Basel Committee

on Banking Supervision

The New
Basel Capital Accord

................................................................................................... 10
...10

............................................................................11

..........................................................................11
................................................................................11
Internal ratings-based (IRB) approaches.................12
...........................................................13
....................................................................................14
Specialised lending .....................................................14
Equity exposures .................................................14
IRB .............................................................................15
..............................................................................................15
...........................................................................................16
..........................17
.........................................................................17
...........................................................................................18
............................................................................................18
....................................................................................18
................................................................................19
....................................................................................20
................................................................................................20
: QIS3 ...........................................................21
21
............................................................................................21
qualifying revolving retail exposures,QRRE)..22
............................................................................................22
(specialised lending, SL) ............................................................22
high volatility commercial real estate HVCRE) .23
............................................................................................23

.......................................................................................................23
...................................................................................................24

..................................................................................................... 26
............................................................................... 28
A.

..........................................................................................................28

B.

........................................................28

C.

............................29

D.

...................................................................................................29

E.

..............................................................................30

F.

................................................................31

.................................................. 33
I.

....................................................................................33

II.

(Standardised Approach) .............................................33

A. ..............................................................................33
1.

........................................................................34

(i)

....................................................................34

(ii)

(public sector entities) ........35

(iii)

.............................................................35

(iv) .............................................................................36
(v)

....................................................................37

(vi) ...........................................................................37
(vii) ........................................37
(viii) .............................................................38
(ix) .........................................................38
(x)

..................................................................................39

(xi) ...........................................................................39
(xii) ..................................................................................40
(xiii) ....................................................................40
2.

..................................................................................40

(i)

..................................................................................40

(ii)

.................................................................................40

3.

.................................................................41

(i)

(mapping process).....................................................41

(ii)

.................................................................42

(iii)

(issuer versus issues assessment) ......42

(iv) ....................................................................42
(v)

........................................................................43

(vi) ........................................................................43
(vii) (unsolicited ratings) ...................................................43
B.

(Credit risk mitigation)...................................44

1.

..................................................................................44

(i)

..........................................................................................44

(ii) .................................................................................44
(iii)

...............................................................................45

2.

.........................................................45

(i)

..................................................................................45

(ii)

(On-balance sheet netting) .......................................47

(iii)

.................................................................47

(iv) ....................................................................................47
(v) .....................................................................................48
3.

......................................................................................48

(i)

....................................................................48

(ii)

...................................................................................49

(iii)

..................................................................................56

(iv)

.........................................................57

4 .....................................................................................57
5 ...................................................................58
(i)

..................................................................................58

(ii)

/.......................................60

(iii)

..................................................................................60

(iv) ..................................................................................60
(v)

..................................................................................61

6.

..................................................................................61

7. .........................................62
(i)

(pools of CRM techniques) ........62

(ii) ............................................................62
(iii)

........................................................62

III. IRB ...................................................................................62

A.

..................................................................................................62

B IRB .............................................................................63
1.

...........................................................................63

(i) ...........................................................................63
(ii) ..........................................................................65
(iii) ..........................................................................65
(iv) .........................................................................65
(v)

......................................................66

(vi) .........................................................................67
(vii) ......................................................68
2.

........................................................................69

(i)

...........................................................69

(ii) .....................................................................................70
(iii) ....................................................................................70
(iv) ..................................................................70
3.

IRB ..................................................70

4.

...............................................................................71

(i)

....................................71

(ii)

...................................................72

(iii) ....................................................................................72
C.

.......................................................73
1.

....................................73

(i)

.........................................................73

(ii) ...................................................................73
(iii) ..................................................................74
2.........................................................................................75
(i)

..................................................................................75

(ii) .................................................................................75
(iii)

...........................................................................79

(iv) ....................................................................................80
D.

....................................................................................82
1................................................................82
(i) ...............................................................................82
(ii) ...................................................................82
(iii) .............................................................................83
2.........................................................................................83
(i)

.............................................................83

(ii) ........................................................83
(iii) .............................................................................83
E.

................................................................................84
1................................................................84
(i)

......................................................................................84

(ii) / ...........................................................85
(iii) / ..........................86
2.

..................................................................................87

F. ............................................................................87
1................................................................87
(i)

.................................................................87

(ii)

.................................................................87

2.

.........................................................89

(i)

........................................................................89

(ii) .................................................................................89
G. ..........................................................................................89
H.IRB ..................................................................................90
1. .............................................................................91
2..................................................................................91
3..................................................................................91
(i)

.................................................................................92

(ii) .....................................................................................93

(iii) ....................................................................................94
(iv) ................................................................................94
(v)

...............................................................................95

(vi) ..................................................................95
4.

....................................................................96

(i) ...........................................................................96
(ii) .......................................................................96
(iii) Overrides ...................................................97
(iv) ....................................................................................97
(v)

....................................................98

5. ...........................................................................98
(i)

Corporate governance ......................................98

(ii) ..............................................................................99
(iii) .................................................................................99
6. ...........................................................................99
7.

................................................................................100

(i)

......................................................................100

(ii) ...............................................................................101
(iii) Re-ageing....................................................102
(iv) ...........................................................................102
(v) ......................................................102
(vi) ................................................................102
(vii) .....................................................104
(viii) ................................................104
(ix) .....................106
(x)

.........107

8. .........................................................................109
9. ..............................110
(i)

.......................110

(ii) /....................................110
(iii) .........................................................111
10.

....................................................................113

11.

......................................................114

(i)

.........................................................114

(ii) .................................................................114
(iv) .......................................................................116
12. ................................................................................118
IV.

--- .................................................................119
A. ........................................119
B. ...................................................................................................120
1. ...............................................................120
(i)

....................................................................120

(ii) ........................................................................120
2. ....................................................................................120
(i) (clean-up call)..........................................................120
(ii) (credit enhancement) .................................................120
(iii) (early amortisation)....................................................120
(iv) (excess spread).........................................................121
(v)

(implicit support) ......................................................121

(vi) (Special purpose entity (SPE)) ...........................121

C. ...................................................................121
1.......................................................121
2. ..................................................122
3.......................................................123
D. ............................................................123
1................................................................................123
(i).............................................................................................123
(ii) ...................................................................................123
2. ....................................................124
3. .............................................124
(i) ...........................................................................................124
(ii) ...................................................................................125
(iii) .......125

(iv) ..................................................126
(v)

.............................................................127

(vi) .........................................................128
(viii)
....................................................................................130
4.

