巴塞尔II新巴塞尔资本协议的影响

1、本科毕业论文外文翻译外文题目：Dealing with Basel II: the impact of the New Basel Capital Accord 出 处： Balance Sheet,2003,Vol.11(No.4) 作 者： Thomas Garside and Jens Bech 原 文： Dealing with Basel II: the impact of theNew Basel Capital AccordInternational regulators are due to finalize the New Basel Capital Accord by th

2、e end of 2003,for implementation by banks at the end of 2006.BaselII is a response to the need for reform of the regulatory system governing the global banking industry. In this article, we review the New Basel Capital Accord and summarize some of the main implications that we expect it to have on t

3、he European banking industry. As was the case for the first Basel Accord(BaselI),we conclude that not only will the new accord have an impact on the amount of book capital that banks are required to hold, but also on the strategic landscape of the banking industry.Keywords Banking, Liquidity, Regula

4、tion, Risk managementThe new rules of the game The Base Committee released a third, and likely to be final, consultative paper for a New Capital Accord(BaselII).The proposal, if adopted, will change profoundly the way banks assess the adequacy of solvency levels, the role of regulators in supervisin

5、g the prudence of banks' risk management practices and the amount of risk information that banks must publish to market participants. Following a consultation period, the Basel Committee is expected to release a final draft of the New Capital Accord late in 2003.The current Basel Capital Accord(

6、BaselI) has had considerable success in reaching its stated aims of strengthening the stability of the international banking system,by increasing capital levels and creating a more level playing field through the consistent application of the accord in different countries.In aggregate,current global

7、 average levels of Tier 1 capital rose to 8 percent from approximately 6 percent in 1993.Moreover,BaselI is used in more than 100 countries,far more than was initially expected.Despite this apparent success in achieving its primary goals,it is clear that Basel I has also had some unintended and unde

8、sirable effects,owing to the relatively crude way in which minimum capital requirements are currently determined.Under the current approach,banks must hold 8 percent of risk-weighted assets(RWAs) in eligible book equity (Tier 1 and Tier 2 capital).Most assets are fully-weighted,with very limited rec

9、ognition of underlying credit risk.The lack of risk-sensitivity of the current accord has meant that many banks have migrated away from attractively priced,fully RWAs to higher-risk lending or to zero RWAs,even if these assets are to low quality corporate issuers and OECD banks/governments.Another s

10、ymptom of the undesirable effects of Basel I has been the increasing use of regulatory arbitrage aimed at growing returns while limiting regulatory balance sheet growth(e.g.via364-day revolving loans and RWA-driven securitizations).Another deficiency of the current approach is that it only considers

11、 credit and market risk,ignoring operational risk for example.This has meant that certain business lines such as advisory services,asset management,custody and deposit taking have come to be thought of as“risk-free”.The way in which Basel II seeks to address many of the problems associated with its

12、predecessor is briefly summarized in Figure 1.As can be seen,Basel II is built around three pillars covering minimum capital requirements,supervisory review and market discipline.Pillar I specifies minimum capital requirements for banks'exposure to credit risk(substantially revised and enhanced

13、from Basel I),market risk(unchanged from a 1997 Amendment to Basel I) and operational risk(new in Basel II).For credit risk,banks can choose from three approaches under Pillar I:The standardized approach relies largely on external ratings and regulatory benchmarks.The other approaches are both inter

14、nal ratings-based(IRB)approaches,that allow banks to use their internal models to calculate capital requirements.The two approaches differ in their relative sophistication and the degree to which a bank is allowed to rely on its actual portfolio behavior:the simpler is known as the IRB foundation ap

15、proach,the more complex as the IRB advanced approach.Consequently,unlike the Basel I approach,individual banks will have different minimum capital requirements depending upon the sophistication of their internal credit risk management capabilities and the risk characteristics of their respective len

16、ding books,as described in Figure 2.Pillar II of Basel II requires regulators to assess the appropriateness of a bank's risk manage-ment processes and capital position to sustain a target level of solvency.Basel II is explicit in its expectation that banks will continue to hold capital in excess

17、 of the minimum levels derived through the Pillar I calculations.This assessment is to be based on a thorough review of the institution's firm-wide risk management capabilities and degree to which such internal risk measurement tools are used by individual banks inconducting day-to-day business.

