 million baht
Remark :
* : amount of exposures to a receivable and related persons/parties
-35-

Risk weight classified by asset type : Non Performing assets
-36-

Current Accord : Basel I
Basel II Accord : SA
Credit Risk Capital

Risk Weight applied :-
Risk Weight applied :-
Corporate
: 100%
Corporate
: 50% - 150%
Retail
: 75% *
Retail
: 75%
Mortgage
: 35% *
Mortgage
: 35%
FI
: 20%
Local FI
: 20% , 50%
Sovereign
: 0%
Oversea FI : 20%- 150%
Sovereign
credit line available, CCF = 0
: 0% , 50%
Risk weight for NPL = 150%

credit line available :-
* limited credit exposure

-37-
uncommitted line : CCF= 0
committed line : CCF=0.2 ,0.5

Current Accord : Basel I
Basel II Accord : SA
Credit Risk Capital

Credit risk mitigation is allowed by
Credit Risk Mitigation is allowed by
using the followings:-
using the followings:-
Government securities
Financial Collateral
Deposit at bank
Guarantor
Credit Derivatives
On-Balance Sheet Netting
Credit Derivatives
-38-
Credit Risk : SA
Net exposures
= Credit exposures
-39-
Risk weight

There are 3 types of Credit Risk Mitigation :CRM
Financial
Collateral
Simple Approach
On-balance sheet
netting
Guarantee and Credit

derivatives
Comprehensive Approach
-40-

Simple Approach
Eligible collaterals for CRM : Simple Approach
-41-
** refer to the rating

grade defined by the BoT

Simple Approach
apply collateral risk weight to substitute
receivable risk weight
Exposures
covered by CRM
minimum risk weight is 20%

must be pledged as collateral for the whole life of loan
no maturity mismatch
fair value appraisal at least semiannually
Exposures not
covered by CRM
apply receivable risk weight
-42-

Eligible collaterals for CRM : Comprehensive Approach
** refer to the rating

grade defined by the BoT
Listed stocks not included in main index

Unit trust in above equities and debentures
-43-

Applying haircut to collaterals and exposure under the following rationales: change in future market price
fluctuation of exchange rate
currency mismatch between collateral and credit exposures
-44-

Exposures
covered by CRM
apply 0% risk weight as the net exposure is adjusted

to near-cash amount with the given haircut
Exposures not
covered by CRM
apply receivable risk weight
-45-

General
transactions
Repo-style
Transactions
netting agreement
OTC Derivatives
-46-

General
transactions
Repo-style
Transactions
netting agreement
OTC Derivatives
E* = max {0,[(E x (1+He)) - (C x (1-Hc-Hfx)]}

E*
E
He
C
Hc
Hfx
=
=
=
=
=
=
Net credit exposures after CRM

Net credit exposures
Haircut for exposures
Collateral value
Haircut for collateral
Haircut for currency mismatch
-47-

General
transactions
E* = max {0,[(
(E) (C))+ (Es * Hs)+
(Efx * Hfx)]}
Repo-style
Transactions
E*
E
C
Es
Hs
=
=
=
=
=
Net credit exposures after CRM

Net credit exposures
Collateral value
Absolute value of net position in a security
Haircut for Es
Efx
Absolute value of net position in

mismatch settlement currency
Haircut for currency mismatch
netting agreement
OTC Derivatives
Hfx =
-48-

Standard supervisory
Haircut
Own estimated
Haircut
-49-

Haircut
Own estimated
Haircut
-50-

Haircut
Own estimated
Haircut
estimate from fluctuation of market price and

exchange rate
estimate from VaR model
(for Repo style transaction with netting agreement)
-51-
Credit
Risk
Operational
Risk
-52-
Market Risk
(Trading Book)

Operational
Risk
Standardised
Standardised
Approach
Approach
Basic
Basic Indicator
Indicator
Approach
Approach (BIA)
(BIA)
Internal
Internal Model
Model
Approach
Approach
Standardised
Standardised
Approach
Approach (SA)
(SA)
BIA and SA : capital required is calculated based

on Gross Incomes
-53-
Advanced
Advanced
Measurement
Measurement
Approach
Approach (AMA)
(AMA)
Capital requiredment is
calculated from risk
model :
Qualitative info
Quantitative info