.......................................................131

(i)

........................................................................................131

(ii) KIRB ..................................................................................131

(iii) ........................................................................132
(iv) .......................................................................133
(v) .................................................................133
(vi) ..................................................................................135
(vii)

...........................................................................137

(viii) .......................................................138
(ix) ................................................................138
(x) .................................................................138
V. .....................................................................................................139
A. .........................................................................139
B. ....................................................................................139
1................................................................................139
2 ...................................................................................140
3 (Advanced Measurement Approaches AMA)...141
C. .....................................................................................142
1 ...................................................................................142
2.......................................................................................142
3. ................................................................................143
D ................................................................................147
VI. .....................................................................................................148
A ......................................................................148
B .........................................................................149
1 .................................................................149
2 ...................................................................................149

3 .....................................................................150
C. .....................................................151
D ...........................152
1 ...................................................152
2................................................152
3. .......................152
4..............................................................153

............................................................................. 155
A. ........................................................................................155
B. .............................................................................155
C. ....................................................................................161
D..................................................................................167

....................................................... 169
A. ......................................................................................................169
1. ..............................................................................................169
2.

.........................................................................................169

3.

.....................................................................................169

4. .......................................................................169

B.

5.

Materiality .....................................................................170

6.

................................................................................................170

.................................................................................................171
1.

..................................................................................171

2.

.........................................................................................171

3.

................................................................................................173

4.

..............................................................................175
(i)

...............................................................175

(ii)

................................................................................175

(iii)

................................................................................183

(iv) ................................................................................184
(v)

...............................................................184

1 15% ....................................... 185

2 .......................................................... 186

IRB ............................................................ 190

............................................. 193

5 .................................... 207
6 .................................................................................................. 211
7

................................................................... 215

8 ................................................................................................... 220

1. Basel II,
IICP3

2006
2.

3.

4.

5.

40
350 QIS3
QIS3

6.

2002 10 QIS3

10

7.

8.

8%
9.
8%

10.

1996

11.

12.

(1)

(1)

(2)

(2)

(3)

(3)

13. exposures

11


OECD.
14.

100%
8%
150%

15.
II (credit risk mitigants)

16. ,

SMEs
17.

simplified
standardised approach 9

Internal ratings-based (IRB) approaches

18. IRB
IRB IRB IRB
risk drivers inputs
IRB

19.

20. IRB

12

 IRB IRB

21. IRB
Probability of defaultPD)
Loss given defaultLGD)
Exposure at defaultEAD
(MaturityM)

22.
5000
IRB
23. IRB

IRB

IRB

(PD)

(LGD)

(EAD)

(M)

(
)

24. IRB
IRB LGD
EAD , IRB
IRB

IRB

25. IRB
IRB LGD
IRB
LGD IRB
IRB

13

26. IRB IRB IRB

PDLGD EAD
IRB

27.

qualifying revolving retail exposuresQRRE)

QRRE

Specialised lending
28. II

IRB

29. high volatility commercial

real estate HVCRE) IRB

HVCRE

Equity exposures
30. IRB
PD LGD
LGD 90
100

14

IRB
31. II IRB
IRB
IRB
IRB

32.

risk profile
IRB

33. IRB
II

34. II
/

35.
capital arbitrage
IRB
II
36.

37. IRB

KIRB
KIRB

15


granularity
38. II
IRB

39.
II

40.
II

Advanced Measurement Approaches

AMA)
41.

42.
AMA

AMA

43.
AMA

16

44. (Internationally active banks)

AMA II

45.
0.15
2003 2
.
46.

regulatory
capital

47.
AMA

48.

49.

50.
stress testing IRB

17

51.

call feature

52.

51.

IRB

54.

55. II

56.
2006

II
II
57.

18

58. 2006
2006 II

59. II

IRB

60.

Accord Implementation GroupAIG)

II
Capital Task ForceCTF),

61. II

2006

62. II
IRB AMA
II

63. 2006

IRB AMA

II
64.

19

65.
Basel
Concordat

66.

67.

68. 2003 7
31
CH-4002BCBS.Capital@bis.org 41
61 280 9100
69.

2003

20

: QIS3

70. QIS 3

71. 2002 7 22
QIS3
2002 10

72. IRB expected

lossEL) 12.5 X PD X
LGD X EAD QIS3

IRB IRB

73.

II

74.

20%
100% 150%
15%
100%

342 348 48 51

21

qualifying revolving retail

exposures,QRRE)
75.
QIS3 0.15 0.11
75%
76. QRRE

77. QIS3
QIS3
II

78.

202 203 299 300

79. LGD 10%

, IRB
LGD 10%

80. IRB

35%

235 45

(specialised lending, SL)

81. IRB

82. QIS 3 IRB PD

5

22

83.
2.5

244 246 249 251

high volatility commercial real estate

HVCRE)
84. HVCRE . IRB
IRB
HVCRE IRB
HVCRE LGD EAD
252 253

85.

162(a)

86. 2002 10
IRB

overrides

IRB

87.
KIRB

56

23

88.
IRB
KIRB KIRB
IRB
bottom-up approach)

top-down

approach)

89.

90. KIRB

574 603

91. AMA

AMA

92. AMA
20%
93. QIS3
12%

94.

6
18

24

 610, 611, 637 91

25


ABCP

Asset-backed commercial paper

ADC

Acquisition, development and construction

AMA

Advanced measurement approaches

ASA

Alternative standardised approach

CCF

Credit conversion factor

CDR

Cumulative default rate

CF

Commodities finance

CRM

Credit risk mitigation

EAD

Exposure at default

ECA

Export credit agency

ECAI

External credit assessment institution

EL

Expected loss

FMI

Future margin income

HVCRE

High-volatility commercial real estate

IPRE

Income-producing real estate

IRB approach Internal ratings-based approach

LGD

Loss given default

Effective maturity

MDB

Multilateral development bank

26

NIF

Note issuance facility

OF

Object finance

PD

Probability of default

PF

Project finance

PSE

Public sector entity

RBA

Ratings-based approach

RUF

Revolving underwriting facility

SF

Supervisory formula

SL

Specialised lending

SME

Small- and medium-sized enterprise

SPE

Special purpose entity

UCITS

Undertakings for collective investments in transferable securities

UL

Unexpected loss

27


A.
1. (the New Basel Capital Accord)(
(internationally active banks)

2.
1

3.
2(full
sub-consolidation)
4.
(on a
stand-alone basis)

B.
5.
3

4
6.

3
4

28

7.

8.

C.
9. significant
minority investments

20%-50%

10. 1988

D.
11.

29

12.
5
6
13.

14.
7

50100

15.

E.
16.
(Materiality)
15%
60%
17.
100%
100%
5

100%

30

F.
18.
50%
19.
11

20.
innovative Tier 1 instruments
1
15%

31

(1)
2
(2), (3)(4)

32


I.

21.

22. 12.5( 8%
)

1988 1998 10 27
8%
100%
23. (IRB)(AMA)

(capital floor) 2006

90 80
2008

II.

(Standardised Approach)

24. ,
8
25.

A.
26. 1988
(credit risk
8

33

mitigation)

9
60 61

1.
(i)
27.

