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Basel III .................................................. 3
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(TLAC) .......................................... 9
Basel III ............................................ 13
LCR ............................................................. 13
NSFR ........................................................... 20
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2008 7

(Basel Committee on Banking Supervision

BCBS) Basel III

Basel III Basel II 2008

Basel II

Basel II

Basel III

3 1

2 3

2010-2012

Basel III Basel III

BCBS 2014 2

(Total Loss Absorption Capacity,

TLAC) 2014-2015

1
(Liquidity Coverage Ratio, LCR)

(Net Stable Funding Ratio, NSFR) BCBS 2018

LCR NSFR

2015 Basel III

(The Basel III International Capital and Liquidity framework)

Basel III

5 2015 11

21 11 25 ( 1) 29

Basel III

Basel III

TLAC

Basel III

Basel III

2
 Basel III

BCBS 2010 Basel III 2013

Basel III BCBS 2014

(Global

Systematic Important Bank, GSIBs)

Basel III G20

2013 G20

(Financial Stability Board, FSB)2015 FSB G20

TLAC BCBS TLAC Basel III

2015 11 TLAC

2019 Basel III TLAC

2012

(Credit Default SwapCDS)

20 CDS

3
BCBS 2014

-(Fundamental review

of the trading book: A revised market risk framework)

()

Basel III

CDS

CDS

BCBS (trading-evidence

approach)(valuation-based approach)
1.

CDS

CDS /

CDS CDS

2.

4
 1 BCBS



1.
2.
3.
4.
5.
6.


(
)
BCBS (2014)

()

BCBS 2008

6 BCBS

(Credit Valuation Adjustment, CVA)

(credit spread)

CVA CVA
=
:

()

Basel

10
5


BCBS

(liquidity horizon) 10 10-250

( 2) 10

VaR 60 VaR
2
10 20 60 120 250
-

-

























BCBS (2014)

4 5 24
6
( 3)

1. 0.4%-30%

2.

5%-80%

3. 2 100

30%-70%

4. 15%

5. 7 25%-80%

3 BCBS

() 0.25 0.50 1 2 3 0.4%-30%
5 10 15 20 30
5%-55%
() 5%-80%
30%-60%
() 50%-70%
() 15%
30%-60%
80%
40%
20%
25%-35%
25%
50%
: BCBS (2014)

()

BCBS 2018
7
 1 (Value-at-risk, VaR)(Expected

Shortfall, ES) VaR

VaR (tail risk)

ES (Conditional VaR)

Carlo Acerbi VaR ES

VaR

ES ES

S&P500 95% 1 VaR

ES ES VaR ( 1) 1987

2008 ES

ES

1VaR ES

2008

1987

Stats blog

8
 (TLAC)

Basel III

(going-concern capital) (gone-concern

capital)

TLAC ( 2) TLAC

GSIBs GSIBs TLAC

GSIBs

TLAC

BCBS TLAC 2019

1 16% 0.5%

2022 18%

1 2019 6% 0.25%

2022 6.75%( 3)
2 Basel III

1 +
=
()
9
 3TLAC

TLAC FSB 2013 G20

TLAC Fed

2015 10 30 TLAC

TLAC BCBS GSIBs

GSIBs TLAC

GSIBs TLAC ( 4)

4 TLAC

GSIBs 1. TLAC 18%
9.5%
2. GSIBs (surcharge capital)
6%
1. TLAC 16%
GSIBs 6%
2. GSIBs (surcharge capital)
7%
:
10
 TLAC 2014 (Bank

Recovery and Resolution DirectiveBRRD)

(Minimum Required Eligible Liabilities, MREL) TLAC

MREL TLAC GSIBsMREL

3 ( 4) 2

() Basel III

(European Banking

AuthorityEBA)

() EBA

()

10

() 1 MREL 8%

() 2(No creditors worse off than

in liquidation)

MREL 2016 1 MREL

EBA 2020

MREL MREL

11
 4 MREL

1. 2. 3.
MREL

1 2
MREL 8%

BBVA(2015)EU loss-absorbing capacity requirement: final MREL guidelines

TLAC MREL

() TLAC GSIBsMREL

() TLAC MREL

() TLAC

MREL

12
 Basel III

2008

2010 BCBS Basel III

LCR NSFR

2008 (

)()

Basel III

LCR NSFR LCR NSFR

LCR NSFR

LCR

() LCR

LCR 30

(High Quality Liquidity Asset, HQLA)

HQLA LCRLCR

HQLA 30

30 HQLA
13
LCR

100%
30

HQLA 1

2 2 2A 2B

1 100% HQLA HQLA

15%-50% 2 HQLA 40%

1 2

HQLA 1 ( 5)
5 HQLA BCBS

BCBS
1 2
( 7% 70%) ( 15% 40%)
1
HQLA
( 0%)
2B
HQLA
( 25%-35% 15%)

14
() LCR

BCBS LCR

LCR 2015

60% 10% 100% 2019 1 100%

2014 10 LCR 60% 10%

100% 2018 1 BCBS 1

2014 ( 5) LCR 123%

( 5) LCR 153% LCR

5 LCR

European Banking Authority

LCR ( 6) LCR

110%-150% LCR 80%-230% LCR

15


2018 1 LCR 100%

HQLA

2 40%

6 LCR

European Banking Authority

HQLA LCR

LCR HQLA

HQLA ( 7)2011 -2014 1

7%-10.5% 6%-10%

16
2

1%-1.5% 2011-2012 1

ECB (Long-term Refinancing Operation,

LTRO) LTRO

2013

( 8)2011 -2014

2011

-2012 2013

( 9)2011 -2014

()

8%-11.5% 4%-6%

2012 BCBS LCR

17
 7 HQLA

European Banking Authority

///

European Banking Authority

18
 9

()