1
1

Basic
Basic Indicator
Indicator Approach
Approach
Capital requirement is calculated from Gross Income

Alpha factor is 15%
Operational Risk Capital = 15% x Avg. Gross Income (3 years)
-54-

2

Standardized Approach
Capital requirement is calculated from Gross Income of business lines

Beta factors are 12%, 15%, 18% depending on business lines
Operational Risk Capital = S (b j x GIj )

Business Line
Corporate finance
Trading and sales
Retail banking
Commercial banking
Payment and settlement
Agency services
Asset management
Retail brokerage
-55-
Beta
18%
18%
12%
15%
18%
15%
12%
12%

3
Advanced Measurement Approaches (AMA)

Internal Model
Internal Measurement Approach (IMA)
Loss Distribution Approach (LDA)
Scorecard Approach
Probability
Risk capital
Aggregate Loss
Expected Loss
Unexpected Loss
-56-
Stress Loss
Credit
Risk
Operational
Risk
-57-
Market Risk
(Trading Book)
Assets Classification
Banking Book
Trading Book
-58-
Trading Book
Investment position which the Bank intends
to hold for trading
Short-term holding
Resale
Profit taking from price movement
Arbitraging purposes
Support customers activities
-59-
Market Risk on Trading Book

Interest Rate Risk
Equity Price Risk
Foreign Exchange Rate Risk
Commodity Price Risk
-60-

Market Risk
(Trading Book)
Standardised
Approach
General
Market Risk
Risk arises from the

movement of market
factors such as interest
rate or stock prices
volatility
Internal Model
Approach
Specific
Risk
Risk arises from factors
other than General Market
Risk which related to the
issuer such as changes in
issuer rating
-61-

Market Risk
(Trading Book)
Standardised
Approach
General
Market Risk
Net Equity Positions
x General market risk
Internal Model
Approach
Specific
Risk
Gross Equity Positions
x Specific risk
-62-

Example of Market Risk calculation with Standardised Approach
Position
Long
Short
Stock name
Microsoft
Intel
US$
2 million
1 million
THB
80 million
40 million
General Market
Risk
= (60 + 30) * 8% = (60 - 30) * 8%
7.20
2.40
Specific Risk
Equity price risk

Foreign Exchange risk
Total Market Risk
7.20
-63-
Rate
1 US$ : 30 THB
Total Market
Risk
9.60
= (2 -1) *30 * 8%
2.40
2.40
4.80
12.00

Example of Market Risk calculation with Standardised Approach
Capital
= 8%
Risk Assets
Capital
Risk Assets
=
8%
Risk Assets
Total Market Risk
Capital
X 12.5
12 THB million
Market Risk Assets
= 12 x 12.5
=
-64-
150
THB million

Market Risk calculation with Internal Model Approach
Normal Distribution of return

Frequency
2.33 times of
Standard
deviation
Portfolio Return
Distribution
99%
1%
Loss
Profit
VaR
-65-
Portfolio
Return

Market Risk calculation with Internal Model Approach
Qualitative Standards
Quantitative Standards
Qualified On-site Examination
Calculate VaR on daily basis
from the BoT
99% 10-day VaR
Risk Controlling Unit is in place
At least 250 historical data are needed
Board of Directors and
Allocate Market risk capital at the end
Senior Executives take responsible
of the day (3+plus factor) of VaR
for Risk Management process
Allocate more capital for Specific Risk
Perform Back Test

Perform Stress Test
of debt and equity instruments (if any)
-66-
Pillar II
-67-
Basel II : Objective of Pillar 2
To ensure Banks have in place the process to capture : Credit Concentration Risk
Interest Rate Risk on Banking Book
Liquidity Risk
Strategic Risk
Reputation Risk
Risk arising from unusual/ stress events
-68-
For Banks
For BoT
Principle
Principle#
#11
ICAAP
ICAAP
Capital
CapitalPlan
Plan
Principle
Principle#
#22
Pillar II
Principle
Principle#
#33
ICAAP
ICAAPEvaluation
Evaluation
Capital
CapitalEvaluation
Evaluation
Principle
Principle#
#44
Maintain
Maintaincapital
capitalin
in
Intervention
Interventionififbanks
banks
are unable to maintain
excess
excessof
ofminimum
minimum
requirement
requirementof
ofPillar
Pillar11