AAA AA-

A+ A-

BBB+ BBB-

BB+ B-

B-

0%

20%

50%

100%

150%

100%

28. ()
1011
()

29. (Export Credit

Agencies)

(Arrangement on
Guidelines for Officially Supported Export Credits)
12 7 7

46

0%

20%

50%

100%

150%

30.
0%

10

B-3 B-5

11

12

OECD (http://www.oecd.org)(Trade Directorate)

34

(ii)

(public sector entities)

31.
13
32.
14

(iii)

33.
2
15
0
0

AAA
AA-

(
)

13

31

14

()

15

(Commercial undertakings)

0%(IBRD)(IFC)
(ADB)(AfDB)(EBRD)(IADB)
(EIB)(NIB)(CDB)(IDB)(CEDB)

35

(iv)
34.

35.

5016
20% 150%

36.
50 12
20% 150%

37.

AAA AA-

A+ A-

BBB+ BBB-

BB+ B-

B-

20%

50%

100%

100%

150%

100%

AAA AA-

A+ A-

BBB+ BBB-

BB+ B-

B-

20%

50%

50%

100%

150%

50%

17

20%

20%

20%

50%

150%

20%

38. ( 28 )

16

()

17

38

36


20%
(v)
39. (
)18

(vi)

40.
100%

AAA AA-

A+ A-

BBB+ BB-

BB-

20%

50%

100%

150%

100%

41.

100%

42.
100

(cherry-picking ) 100

(vii)

43. 44
48 75
19
44. 4
(Orientation criterion)

18

(
)(downstream affiliates)

19

37

 (Product criterion)
()(
)
()

(Granularity criterion)
75
20 0.2

100
(viii)
45. 35
35

46. 45

(ix)

47.
100
21

20

()(
)(
)

21

50% 60%
50% 100%
(1) 50%
(mortgage-lending-value MLV)(loan-to-valueLTV) 60
0.3%(2)
0.5%

()
100

38

(x)
48. 90 ()
22
20 150
20 100
50 100
50
49.
23
( B ) 44

50 48 116
117 15 100

51. 90
100 50 50
50
(xi)

52. 150
B-
BB-
48
BB+ BB 350( 526 )
53.
150%

22

150 48 50

23

39

(xii)

54. IV
10024
100
(xiii)
55. (credit
conversion factors )

56. 20% 50

0%25
57. (/
/) 100 B3

58. (
) 20
59.

2.
(i)
60. (external credit assessment institution )

(ii)

61.

24

25

40

:,

AA A

(
)

3.
(i)(mapping process)
62.

63.

2
64.

65.
;
;

41

(ii)

66.

67.

68.

(iii) (issuer versus issues assessment)

69.

()

()

70.
26

(credit enhancement factors)

( 84 )

(iv)

72.

27

26

27

42

(v)
73.
57

A-1/P-128

A-2/P-2

A-3/P-3

29

20%

50%

100%

150%

74. 50
100 150
150

75.

36 38

()

76.
61

(vi)

77.

(vii) (unsolicited ratings)

78. (solicited ratings)

28

A1 A-1+ A-1-
.

29

B C

43

B.

(Credit risk mitigation)

1.
(i)

79. (first
priority claims)

80. 88 89 1988

(ii)
81. II
III
82. ( 101 109 116 152)

83.

84.
70
(principal-only ratings)
85. (
)

86.

87.

44

(iii)

88.

89.

2. 30
(i)
90.
31

91. ( 116 117 )

92. 1988
( 20%)

93. 94 97

94. 88 89
()
()

30

31

counterparty

45

95.

96.

97.

98.

99. (
)

100.
153 156

101.

32

102.

103. (
)
118 121
104.

32

46

105.

106.
5
20

107. ( 141 142 )

108. (master netting agreements)

144
109. VAR 149
152
(ii)

(On-balance sheet netting)

110. 159

(iii)

111.

112. 1988

113. 160 163

(iv)
114.

172 174

47

(v)
115. (pools of credit risk mitigants)(first- and
second-to-default) 175 179

3.
(i)
116.
(a)

33, 34

(b)
(c)

() BB-;
() BBB-;

(d)

A-3/P-3

BBB- A-3/P-3

BBB A-3/P-3 ()

(e)
35

(f)

33

(UCITS)

(credit-linked notes)

34

()

35

117

48

117.
(a)

(b)

(c)

(ii)

118.
E* = {0, [E x (1 + He) - C x (1 - Hc - Hfx)]}

E*
E
He
C
Hc
Hfx
119.
120. 172 174
121. (basket of assets)
H = a i H i ai i Hi
i

122. ( 10
)

49

AAA to AA-/A-1

BB+ to BB-

0.5

>1 , 5

>5

>1 , 5

>5

12

15

15

25

36, 37

A+ to BBB-/
A-2/A-3 116 (d)

38

39

123. 8%(
10 )
124. ()

125.
127 136
BBB-/A-3
(A)(B)(C)
(D) BBB-/A-3
()

36

37

0%

38

39

116(a)

50

126.
( 172 174 )
(a)
127. 99%
128.
138

129.

130. ()
( 1
6 )
131. 3
3

132.
(Monte Carlo simulations)

133. ()
134.

135.
136.
()

51

137.
(//
)()

138.

10

20

139.

H = HM

N R + (TM - 1)
TM

H =

HM =

TM =

NR =

TN TM,HM

HM = H N

TN HN
HN TN

52

TM
TN

140. 122 10

H = H10

N R + (TM 1)
10

H =

H10

NR =

TM =

10

141.

149 152 VAR

(a) 0%
40

(b)
(c)
41

(d)
4
(e)
(f)
(g)

(h)

142.

40

0%

41

53

(a)
(b)
(c) 20%()
(d)
(e)
(f)

143.

(Treatment of repo-style transactions with master netting

agreements)
144.

(a)

(b) ()

(c)

(d) (a)-(c)

145.
42

(a)

(b)

146. 118
147.

E* = {0, [( (E) - (C)) + ( Es x Hs ) + (Efx x Hfx)]}

43

42

43

118 : E* = (E-C) +( E x He) + (C x Hc) + (C x Hfx)

54

E*
E
C
He
Es
Hs Es
Efx
Hfx
148.

118 143

VaR
149.
VaR
(repo-style
transactions

covered

by

bilateral

netting

agreements

on

counterparty-by-counterparty basis) 1996

VaR
1996 VaR

VaR
150. 1996
5 10

151. VaR 20
10
10
VaR (E*)
VaR 20

55

250 ( 5000 )VaR

0-19

(= 1)

20-39

(= 1)

40-59

(= 1)

60-79

(= 1)

80-99

(= 1)

100-119

2.0

120-139

2.2

140-159

2.4

160-179

2.6

180-199

2.8

200 200

3.0

152. E*
E* = {0, [( E - C) + ( VaR x

44
)]}

VaR
(iii)

153.
6

154 156 20%

44

151

56


154. 141 142 0%
10%
155. 0%
0%
10%
156. 20%
0%
45

0%
20%
(iv)

157.
= [(RC +) - CA] x r x 8%
:
RC = ,
= 88 ,
CA = 118 143
r =.
158. RC 88
ANet (Hfx)
10

4
159. ,
(a)

45

116 a)

57

(b)
(c)
(d)
118 (
) ()H
122.139.172.173 174 10

5
(i)

160. (protection provider)

46

161. 88 89
(a)

(b)
(c)

162.
(a)

46

()

173

58

(underlying obligation)
()

47

(b) (g)
(c)
(d)

(reference obligation) (g)

(e)

(f)

(g) ()
(1)(2)
()

( cross-acceleration clauses)
(h) (1)
(2)(
)

163. (credit default swaps)( total return swaps)

()
(first-to-default and second-to-default) 176 179
48
164.