()
()
()

European Banking Authority

() LCR

LCR

1. LCR

LCR

LCR

2. LCR

(pass-through) LCR

19
 3. LCR HQLA

HQLA

NSFR

() NSFR

NSFR (1 )

BCBS 2014

Basel III

NSFR 2018 1 NSFR

100%
(ASF)
100%
()

(ASF)

ASF 1 1

1 0-100%1

100% 1 50%

(RSF)RSF

(encumbered)

RSF 6 6

1 1

20
 0 50%-100%

1 50%-85%

1 35%-50% 1

100%

() NSFR

BCBS 2018 1 NSFR

100% EBA ( 10)2011-2014 NSFR

NSFR 2014

102% NSFR 2014 108%

NSFR

ASF

10 NSFR

European Banking Authority

21
 NSFR ( 11)

NSFR 75%-130% 100%

NSFR 80%-180% 110% NSFR

NSFR

NSFR

NSFR

11 NSFR

European Banking Authority

22


() 2012 Basel III

BCBS 2010 Basel III 2010-2013 Basel

III 2010 12

2012
Basel III

2013

Basel

III

BCBS

2013-2019 ( 6)

6
:%

2013 2014 2015 2016 2017 2018 2019

3.5 4.0 4.5 5.125 5.75 6.375 7.0

4.5 5.5 6.0 6.625 7.25 7.875 8.5
8.0 8.0 8.0 8.625 9.25 9.875 10.5

()

2015 3

9.66%9.98% 12.29%( 12)

23
 12

2014 4 2015 3 ( 7)

1. 13.78%-15.07%()

6.29%-6.62%

2. 13.78%-15.11%()

() 6.29%-6.62%

3. 15.90%-16.93%()

8.87%-9.39%

24
 72014-15
:%



13.78 6.35 13.78 6.35 16.93 9.39
9.38 9.56 11.99
2014Q4 () () ()
13.99 6.29 14.08 6.29 16.71 9.10
9.66 9.93 12.32
2015Q1 () () ()
15.11 6.45 15.11 6.45 15.90 8.87
9.58 9.89 12.19
2015Q2
15.07 6.62 15.07 6.62 16.34 9.06
9.66 9.98 12.29
2015Q3
-
36

BCBS Basel III

TLAC TLAC GSIBs

Basel III

BCBS ( 8)
8BCBS

BCBS
1. 1.
6
2.
2.


1.
2. 4
5 24

VaR 2018
ES(Expected Shortfall)

25


BCBS 2013

2015 LCR

NSFR 2017

LCR NSFR

() LCR

LCR 2015 1 60%

10% LCR 2019 1

100% 2015 LCR 125.13%( 13)

60%LCR LCR 70%-300%

LCR

LCR

LCR

13 2015 LCR
(%)

26
 HQLA ( 9)
1. HQLA 1 HQLA 90% 2
HQLA 10% HQLA 2
22% 12%
10% HQLA
2.
(57%)(33%)

(43%)(40%)
18% 9.5%
7.5%
92015 HQLA
: %

(HQLA)
90.24
A 8.19
B 1.57

9.37
56.56
0.73
33.34
19.62
9.91
0.72
3.09

1.52
40.32
6.34
42.97
8.85
LCR 125.13

2
2015 12 - 39 6,305
27
() NSFR

NSFR

2008-2014 30

BCBS NSFR ( 10) NSFR

NSFR 2008-2014 NSFR

124.8%-136.3%( 14) 100% NSFR

2008-09

NSFR

2010 ( 15)

NSFR
10 NSFR
: %

0 0
0 50
40
0 50
100
0 50
50 50
70 100
0 0
40 100
100
100
100
(30 ):

()

()()()

28
 142008-2014 NSFR

15

NSFR

10
29
 NSFR

2008-2014 ( 16) NSFR 114%-130%

NSFR 141%-157%

NSFR ASF RSF ASF

RSF NSFR

61% 56% NSFR

NSFR

162008-2014 NSFR

30


() Basel III

Basel III

BCBS 2019

VaR ES VaR

() Basel III

LCR

() LCR NSFR

LCR HQLA

Neri(2012)

HQLA

LCR NSFR 30 1

ASF 90% 1 50%

NSFR

31

()

()

Basel III

Basel III

()

2015 LCR BCBS 2018

NSFR

LCR

32


33


1. (2013)
Basel III (LCR NSFR)-
LCR
2. (2013)
Basel III

3. (2015), Fed QE

4. Acerbi, C., Nordio, C., and Sirtori, C. (2008). Expected shortfall as a tool for
financial risk management. arXiv preprint cond-mat/0102304.
5. Basel Committee on Banking Supervision (2010, 2013) Basel III: International
framework for liquidity risk measurement, standards and monitoring, Bank for
International Settlement.
6. Basel Committee on Banking Supervision (2014), Basel III: The Net Stable
Funding Ratio, Bank for International Settlement .
7. Basel Committee on Banking Supervision (2014), Fundamental review of the
trading book: A revised market risk framework , Bank for International
Settlement .
8. European Banking Authority (2015), CRD IVCRR/Basel III monitoring
exercise report, September.
9. Massimiliano Neri (2012), The Unintended Consequences of the Basel III
Liquidity Risk Regulation, Available at SSRN.
10. Santiago Fernandez de Lis, Jose Carlos Pardo, Victoria Santillana and Javier
Garcia (2015), EU loss-absorbing capacity requirement: final MREL
guidelines, BBVA research.
11. Scalia, Antonio, Sergio Longoni , and Tiziana Rosolin(2013), No.195: The Net
Stable Funding and banks participation in monetary policy operations: some
evidence for the euro area, Banca DItalia.
34