18、Regulators are required to intervene if risk or capital management processes are deemed unsatisfactory.Finally,Pillar III is intended to foster increased market discipline into the traditionally private and historically opaque world of bank risk and capital management.It will fundamentally trans-for

19、m financial reporting for banks by demanding increased depth and breadth of disclosure including,for the first time,compulsory reporting of sensitive risk parameters and the risk profile of the banks'exposures.The Basel Committee has worked with the International Accounting Standard(IAS) Board t

20、o ensure consistency between overlapping reporting requirements.Hence,we expect these new requirements to set the standard for future reporting by financial service institutions globally.Winners and losersMoving to a more risk-sensitive framework means that capital requirements will change across bu

21、siness lines,banks and regions.This,in turn,means that there will be winners and losers in terms of capital requirement sunder Basel II.To identify the winners and the losers,we have analyzed Basel II's impact on the various factors that make up the minimum capital requirements for credit and op

22、erational risk1.Our analysis complements the results of the final quantitative impact study(QIS3),which was published by the Basel Committee on 5 May 2003.The key difference between our results and QIS3 is that we aim to assess the ultimate impact of Basel II,whereas QIS3 refects the current status

23、quo where,for example,only the relatively sophisticated banks are capable of estimating the credit capital requirements using the IRB approaches.Our estimates indicate that total minimum capital requirements for the banking industry as a whole will be roughly unchanged under the IRB foundation appro

24、ach,increase under the standardized approach and decrease under IRB advanced.This is consistent with Basel II's stated aim of maintaining current total capital levels (and with QIS3),and provides an overall incentive to improve risk management.Changes in corporate RWAs are heavily ratings-depend

25、ent.Since size is a key driver of the probability of default(PD) for corporations,RWAs are likely to rise for non-retail SMEs,while aggregate capital held against large corporations will drop.The biggest reductions are in mortgages.Other retail products are also “large gainers” on average,though thi

26、s includes potentially significant differences between personalloans,where capital requirements decrease,and credit cards,where increases may occur under the IRB approaches.Sovereigns,which are mostly zero-weighted at the moment,are likely to see the biggest relative increases in minimum required ca

27、pital.Similarly the effective RWAs applied to Western European countries are likely to vary based on differences in their aggregate portfolio splits and risk parameters.The Nordic region,with a high concentration in retail lending and relatively low risk,will experience a substantial drop in overall

28、 RWAs under the IRB approaches.In cont rast Italy-and assuming current trends,Germany-are likely to see the biggest increases.mix,geography and sophistication of risk management and while most banks are likely to see a reduction in regulatory capital under IRB approaches,some banks will see these re

29、quirements increase.This,together with the fact that a far greater proportion of bank portfolios will be rated as banks migrate to IRB approaches,is likely to provide further impetus to the use of credit risk transfer methods such as credit derivatives,securitization and trading in the secondary deb

30、t capital markets.Using Basel II to improve business performanceThe banking industry overall has so far evolved only slowly toward economically-basedshareholder value management.Basel II should accelerate this trend because of its widespread impact.In contrast with the gradual diffusion of“bestpract

31、ice”,the Basel requirements will affect all banks in Europe(and a significant proportion of the banking assets held in North America),speeding up the“slowest ship in the convoy”.Moreover,the key stumbling block to effective implementation of economic capital and risk-adjusted return on capital techn

32、iques has often been the lack of acredible quantitative-based internal rating system.Compliance with the new IRB approaches will provide most of the parameters needed to deliver these measures at a granular level in credit businesses.In addition,the new capital requirement for operational risk will

33、provide a basis(albeit currentlyimperfect) for attributing economic capital to non-credit or market-risk intensive activities,such as asset management,custody or securities processing. As the new Basel II metrics are implemented in banks that have not yet integrated risk-adjusted measures into their

34、 business systems, their experience is likely to mirror that of leading banks which have already made this transition. Some of the key tactical improvements that can be expected include:Pricing for risk:Credit markets are not oriously ineffective in pricing for risk.While this is partly due to banks