47

162(a)

48

59

(ii)

165.
4950
A-

(iii)

166.

167. (Materiality thresholds)

(a)
168. ()

(b) (Tranched cover)

169. 1

()()
IV ()
(iv)

170.
HFX
GA = G x (1-HFX)
:
G =
HFX =
49

50

60

()10
8%
139
(v)
171. 28 ()

()

6.
172.

173.

174.

Pa = P x t/T

Pa
P
t (T, )

61

T (5, )

7.
(i) (pools of CRM techniques)
175. (
)
()

(ii)
176.

177.
528
1250%

(iii)

178.

179. 177

III.

IRB
A.

180 IRB
IRB
PDLGDEAD
M

181.
IRB

62

IRB H 349

IRB

182. B IRB PDLGD

IRB

1.
183 IRB
abcd
especialised lending

184.

185. IRB IV
(i)
186. 242

187.

special purpose entity SPE

188.

63


189. Project finance

190.

191. Object finance

192. Commodities finance

193.

194. Income-producing real estate

64


195. High-volatility commercial real estate

246
196.

(ii)
197.

30
(iii)
198. 39

(iv)
199.

65

100

200.

100

201. a
bc
(v)
202. qualifying revolving retail exposures

(a)

(b)
(c) 10
(d)

66

 IRB

(e)
(f)
203. 12

(vi)
204.
51
52

205.


(1)
(2)

(3)

53

51

52

10 IRB
IRB

53

67

(4) (i)

(ii)
(i)(ii)

206.
5455

207.

(vii)

208.
(a)
209. IRB
top-down
F H

approach

(b)
210. C 240

211.

56

3 1000
3000
54

55

68

57
IRB

bottom-up approach

212. 334 337

2.
213. IRB


IRB
214. IRB

IRB

(i)
215. IRB

58

216. IRB
59
56

57

first loss positionsecond loss position

58

288 290 294

59

291

69

217.

218. IRB

219. IRB

252

220.

252
(ii)
221.

(iii)
222.
/ 311 330
223. IRB /

(iv)
224.

3. IRB
225. IRB

IRB IRB
/

70

226. IRB
(a) IRB (b)
IRB (c)

IRB IRB

227.
IRB

IRB IRB

228.

229.
IRB IRB
IRB
IRB IRB
IRB
230. IRB

231.

4.
(i)
232. 2006 IRB IRB
IRB

71

(ii)

233. 3

425
5
428 5

407
3
/

234. 2 3
1 1
235.
10% 298
60
(iii)
236.
10 IRB
IRB

61

237.

238.

C.
239. C C 1

60

10% 430

61

72

1.
(i)
240.
288 294

241.
62 63

R=0.12 (1 EXP (-50 PD)) / (1 EXP (-50)) +

0.24 [1 - (1 - EXP(-50 PD))/(1 - EXP(-50))]
b=(0.08451 0.05898 log (PD))^2
K=

LGD N [(1 - R)^-0.5 G (PD) + (R / (1 - R))^0.5 G (0.999)]

x (1 - 1.5 x b(PD))^ -1 (1 + (M - 2.5) b (PD))

RWA= K x 12.50 x EAD
(ii)
242. IRB
5000

0.04 x 1-((S-5)/45)S S 500

5000 500
500
R=0.12 (1 EXP (-50 PD)) / (1 - EXP(-50)) +
0.24 [1 - (1 - EXP(-50 PD))/(1 - EXP(-50))] 0.04 (1
(S-5)/45)

62

Log

63

N (x) 0 1 x G (z)
N(x) = z x
NORMSDIST NORMSINV Excel

73

243.

(iii)

244. IRB

75%

100%

150%

350%

625%

245. 4

BBB-

BB+ BB

BB- B+

B C-

246. 2.5

50% 75%
247.

248.

249.

100%

125%

175%

350%

625%

250 245

74

251. 2.5

75% 100%
252.

R=0.12 x (1 - EXP (-50 x PD)) / (1 - EXP (-50)) +

0.30 x [1 - (1 - EXP (-50 x PD)) / (1 - EXP (-50))]
253.

2.
(i)
254. 0.03%

100%
423 425
(ii)
255.

256. IRB
45%
257. 75%

258. IRB

75

 427 487 64
81 B

259.

118 152

IRB
260.

45%
E
E* 118 121

LGD* ={0, LGD x [(E* / E)]}

261. E*
262. master netting agreement

144 145 147 148 149 152

E*

263. 141 142

IRB
264.

CE
C*
IRB

64

47 21 90 152
35% 45%
IRB

76

 C E C**

(C*)

(C**)

0%

0%

n.a.

35%

0%

125%

35%

30%

140%

40%

30%

140%

65

C/C**
45%

265.
IRB

45%

65

77

266.

IRB

267.

430 435

268. 262 E*
IRB (E*)

269. IRB

270.
444

271. 160
171
A- A-
160 163
272.

273.

78

274. currency mismatch

168 170

275. IRB

276. 271 274

445 446
450 451
(iii)

277.

278. 159
170 172 174

279.

280. 55 57
Note Issuance FacilitiesNIFRevolving Underwriting
FacilitiesRUF
281.
75%
0%

79

282.

283. 0%

284.
20%
285. IRB

286. 100%
436 440

287. IRB

(iv)
288. 6
2.5

289. IRB
5

2.5
290. 291
5
M
= t * CFt / CFt
t

80

 CFt t

291. 1
M

292.

293.
5
294. 288 2.5

295. IRB 172 174

81

D.
296. D D

1.
297. 298 301

(i)
298. 199 66
R= 0.15
K= LGD N[(1 - R)^-0.5 G(PD) + (R / (1 - R))^0.5 G(0.999)]
= K x 12.50 x EAD
(ii)
299. 202 203

R=0.02 (1 - EXP(-50 PD)) / (1 - EXP(-50)) +

0.11 [1 - (1 - EXP(-50 PD))/(1 - EXP(-50))]
K= LGD N[(1 - R)^-0.5 G(PD) + (R / (1 - R))^0.5 G(0.999)]
- 0.75 PD x LGD
= K x 12.50 x EAD
300. 75% 202 203

66

82


67

(iii)
301. :
R=0.02 (1 - EXP(-35 PD)) / (1 - EXP(-35)) +
0.17 [1 - (1 - EXP(-35 PD))/(1 - EXP(-35))]
K= LGD N[(1 - R)^-0.5 G(PD) + (R / (1 - R))^0.5 G(0.999)]
= K x 12.50 x EAD

2.
(i)
302. H

0.03%
(ii)
303. 442 451 IRB

304.