adequate
adequateCapital
Capital
-69-
For Banks
For BoT
Principle
Principle#
#11
ICAAP
ICAAP
Capital
CapitalPlan
Plan
Principle
Principle#
#22
Pillar II
Principle
Principle#
#33
ICAAP
ICAAPEvaluation
Evaluation
Capital
CapitalEvaluation
Evaluation
Principle
Principle#
#44
Maintain
Maintaincapital
capitalin
in
Intervention
Interventionififbanks
banks
excess
excessof
ofminimum
minimum
requirement
requirementof
ofPillar
Pillar11

adequate
adequateCapital
Capital
-70-
ICAAP
ICAAP11
ICAAP
ICAAP22
ICAAP
ICAAP33
ICAAP
ICAAP44
ICAAP
ICAAP55
Board and senior management oversight

: Approve Risk tolerance , ICAAP Policy , Capital Plan
Comprehensive risk assessment
: Estimate risks in addition of minimum requirements in Pillar 1
under Normal & Stress condition
Sound capital assessment
: Have in place the Capital Plan for Normal and Stress condition
Monitoring and reporting

: Timely report risk position and the capital required to management
Review of ICAAP
: Annually review ICAAP by independent person / unit
-71-

Content
Contentof
ofICAAP
ICAAPreport
report
Executive Summary
Banks profile
ICAAP and Board and senior management oversight
Comprehensive assessment of material risks
Stress testing for material risks
Sound capital adequacy assessment
Monitoring and reporting
Review of ICAAP
-72-

Content
Contentof
ofICAAP
ICAAPreport
report
Comprehensive
Comprehensiveassessment
assessmentof
ofmaterial
materialrisks
risks
Pillar
PillarIIrisks
risks
Credit
Creditrisk
risk
Market
Marketrisk
risk
Operational
Operationalrisk
risk
Pillar
PillarII
IIrisks
risks
Credit
Creditconcentration
concentrationrisk
risk
Interest
Interestrate
raterisk
riskin
inbanking
bankingbook
book
Liquidity
Liquidityrisk
risk
Strategic
Strategicrisk
risk
Reputation
Reputationrisk
risk
-73-

Content
Contentof
ofICAAP
ICAAPreport
report
Stress
Stresstesting
testingfor
formaterial
materialrisks
risks
develop
developextreme
extremebut
butplausible
plausiblescenarios,
scenarios,assumptions,
assumptions,and
andmodels
models
for
forstress
stresstesting
testing
analyze
analyzethe
theimpact
impactof
ofthe
thestress
stresstesting
testingon
onthe
thebanks
banksCapital
Capital &&BIS
BISratio
ratio
-74-
Pillar III
-75-
Content of Basel II
Bank
Bank
Disclosure of relevant information concerning :
Scope of
Application
Market
Discipline
Capital
Risk exposure
and assessment
Market
Market
-76-
Content of Basel II
Scope of Application

Capital

Risk exposure and

assessment

Scope of consolidation
Method of consolidation,capital deductions
Unconsolidated entities within the group
Core/supplementary capital components
Capital requirements for each risk
Total and Tier 1 capital ratio
Credit Risk
Securitisation
Market Risk
Operational Risk
Equities
Interest rate risk in the banking book
-77-
Content

Pillar 1
Pillar 2
Issues to concern
-78-
Basel II : Chronicle of Pillar 1

August 2005 :
BOT issued a draft guideline on Basel II capital requirement to be
implemented in the end of year 2008.
November 2005 :
Risk Management Department arranged seminar in Basel II Accord and
impact on TBANKs capital.
June 2006 :
TBANK submitted Basel II preliminary application and self assessment
form on June 30, 2006.
December 2006 :
The Quantitative Impact Study (QIS) was done in order to estimate the
effect on the banks capital adequacy.
-79-

September 2007 :
TBANK submitted Basel II final application and self assessment form on
September 30, 2007.
December 2007 Dec 2008 :