35、 using credit as a loss leader to sell non-credit services,it also reflects the inability of many banks to quantify credit risk accurately at a sufficiently granular level.IRB compliant rating tools will provide a strong basis for quantifying risk,and should go a long way toward instilling more effe

36、ctive risk-pricing discipline.Credit process redesign for corporate and SME portfolios: IRB-compliant rating tools can also serve as an excellent guide for aligning resources with risk in credit approval,limit setting, loan servicing and monitoring processes.By leveraging the information content of

37、the new rating tools, banks can redesign expensive credit processes, making them“faster, better, and cheaper”.Operational risk improvement: The new focus on operational risk identification, loss reporting, monitoring, and controls-even if only tenuously linked to Basel II's proposed capital char

38、ges-will inevitably lead to improved operational risk performance.Active portfolio management: The implementation of better risk and profitability measures will facilitate active portfolio management whereby portfolio managers will seek to optimize the risk-return profile of the portfolio by determi

39、ning which loans to hold on balance sheet, which to hedge, and which to sell off into the secondary market. Customer value management and relationship manager performance: The use of IRB-compliant risk measurement tools should allow banks to assess the economic value added by individual customers an

40、d relationship managers, providing better opportunities for optimizing customer segmentation and rewarding relationship managers on the ability to create value.Leveraging the potential of Basel II compliant tools should more than compensate for the average compliance spent in most businesses.Best pr

41、actice risk and capital management is keyBasel II represents a new era for risk and capital management, with these functions becoming increasingly central to a bank's strategic positioning. Hence, advances in risk and balance sheet management are a clear signal of potential success in the post-B

42、asel world.Best practices to look for include:Basel II compliance at close-to IRB advanced level for credit risk, unless this is clearly not strategically important.Proven capability in credit portfolio modeling and (where undertaken) demonstration of economic efficiency of risk-transfer initiatives

43、.Moves towards integrated capital management, spanning: 1. optimization of total capital and Tier 1/Tier 2 mix while accounting for regulator, rating agency, creditor and shareholder concerns and costs of capital; 2. efficient economic allocation of internal capital resources； 3. closer organization

44、al link between risk measurement and capital management；and capital forecasting supporting value-based business planning.Increased transparency with respect to disclosures of risk and balance sheet structure and proactive communication of key risk and capital metrics and strategies to external const

45、ituencies as markets adjust to new disclosures and regulators take on increasingly powerful roles, the competitive environment in financial services will shift accordingly. Apart from the obvious upgrading of the roles of risk and capital management within banks, business models will need to bere-ev

46、aluated and goals for the delivery of shareholder value will need to be more clearly communicated.Now is the time to make the strategic and tactical decisions required to address the post-Basel II world. The forthcoming regulatory changes largely have been drafted and made ready for implementation-i

47、t is now up to the banking industry to respond to the new rules of the game.译 文： 巴塞尔II：新巴塞尔资本协议的影响国际金融监管机构在2003年确定了巴塞尔新资本协议，银行决定在2006年底开始实施。巴塞尔协议是对全球银行业监管体制改革的监管。在这篇文章中，我们回顾新巴塞尔资本协议并总结一些对欧洲银行业发生的重要影响。我们得出这样的结论：新协议不但对持有资本额的数量做了规定，还对银行业的这一战略格局进行展望。关键词：银行，流动性，监管，风险管理新巴塞尔资本协议的新规则巴塞尔委员会虽然对新资本协议（Basel II）

48、只公布了三分之一，但这很可能是最后对该文件的咨询和定稿。假如这项建议获得通过，将会深刻改变评估银行的偿付能力的方式，监管机构对于银行风险管理德实践和银行必须发布对市场参与者的风险信息量，经过巴塞尔委员会的讨论，他们将在2003年底发布的新资本协议的最后草案。当前的巴塞尔资本协议（Basel I）对加强国际金融体系的稳定性的既定目标已经获得了巨大的成功，在不同国家申请应用本协议的同时，通过增加了资本水准，创造了一个更公平的竞争领域。从总体上来说，现在全球一级资本的平均水平大概从1993年的6%升至8%，此外，巴塞尔资本协议已用于100多个国家，远超过最初的预期。尽管如此明显的达到了其最初的目标，