(iii)
305.

306.

436 439
67

- (0.75 x PD x LGD, FMI - 2 x sigma) sigma

FMI 202 203

83

307.

308.

309. IRB
credit equivalent amounts

E.
310. E E 1 (a)
market-based approach
(b)/PD/LGD approach

1.
311.
312. /

326 328

313.

(i)
314.

315. 300%
400%

84

316.

317. IRB

value-at-risk models 99%

318.

12.5

8%
200% 300%

319.

320.
(ii) /
321. /
IRB

68

69

1.5
/

90%
IRB

68

90%

69

85

322. 100%

323. 316 /

200% 300%
324. / 1250%
325. / 90%

(iii) /
326.
IRB

327.

IRB

10%
328.
10%
IRB 10
5%

86

2.
329.

70
330.

look-through

F.
331. F IRB
dilution riskF

1.
(i)
332.

IRB

202

333.

(ii)

334. IRB

70

45%

87


71

72

IRB

335.

100%
75%

IRB
336.

IRB

75% IRB

337. M 290
293

M M
(a)(b)

71

100 5 5%

IRB

72

242

88

2.
338. 73

100%
339. IRB

(i)
340.

(ii)
341. 269 276 74
IRB

G.
342. G

73

30

74

IRB A-

89

 12.5

343. (a) 12.5

(b) 12.5 299 300

15.625%75
100%
344. 12.5

12.5
345.

12.5

346.
76
347. 12.5

348.
1988 18 21 14 1998 4

12.5

H.IRB
349. H IRB 11 (a)
(b)(c)(d)(e)
(f)(g)(h)(i)

75
76

8% 1.25%

90

(j)(k)

1.
350. IRB

351.

IRB
352.

353. IRB
IRB 77

430 451

2.
354. IRB
IRB

355.

IRB

3.
356. IT

77

91

357. /

IRB

(i)

358. IRB (a)

(b)
359.

360.
IRB

expected loss (EL)

361. IRB

362.
/

363.
IRB

92

364.

(ii)

365.
366. 7

367.

+-

368.

369.

370.
IRB

93

371.
IRB

(iii)
372.

373.

374.

4 1 4

375.

overrides

(iv)
376. 409

377.

94


/
378.

(v)
379.

(vi)
380.

95

381. 414 422

382.

383.

4.
(i)
384.

385.

(ii)

386.

387.

388.

96

389.

(iii) Overrides
390.

(iv)
391.

392. /

393. IRB

//

394.

395.

97

(v)
396. IRB

(i)
(ii)(iii)
397. IRB

398.
ratings migration

399.
IRB
IRB

5.
(i) Corporate governance
400.
78

401.

78

98

402.

IRB

(ii)
403.

404.

(iii)
405.

6.
406. IRB

IRB

IRB

99

407.
IRB
3 IRB IRB
3
3

7.
(i)

408.
IRB
79
409.
423 429 IRB

430 430 435

IRB
436 441

469 487
410.

411.

412.

430 437

79

100

413.

(ii)
414.

90 80

415.


81

distressed restructuring
82

416.
417.

418. IRB

424
80

90 180
180 5
81
82

101

419.

(iii) Re-ageing
420.

abc
de

use test

(iv)
421.
90 -180

90 -180

(v)
422.

(vi)

423.

424.

102

414 419

379
425.
5

426.
a
(b)

427.

430

428.
5

429. seasoning effects

103

(vii)

430.

431.

432.

433.

434.
7

435. 5

(viii)

104

436.
IRB
IRB IRB

IRB

437. IRB

438.

439.

440.
7

441. 5

105

(ix)

442.

443.

393

444.

445.

446.

IRB

447.

372 373

448.

106

449.

450.

IRB

451.

452. 442 451

(i)

(ii)

271
(x)

453.

454.
IRB

455.

456.

107


457.

458.
(a)(b)

(a)
(b)(c)
(d)(e)

(a)
(b)

459.

(a)

(b)

108

460.

461.

///

462.

8.
463.

464.
IRB

465.

466.

109

467.

468.

9.
469. IRB
B II

(i)
470.

/83

471.
84
(ii) /
472.

83

84

68
47 21

110

Junior liens
85

C*/C**
C* C**
473.

(iii)

474.

85

111

475.

476.

477.
478.

479.

480.

481.

482.

483.

484.

112

485. 472
473
89

fashion-sensitive

10.
486. 487

487.

100%

113

11.
(i)
488.

489.

(ii)
490.
(a)
99%

(b)

VaR

(c)

VaR -

114

(d)

(e)

(f)

/ VaR

(g)

(h)

(i)

(j)

(iii)

491.

(a)

115

12
3

(b)

(c)

(d)

(e)

(iv)

492.

493.

494.

495.

496.

116

497.

498. back-testing

499.

(a)

(b)

(c)

117

12.
500. IRB IRB
IRB

118

IV.

---

A.

(synthetic securitisations)

()

()

(stratified/tranched structures)/
()()
/
(
)

( credit-linked notes)(
credit default swaps)

()(asset-backed securities)
(mortgage-backed securities)(credit enhancements)
(liquidity facilities)(interest rate or currency swaps)
(credit derivatives) 169 (tranched
cover)

()

119

B.
1.
(i)
506. 507

(ii)
507.

(a)
(b) (asset-backed commercial paper)

2.
(i) (clean-up call)
508.
()

(ii) (credit enhancement)

509.

(iii) (early amortisation)

510.

(a)

120

(b)

(c)

90%

(d)

c (straight-line
amortisation)

511.

(iv) (excess spread)

512. (SPE 514 )
SPE
(v) (implicit support)
513.
(vi) (Special purpose entity (SPE))
514.

C.
515.

1.
516.

(a)

(b)

(
(subparticipation))

121

(c)

(d)

(e)

(1)
(2)

(f)

518

(g)

(1)

(2)
(first loss position)
(3)

2.
517. (
)
(a)

(b)

116 117

(c)

142

(d)

(e)

(
(significant materiality thresholds)

)


(
)

122

(f)

(g) 518

3.
518.
520 (1)
(2)

(3) 10%

519.

520. 518

D.
1.
521.

(i)
522.
50% 50%()
523.
()

(ii)
524.
(a)
(b)

123

2.
525.

(a)

(b)

68 70
61 3

(private ratings)

(c)

(d)

()

(e)

66 8

(f)

A-

A-,

(g)

(
)
B

3.
(i)
526.

124

(ii)
527.

B+
522
A-1/P-1, A-2/P-2, A-3/P-3

518 520

86

AAA AA-

A+ A-

BBB+ BBB-

BB+ BB-

B+ B+

20%

50%

100%

350%

A-1/P-1

A-2/P-2

A-3/P-3

20%

50%

100%

529.
BB+ BB-

530. 507 ( BBB-)

(iii)
531. (a)
( b)
534
(a)

532.