Basel II has been soft implemented in parallel by Basel I.
January 2009 onward :

All FIs in Thailand commenced using Basel II.
-80-
Submit ICAAP Report &

supporting documents to BoT
Jan11
Dec10
Dec08
Official implementation of ICAAP

Prepare ICAAP supporting documents
Prepare to implement ICAAP
-81-
Content

Pillar 1
Pillar 2
Issues to concern
-82-
Basel II : Implementation Plan for Pillar 1
Set up action plan for Basel II : pillar 1

Prepare database to support Basel II, starting with data gap analysis

Customer/Counter party
Collateral
Lending Exposure
Data for operating risk
Modify legacy to collect missing data

Develop procedure, IT and risk management system
Test the system and conduct UAT
Start implementing Basel II system
-83-
Basel II : Implementation Plan for Pillar 2
Set up action plan for Basel II : pillar 2

Evaluate current process in comparison with Basel II guideline
and prepare gap analysis report
Establish policies related to Pillar2

ICAAP policy
Strategic Risk Policy
Reputational Risk Policy
Draft up the ICAAP report and discuss with relevant persons /

departments
Propose policies and ICAAP report to the Board of Director for approval
Submit ICAAP report to the BoT
-84-
Content

Pillar 1
Pillar 2
Issues to concern
-85-
Basel II : Issues to concern
Data discrepancy
Communication of new regulation to

executives
related parties and users
In-house developed system

Hiring consultant service
-86-
Content

Pillar 1
Pillar 2
Issues to concern
-87-
Basel II Committee
Basel II working group
Relevant Departments

Risk management team

IT
Compliance
SRD
Data Management Center
Accounting
-88-
Basel II Committee
consist of executives from relevant team as follow :-

CEO
COO
CRO
Head of Treasury Department
Head of Banking business
Head of Retail business
Head of IT
Head of SRD
Head of Accounting & Finance
-89-
Content

Pillar 1
Pillar 2
Issues to concern
-90-
Background of Basel update

Basel III Guidelines
-91-

World Economic and Financial Crisis caused by: Erosion of the level and quality of capital
Excessive on- and off-balance sheet leverage
Insufficient liquidity buffer
Procyclical deleveraging process
Interconnectedness of systemic institution
-92-

Therefore, BCBS revised the supervisory guidelines on the
followings: Capital Adequacy

Liquidity Risk Management
Systemically Important Financial Institution (SIFI)
-93-

Basel III Guideline

1) Revision of Capital Definition & Structure
Systemically
Tier 1Important
- CommonFinancial
Equity Institution (SIFI)
Tier 1 - Additional
Tier 2
2) Capital Buffer
3) Leverage Ratio
4) Risk Coverage
-94-

Capital Adequacy
Tier 1 - Common Equity
Tier 1 - Addition
Tier 2
-95-

Capital Adequacy
Tier 1 - Addition
Tier 2
Component of Tier 1 - CE :
Paid in capital
Stock surplus (deficit)
Retained earnings
Other comprehensive income
Significant features of Tier 1 - CE :
No condition of stock buy back
No cumulative of dividend
Bank cannot fund the purchase of CE
Deduction items from Tier 1 - CE :

Net losses
Deferred Tax Assets
Gain/Loss from revaluation of
liabilities due to credit rating change
Good will / Other intangibles

Profit from securitization transaction

Treasury Stock
Reciprocal cross holding of capital
Investments in financial entity outside
the financial group
-96-
Basel III Guidelines : Capital Adequacy

Capital Adequacy
Tier 1 - Addition
Tier 2
Component of Tier 1 - Addition :

Instruments that meet the criteria
Significant features of Tier 1 - Addition :
Subordinated to depositors, creditors, and
subordinated debts
No maturity
No incentive to redeem (such as step-ups)
No cumulative of dividends
Callable after a minimum of 5 years
Principal loss absorption (write-down/conversion)
upon trigger point : CET1 < 5.125%
Supplementary loss absorption at the point of
non-viability (write-down/conversion) upon
trigger events
No credit sensitive dividend feature
-97-