49、很明显的是对于巴塞尔条约我获得了一些意想不到的不良影响，这是由于当前决定的最低资本准入要求方式相对较低。根据当前的方法，银行必须持有合格股东权益账面价值(一级和二级资本)的8%的风险加权资产。在潜在的有限信贷风险被识别后，大部分资产已被加权。目前银行的协议条款缺乏风险灵活性，它的价格也偏离了有吸引力的定位，这是对公司证券发行者和经济合作与发展组织银行和政府发行的高风险贷款的完全风险加权资产或零风险加权的资产而言的。巴塞尔的另一个症状的不良影响表现为政府机构只考虑信用与市场风险,忽视经营风险（例如，凭借364天的循环贷款和风险加权资产驱动的证券化计划）。现在的措施是,它只考虑信用与市场风险,忽视

50、经营风险，例如咨询服务、资产管理、保管、存款来被认为是“无风险”。新巴塞尔协议试图解决许多前身的相关问题。如图1所示，可以看出，新巴塞尔协议是建立在最低准入资金、监督审核和市场规律的三大支柱上的。新巴塞尔协议的支柱1是为了防范银行信贷风险在最低资本充足率（在巴塞尔协议的基础之上有了大幅度地修改和提高），市场风险（未作修改的1997年巴塞尔修正案）和操作风险（新增项目）上暴露的危机。关于信用风险，银行可以选择三种方法作为参考：标准方法很大程度上依赖于外部评分标准和管理水平。另一种方法是以内部评级（IRB）作为基础的的方法，其允许银行使用内部模型来计算资本充足率。这两种行为在依赖于银行实际投资组合

51、的程度上有着相对复杂的不同：内部评级基本方法众所周知都是简单的，复杂的就是高级的内部评级方法，因此，与巴塞尔协议的做法类似，各家银行有不同的准入资金取决于其内部信贷风险管理能力的先进性和各自借贷要求的风险特征。新巴塞尔协议的支柱2要求监管机构适当评估银行风险管理流程和维系较高偿付能力目标水平的资本位置。新巴塞尔协议中明确指出：期望银行能够继续持有资本的超过最低水平的部分。他的评价是要在对该机构进行全面审查企业范围内的风险管理程度为基础，这种的内部风险测量工具已经运用到被个别银行日常业务中了去了。监管机构必须介入进行干预如果风险或资本管理流程被认为不令人满意，。最后，支柱3是为了培养提高个别传统

52、市场约束和历史上不透明的银行风险和资金管理。通过要求加强披露信息的深度与广度，将首次从根本上打破财务报告，敏感风险参数和银行风险承担强制报告的水平。巴塞尔委员会曾与国际会计标准(IAS)组织一道参与，以确保报告要求的一致性。于是，我们希望这些新的要求为未来全球金融服务机构的报告设定标准。赢家和输家建立更加灵活性的风险框架意味着资本充足率将改变各业务线、银行和地区等限制。反过来，这意味着巴塞尔II资本的识别下将有赢家和输家。为了识别赢家和输家，我们分析了影响新巴塞尔协议的各种因素组成的准入资金信用及营运风险。我们的分析完善了2003年5月巴塞尔委员会公布的最终定量影响研究(QIS3) 的结果。我

53、们的分析结果和QIS3的区别是，我们的目标是, 评估新巴塞尔协议的最终影响。而QIS3反映了目前的现状，例如，只有相对成熟的银行有能力要求信贷资金使用内部评级法的方法。我们的预测表明，随标准化方法增加和随内部评级方法减少，在内部评级方法的基础之上，银行业总体的最低资本充足率将不会有太大的变化。符合新巴塞尔协议(和QIS3)声称的目标保持当前总资本水平，并全面改进动力风险管理。公司的风险加权资产的变化很大程度上依赖评级。关键驱动力是公司违约风险(PD)的一个主导因素，非零售中小企业的风险加权资产上涨的，反之，大公司的总资本将削减。最大的削减就是抵押贷款，其他零售产品同时也是“大赢家”，但这两者之间存在潜在的显著差异，尽管这包括使资本充足率下的个人贷款和内部评级中所需的逐渐增加