( look-through approach)

86

125

533.

(b)

534.

(a)

(b)

(c)

535.
(1)100%(2)
(c)

536. 538

(iv)
537.

100%
(a)

538.

(a)

()
()

(b)

414 419

(c)

()

(d)

(
)

126

(e)

IRB

539. 20%
50%
(b)

540. ()
0%
528
()

(c)

541.

0%
(v)
542.

543.

(a)

544. ( 116 117 )

(b)

545. 165

546. 160 164

547. 166 171

127

(c)

548. 172 174

549.

172 174
(vi)

550.

()
551.
552.
( 556 566 )

553.
(a)

(Replenishment structures )

(b)

(
)

554.
(1)
(2)(
)

128

555. (a)
(b)()(c)

()

556. 510

557. ()
512

(a)

(b)

558.
4.5
559. 4
4.5% 0% 4.5% 112/.5

3 (CCF)
450 (bp)

0% CCF

450 (bp) 337.5 bp

1% CCF

337.5 ( bp) 225 ( bp)

2% CCF

225 ( bp) 112.5 ( bp)

20% CCF

112.5 ( bp)

40% CCF

90% CCF

90% CCF

90% CCF

129

560. 555 ()

561. (
) 90%
(viii)
562. 510

563. (
)


564.
4.5
565. 4
4.5% 0% 4.5% 112/.5

3 (CCF)
450 (bp)

0% CCF

450 ( bp) 337.5 ( bp)

5% CCF

337.5 (bp) 225 ( bp)

10% CCF

225 ( bp) 112.5 (bp)

50% CCF

112.5 ( bp)

100% CCF

100% CCF

130

100% CCF

100% CCF


566. (
) 100%

4.
(i)
567. (
)

(SF)

575 578

568.

569. 603 604

(SF)(RBA)
(ii) KIRB
570. KIRB (a)(b)(a) IRB (b)
()(a )
IRB ()

()KIRB
( 15% 0.15)
571. KIRB

KIRB

IRB
308 IRB

572.

()

131

573.
(a)(b)
/
574. 211

KIRB F

IRB KIRB

(iii)

575. 603 604 KIRB

(L T 593594 595
) KIRB KIRB

576. KIRB L L+T

KIRB
KIRB

577. KIRB

578.

579. 507

KIRB

132

(iv)
580. /
IRB
IRB
(v)
581.

582. ABS (1)(2)()

(3)(4)
(Q)
583. Q AA-

584.

585. 100(Q)
0.1 + 25/N (i.e. Q 0.1+25/N)
()
6

586.
585

133

/ ABS

()

AAA

7%

12%

20%

AA

10%

15%

25%

20%

20%

35%

BBB+

50%

50%

50%

BBB

75%

75%

75%

BBB-

100%

100%

100%

BB+

250%

250%

250%

BB

425%

425%

425%

BB-

650%

650%

650%

BB-

ABS

()

A-1/P-1

7%

12%

20%

A-2/P-2

20%

20%

35%

A-3/P-3

75%

75%

75%

587.

(reference securitisation exposure)

134


588.
()

525

(vi)
589. IRB
12.5
IRB (KIRB):
(L)(T);(N)
KIRB LT N
IRB
= (a)0.0056*T(b)(S [L+T] S [L])
590.
L
S[ L ] =
K IRB + K [L ] K [K IRB ] + (d K IRB / )(1 e (KIRB L ) / KIRB )

135

when L K IRB

when K IRB < L

= ( 1 K IRB / LGD ) N

= K IRB /( 1 h )

f
g
a
b
d

( LGD

K IRB ) K IRB

v + K IRB 2
=
c2

1
h

(1 c ) c
=
1
f
= g c
= g (1 c )
= 1 (1 h ) (1

+ 0 . 25 ( 1 LGD ) K IRB
N

+ ( 1 K IRB ) K IRB

(1 h )

Beta [ K IRB ; a , b ])

K [ L ] = ( 1 h ) (( 1 Beta [ L ; a , b ]) L + Beta [ L ; a + 1, b ] c ).

591. Beta [L; a, b] L87 a b

592.
= 1000, and = 20

593. L()(a)(b)(a)
(b)(
) L L

()
L

L
594.
L
L
(T)
595. T (a)(b)(a)(b)

(N)
596.
87

beta Excel BETADIST

136

N =

(3)

( EADi ) 2
i

EAD

2
i

EADI i
()()

LGD EAD
LGD =
EAD
i

(4)

LGDI i
100%
N LGD
598.
h = 0 v = 0.
599.
Cm m
(15% 0.15 )m
C1 0.03( 3%)
LGD=0.50 N
(5)

C C1
N = C1 Cm + m
max{1 m C1 , 0 }
m 1

C1 0.03 LGD=0.50
N=1/ C1
(vii)

600. 538 100%

601. 540
20%
IRB 20%

137

 100% 20%

602.

()

()

603. KIRB

538 540
538
50% 100%
540 20%

(viii)
604.

0%

(ix)
605. RBA B

(
) 5
(x)
606 555 566
IRB
(a)(b)(c)KIRB

138

V.
A.
607.
(strategic and reputational
risk)

B.
608.

(1)(II)(III)(AMA)
609.

610. ()
88 640 641

611

1
612.
()
KBIA = GI x

KBIA =
GI =

88

()

139

 = 15%

613. 89 (1)
()(2)(
)90(3)
614
2003 2

91

615. 8 (corporate finance)

(trading & sales)(retail banking)(commercial
banking)(payment & settlement)(agency services)
(asset management)(retail brokerage) 6
616.

89

. /

90

()
()

91

(ASA)

m
()

KRB = RB x m x LARB

KRB

RB

LARB ().
m

0.035

() 15%
18%
8

140

()

617.

KTSA = (GI1-8 x 1-8)

:
KTSA =
GI1-8 = 8

1-8 = 8

(1)

18%

(2)

18%

(3)

12%

(4)

15%

(5)

18%

(6)

15%

(7)

12%

(8)

12%

3 (Advanced Measurement Approaches AMA)

618.

619. 2006

141

C.
1
620



621.

622.

623

2
624.
92

92

(a)

(b)

(c)

142

(d)

(e)

(f)

()/

625.

6
3.

(i)

626.
(a)

(b)

(c)

(d)

(e)

(f)

143

(ii)
(a)

627.

IRB ( IRB 1
99.9%)
628

2006

(b)

629
(a)

607
7

(b)

(EL)(UL)

(c)

(granular)

(d)

(
)

(e)

(scenario analysis)

144

(c)

630.

631.

(overrides)

632. 5

3 ( 2006
1 )
633.
6 7

10000

()

()
93
607
93

145

 7
()

(d)

634. (
)

(
)

(e)

635.

(f)

636.

(iii)

146

637.
20%
638.
A()
1 1
90 100%

94

639.

D
640.
()

94

147

641.