Capital Adequacy
Component of Tier 2 :
Instruments that meet the criteria
Tier 1 - Addition
Significant features of Tier 2 :
Tier 2
Subordinated to depositors and creditors

Maturity after a minimum of 5 years
No incentive to redeem (such as step-ups)
Callable after a minimum of 5 years
Supplementary loss absorption at the point of
non-viability (write-down/conversion) upon
trigger events
No credit sensitive dividend feature
-98-

Capital Adequacy
Remark
Capital instruments that no longer qualify as Tier 1 or Tier 2 will be

phased out over 10 year horizon
-99-

Leverage Ratio
Objective :
To set a ceiling in the build-up of leverage

To mitigate the risk of deleveraging process which can
damage the financial system and economy
To introduce a simple supplementary measure to the risk

based requirements
-100-

Leverage Ratio
-101-

Basel III Guideline

Liquidity Coverage Ratio

Net Stable Funding Ratio
Monitoring Tools
-102-

Liquidity Coverage Ratio : LCR
Objective :
To ensure that a bank maintains an adequate level of

high quality assets that can be converted into cash
to meet the liquidity needs for a 30-day time horizon
under liquidity stress scenario
-103-

Liquidity Coverage Ratio : LCR
-104-

Net Stable Funding Ratio : NFSR
Objective :
To promote Banks use of more stable source of funding in

conducting banking activities
-105-

Net Stable Funding Ratio : NFSR
-106-

Basel III Guideline

Definition of SIFI
Supervisory Guidelines for SIFI
-107-

Definition of SIFI
To define the SIFI, the committee used the following criterion : Size that represents the major market player
Interconnectedness with other financial institutions
Lack of substitutability as the financial service provider
-108-

Supervisory on SIFI
Additional Loss Absorbency such as: Capital surcharge

Liquidity surcharge
Bank levies
Development of more efficient recovery and resolution plan
More stringent supervision on SIFI
Strengthening the structure of OTC Derivatives market to
reduce the contagion risk
Establishment of Peer Review Council (PRC) to evaluate the

supervisory guideline for SIFI in each country
-109-

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BASEL II Project

Thanachart Bank Public Company Limited

TBANK Risk Management framework

TBANK Risk Management framework

TBANK Risk Mananagement framework

TBANK Risk Mananagement framework

Basel II & IRM

Risk Policy & Capital Markets

Credit Risk Management 1

Credit Risk Management 2

Retail Risk Mgmt.

Consolidated Risk Policy

TBANK Risk Mananagement framework

TBANK Risk Mananagement framework

TBANK Risk Mananagement framework

TBANK Risk Mananagement framework

Risk Limit Control

Risk Control Unit

TBANK Risk Mananagement framework

TBANK Risk Mananagement framework

TBANK Risk Mananagement framework

TBANK Risk Mananagement framework

TBANK Risk Mananagement framework

TBANK Risk Mananagement framework

TBANK Risk Mananagement framework

TBANK Risk Management framework

Implement from June 2009 onward

Basel II : Principles of Pillar 1

Calculation of minimum capital requirement

Credit Risk + Market Risk + Operational Risk

Basel II : Principles of Pillar 1

Basel II : Principles of Pillar 1

Minimum capital requirements

Basel II : Principles of Pillar 1

Minimum capital requirements

Basel II : Principles of Pillar 1

Internal PD, LGD,

Basel II : Principles of Pillar 1

Internal PD, LGD,

Basel II : Principles of Pillar 1

Risk from assets

Risk from obligations

Basel II : Principles of Pillar 1

Basel II : Principles of Pillar 1

Basel II : Principles of Pillar 1

Basel II : Principles of Pillar 1

Basel II : Principles of Pillar 1

Basel II : Principles of Pillar 1

Basel II : Principles of Pillar 1

Basel II : Principles of Pillar 1

Credit Risk Capital

Risk Weight applied :-

Oversea FI : 20%- 150%

credit line available, CCF = 0

Risk weight for NPL = 150%

* limited credit exposure

uncommitted line : CCF= 0

committed line : CCF=0.2 ,0.5

Basel II : Principles of Pillar 1

Credit Risk Capital

Credit Risk Mitigation is allowed by

using the followings:-