VI.
A
642 1996
(
95
)
643

644
()

645. /

((matched principal broking))

646

-
-
-
-

95

3 5

148


-
-

(
)

647

B
648

649
1
650

(i)

651

652
/

(ii)

149

653

()

(iii)

654.

(/
)

655.

3
656

657

150


658(
)

(
)
659

C.
660.

IRB
IRB 225 231 IRB
50%( 55
)
661.

( 122 )
125 126

662.

663. 118 152

242

664 (
)
()

669 674
675

151

D
665
96
1
666

AAA AA-

0%

A+ BBB-

0.25%( 6 )
1%( 6 24 )
1.6%( 24 )

8%

667.

2.
668.

IRB

IRB
97

3.
669. ()

(a)

96

1996

97

152

(b)

()()
98

670()
20%(credit default swap)
(credit linked note)()

()
(
) 80%

671. ()

(a)

669 (b)
162 (g)

(b)

669 (a) 670

99

(c)

670
()

672. 669 671 (

)
673. 669 671
674.

()

4.
675.

98

99

153

5%

5%

10%

10%

5%

5%**

10%

10%**

(total return swap)

(credit default swap)

**(credit default swap)

676.

154


677.

A.
678.

679.

680.

681.

682.

IRB

B.
683.
100

100

1997 9
1999 10

155

684.

685.

101

686.

687.

688.

689.
101

156

690.

691.

//

692.

693.

695.

696. value-at-risk
1996

697.

157

698.

699.

700.

701.

702.

703.

158

704.

705.

706.

707.

708.

709.

159

710.

711.

712.

713.

714.

715. buffer

160


716.

717.

718.

C.
719.

720.

721.

722.

20%200 outlier
banks

161


723.

IRB
724. IRB
396 399

//

725. PDLGD EAD 416

418

726.

727.

728.

162

729.

730.

731.

732.

733.

734.

163

735. 2000 9

736.

737.

738.

739.

740.

741.

164

742.

743.

spread account
10%
clean-up call

744.

clean break

745.

746.

747.

165

748.
credit
enhancement

749.

750.

751. time call

752.
follow-up
753.

up-front sunk cost

754.

166

755.
90%

756.

target or
trigger ratio

167

1.

1996.1

2.

1997.9

3.

1999.10

4.

1994.7

5.

19979

6.

1998.3

7.

1998.9

8.

1999.1

9.

1999.8

10.

2000.2

11.

2000.9

12.

2000.9

13.

2001.1,

14.

2001.5,

15.

2001.8,

16.

2001.10,

17.

2002.1

18.

2002.3,

19.

2002.10,

20.

2003.2,

(www.bis.org/publ/index.htm).

168


A.
1.
757.

2.
758.

759.

3.
760.

761.
/

4.
762.

169

763.

764.

765.

5. Materiality
766.

6.
767.

102
103

102

103

170

768.

B.

104

769.

1.
770.

2.
771.

104

171

(a)

(b)

106
107
(a) (b) (c)
108
109
(d) (e)

(c)

(d)

(
111
)

(e)

(f)

113
114

105

110

112

105

106

27

107

31

108

/ 27
32

109

/ 27
32

110

111

11 14

112

113

12

114

11

172

3.
2

(a)

(b)

115

115

(c)

(d)

(e)

14

173

(a)

(b)

IRB

116

(c)

IRB

IMA

PD/LGD

(d)

(e)

AMA

116

174

(f)

117

4.
772.

(i)

773.

//

(ii)

774.

IRB
775. IRB
IRB

IRB
IRB IRB
IRB IRB
IRB
117

175

 4
:
(a)

(b)

118
120
121

(c)

122

(d)

(e)

123

(f)

119

124

118

(g)

125

(h)

126

119

abc

120

121
122

123

124

125

126

176

 5
: IRB

(a)

127

(b)

128

IRB

127

1%

128

177

 6
IRB

(a)

(b)

IRB

(c)

129

130

PDIRB LGD / EAD

131

418 84
132

129

PD/LGD

130

131

132

PD

178

(d)

( EAD) IRB
133

*
(e)

134
PD
EAD135136
IRB PD LGD

IRB EAD137
138

EL EAD

(f)
*

(g)

LGDEAD

139

140
PD IRB
141
LGD EAD

133

IRB
1 IRB 2 IRB 3 PD/LGD

134

PDLGD EAD /

135

EAD

136

PD IRB PD

137

EAD
EAD EAD

138

EL
PD/LGD EL
IRB

139

2008

140

10 PD 10

141

PD
LGD EAD

179

(a)

(b)

(c)

(d)

(e)

(f)

180

 8
IRB
(a)

142,143

(b)

/ IRB

IRB

(c)

/ IRB /

142

143

181

 9
: IRB
*

(a)

143

144

(b)

(c)

(d)

145,146

(e)

/
147

148

145

(f)

(g)

(h)

(i)

148

149

144

145

146

147

I/O strip/

148

I/O

149

182

(iii)

10

(a)

(b)

11
IMA

(a)

IMA

(b)

IMA

(c)

(d)

IMA
VaR

VaR

183

(iv)

12

(a)

(b)

AMA
AMA

(c)

AMA

(v)
13
Interest rate risk in the banking book IRRBB)

(a)

(b)

184

 1 15%
1. 1998 10
15
2. 15%
17.65% 15% 85%
( 15%/85% = 17.65%)
3. 75 15 5
10
75+ 15+ 5- 10 = 85
4. 85x17.65% = 15
85 + 15 = 100
15%

185

 2
1.

2.

3.
cumulative default rateCDR

150

4.

5.

6.

150

2002 1990 1999

186

7. 1
1

151

1.
8.

2
2

20

AAA-AA

BBB

BB

(Aaa-Aa)

(A)

(Baa)

(Ba)

(B)

0.10%

0.25%

1.00%

7.50%

20.00%

2.

151

187

9.

10.

11.

(a)
12.

(b)
13.

152
14.

15.

(c)
16. calibrate

99 99.9

152

188


3
3

AAA-AA

BBB

BB

(Aaa-Aa)

(A)

(Baa)

(Ba)

(B)

0.8%

1.0%

2.4%

11.0%

28.6%

1.2%

1.3%

3.0%

12.4%

35.0%

189

IRB

1. IRB

2.5
2.
5000
500

190

IRB

45%

: 2.5

45%

45%

25%

45%

85%

45%

85%

( ):

50

0.03%

14.75%

11.61%

4.31%

2.40%

4.97%

9.38%

2.85%

5.38%

0.05%

20.03%

15.80%

6.51%

3.62%

7.42%

14.02%

4.28%

8.09%

0.10%

30.19%

23.91%

11.25%

6.25%

12.54%

23.68%

7.29%

13.76%

0.25%

50.63%

40.34%

22.70%

12.61%

23.91%

45.16%

13.98%

26.41%

0.40%

64.59%

51.60%

32.19%

17.89%

32.28%

60.98%

18.87%

35.64%

0.50%

72.00%

57.57%

37.89%

21.05%

36.86%

69.63%

21.51%

40.64%

0.75%

86.50%

69.21%

50.68%

28.16%

46.01%

86.90%

26.69%

50.41%

1.00%

97.44%

77.91%

62.03%

34.46%

52.90%

99.93%

30.47%

57.55%

1.30%

107.79%

86.05%

74.31%

41.28%

59.25%

111.91%

33.82%

63.88%

191

1.50%

113.59%

90.58%

81.88%

45.49%

62.64%

118.33%

35.56%

67.17%

2.00%

125.77%

99.99%

99.19%

55.10%

69.20%

130.71%

38.81%

73.31%

2.50%

136.00%

107.85%

114.70%

63.72%

73.96%

139.71%

41.11%

77.66%

3.00%

145.21%

114.97%

128.86%

71.59%

77.67%

146.71%

42.94%

81.11%

4.00%

162.19%

128.33%

154.13%

85.63%

83.50%

157.72%

46.11%

87.11%

5.00%

178.27%

141.41%

176.35%

97.97%

88.56%

167.29%

49.34%

93.20%

6.00%

193.80%

154.44%

196.27%

109.04%

93.64%

176.87%

52.90%

99.92%

10.00%

250.22%

204.50%

260.66%

144.81%

117.95%

222.79%

69.51%

131.30%

15.00%

307.24%

258.48%

320.10%

177.83%

154.81%

292.41%

90.06%

170.11%

20.00%

352.49%

303.50%

365.62%

203.12%

192.33%

363.29%

107.66%

203.36%

192

DSCR
PLCR
PLCR/

193

Bullet repayment

194

/
/

EPC

O & M

195

(a)take-or-pay
fixed-price

off-take

(b)

feed-stocks

Off-take risk

196

First

perfected

security

(cash sweep)

(mandatory
prepayments,
payment

payment
cascade,

deferrals,

dividend

restrictions)

197

DSCR
DSCRDSCR
DSCR LTV LTV
/LTV

DSCR LTV

(a)

198

(b)

(c)

take-out
financing

permanent financing

199

/
/ / / /

/ /
/
/

153

153

153

153

./LTV LTV

200

201

 3-

repossession

202

/

/

203

204

 4 -

205

206

 5
(SF)

100 KIRB

1.6 12.52080

1 (E*) = {0, [E x (1 + He) - C x (1 - Hc - Hfx)]}

E* ={0, [100 x (1 + 0) - 80 x (1 - 0 - 0)]} = 20
():
E* = ( 20)
E = ( 100)
He = (
).
C = ( 80)
Hc = (0)
Hfx= (0)
2 = E* / E x
():
= 20 / 100 x 1.6 = 0.32.

80

207

 80

10% 80 x10% x 0.08=

0.64
20
20 / 100 = 20%
1.6 x 20% = 0.32
:
0.64 () + 0.32 () = 0.96
-
1000 KIRB 5% (
50) 20
45 :
(a)

(b)

15

KIRB= 50

(45)

30

20

1.

KIRB straddling the KIRB

line (a) (b)
asubtranche 820%
15 x 820% = 123. 123 x 8%= 9.84
bKIRB 30 x1250% =
375 375 x 8% = 30
2.

25
KIRB KIRB ((a)
) KIRB
((b) )

208

(a)

15

(25)

KIRB

10
45

(b)

30

15 15,

1
E* = {0, [E x (1 + He) - C x (1 - Hc - Hfx)]} = {0, [15 - 15]} = 0

E* = ( 15)
E = ( 15)
C = ( 15)
He (0)
Hc Hfx (,
0)
2 = E* / E x
= 0 x 9.84 = 0
(b)

2 30 10, KIRB.

10 30

1
E* = {0, [30 x (1 + 0) - 10 x (1 - 0 - 0)]} = 20
2 = E* / E x
= 20/ 30 x 30 = 20
, = 0 + 20 = 20
3.

209

.25

t
45

(a)

15

(25)

KIRB

10
(b)

30

(a)
15 15
15
20%
15 x 20% x 8%= 0.24
(b) 2 30 10 10
20

10 x 20% x 8%= 0.16

20 / 30 = 66.7%.
66.7% x 30 = 20
( 20 x 1250% x 8%= 20)
= 0.24 ( KIRB ) + 0.16 (
KIRB ) + 20 ( KIRB ) = 20.4

210

 6
Mapping of Business Lines
1

154

//, (private labels)

Corporate actions

154

211

155

(a)

1 8

(b)

(c)

(d)

155

5 /
/

212

(e)

(f)

(g)

(h)

(i)

213

 7
(1 )

(3 )

//
///

//
/
/

215

(1 )

(3 )
/

216

(1 )

(3 )
/
/

Lender Liability

217

(1 )

(3 )

/
/

218

(1 )

(3 )

/
/

219

1. IRB
IRB
IRB

2. /

IRB

IRB
3.

20% IRB

4.

E*

E*

IRB E*

5.

6.

220

7.

IRB IRB
E*

VaR VaR

8. E*
IRB IRB IRB
E*

221

153

I.

1.
(i)
2.
OECD
154 7

4 6

0%

20%

50%

100%

150%

3.
155
156

(ii)
4. ..
0%
5. 0
(IBRD)(IFC)
(ADB)
(AfDB)
(EBRD)
(IADB)
153

154

OECD http://www.oecd.org(Trade Directorate)

155

156

222

 (EIB)
(NIB)
(CDB)
(IDB)
(CEDB)
6. 100
7.

157

(iii)
8. 2

46

20%

50%

100%

100%

150%

9. 3

20%
10
158
160

158

(
)

223


(iv)
11. . 100%
(v)
12. 13
17 75

13. 4
.

..
.

14

75
159 0.2

100
(vi)

14. . 35
35

15. 13 14

(vii)

159

224

16. 100
(viii)

17. 90
160
20 150
20 100
50 100
50
18.
II 161 13

19. 17 . 46
15 100

20. 90
100 50 50
50
(ix)
21.
150%
(x)
22. III
100162
100
(xi)

160

150 48
50

161

162

225

23.

24. 20% 50

0%163
25. /
./ 100 II

26.
20
27.

II.
1.

28.

29.
(ii)
30.
31.

32.
70
principal-only ratings

163

226

33.

34.
..
.....

35.
(iii)
36.

37.

2.

38.
164

39.
20%

(i)
40. 36
41.
6
164

.
.

227

42.

43.

44.

45.

(ii)
46.

165,

166

167

(iii)
47.
20%

48. 20%
0%

0%
20%
165
166

167

ECA

228

3.
49.

(i)
50. protection provider

51. 36
(a)

(b)

(c)

(ii)
52.

(iii)
53.

54. 3

.
55. Materiality thresholds

4.

229

pools of CRM techniques

56.

III.

(i)
57.

/
58.
(ii)
59.

60.

(iii)
61.

62. 100

IV.
63.

230

64. 1681
2
3
65. 2003 2

168

231