财务风险管理CH12

BaselI,BaselII,andSolvencyIIChapter12

1HistoryofBankRegulationPre-19881988:BISAccord(BaselI)1996:AmendmenttoBISAccord1999:BaselIIfirstproposed2TheModelusedbyRegulators(Figure12.1,page272)

3Pre-1988BankswereregulatedusingbalancesheetmeasuressuchastheratioofcapitaltoassetsDefinitionsandrequiredratiosvariedfromcountrytocountryEnforcementofregulationsvariedfromcountrytocountryBankleverageincreasedin1980sOff-balancesheetderivativestradingincreasedLDCdebtwasamajorproblemBaselCommitteeonBankSupervisionsetup41988:BISAccord(page259)Theassets:capitalratiomustbelessthan20.Assetsincludesoff-balancesheetitemsthataredirectcreditsubstitutessuchaslettersofcreditandguaranteesCookeRatio:Capitalmustbe8%ofriskweightedamount.Atleast50%ofcapitalmustbeTier1.5TypesofCapital(page262)Tier1Capital:commonequity,non-cumulativeperpetualpreferredshares

Tier2Capital:cumulativepreferredstock,certaintypesof99-yeardebentures,subordinateddebtwithanoriginallifeofmorethan5years6Risk-WeightedCapitalAriskweightisappliedtoeachon-balance-sheetassetaccordingtoitsrisk(e.g.0%tocashandgovtbonds;20%toclaimsonOECDbanks;50%toresidentialmortgages;100%tocorporateloans,corporatebonds,etc.)Foreachoff-balance-sheetitemwefirstcalculateacreditequivalentamountandthenapplyariskweightRiskweightedamount(RWA)consistsofsumofriskweighttimesassetamountforon-balancesheetitemsSumofriskweighttimescreditequivalentamountforoff-balancesheetitems7CreditEquivalentAmountThecreditequivalentamountiscalculatedasthecurrentreplacementcost(ifpositive)plusanaddonfactorTheaddonamountvariesfrominstrumenttoinstrument(e.g.0.5%fora1-5yearinterestrateswap;5.0%fora1-5yearforeigncurrencyswap)8Add-onFactors(%ofPrincipal)

Table12.2,page261

RemainingMaturity(yrs)InterestrateExchRateandGoldEquityPreciousMetalsexceptgoldOtherCommodities<10.01.06.07.010.01to50.55.08.07.012.0>51.57.510.06.015.0Example:A$100millionswapwith3yearstomaturityworth$5millionwouldhaveacreditequivalentamountof$5.5million9TheMathOn-balancesheetitems:principaltimesriskweightOff-balancesheetitems:creditequivalentamounttimesriskweightForaderivativeCj

=max(Vj,0)+ajLj

whereVjisvalue,Ljisprincipalandajisadd-onfactor10G-30PolicyRecommendations

(263)Influentialpublicationfromderivativesdealers,endusers,academics,accountants,andlawyers20recommendationspublishedin199311Netting(265)NettingreferstoaclauseinderivativesMasterAgreements(ISDA),whichstatesthatifacompanydefaultsononetransactionitmustdefaultonalltransactionsIn1995the1988accordwasmodifiedtoallowbankstoreducetheircreditequivalenttotalswhenbilateralnettingagreementswereinplace12NettingCalculationsWithoutnettingexposureisWithnettingexposureis

13NettingCalculationscontinuedCreditequivalentamountmodifiedfromTo141996Amendment(267)Implementedin1998Requiresbankstomeasureandholdcapitalformarketriskforallinstrumentsinthetradingbookincludingthoseoffbalancesheet(ThisisinadditiontotheBISAccordcreditriskcapital)15TheMarketRiskCapital

Thecapitalrequirementiswheremcisamultiplicativefactorchosenbyregulators(atleast3),VaRisthe99%10-dayvalueatrisk,andSRCisthespecificriskchargeforidiosyncraticriskrelatedtospecificcompanies.VaRt-1isthemostrecentlycalculatedVaRandVaRavgistheaverageVaRoverthelast60days16BaselIIImplementedin2007ThreepillarsNewminimumcapitalrequirementsforcreditandoperationalriskSupervisoryreview:morethoroughanduniformMarketdiscipline:moredisclosure17NewCapitalRequirementsRiskweightsbasedoneitherexternalcreditrating(standardizedapproach)orabank’sowninternalcreditratings(IRBapproach)RecognitionofcreditriskmitigantsSeparatecapitalchargeforoperationalrisk18USAvsEuropeanImplementationInUSBaselIIappliesonlytolargeinternationalbanksSmallregionalbanksrequiredtoimplement“Basel1A’’(similartoBaselI),ratherthanBaselIIEuropeanUnionrequiresBaselIItobeimplementedbysecuritiescompaniesaswellasallbanks19NewCapitalRequirements

StandardizedApproach,Table12.4,page270 Bankandcorporationstreatedsimilarly(unlikeBaselI)

RatingAAAtoAA-A+toA-BBB+toBBB-BB+toBB-B+toB-BelowB-UnratedCountry0%20%50%100%100%150%100%Banks20%50%50%100%100%150%50%Corporates20%50%100%100%150%150%100%20NewCapitalRequirements

IRBApproachforcorporate,banksandsovereignexposuresBaselIIprovidesaformulafortranslatingPD(probabilityofdefault),LGD(lossgivendefault),EAD(exposureatdefault),andM(effectivematurity)intoariskweightUndertheAdvancedIRBapproachbanksestimatePD,LGD,EAD,andMUndertheFoundationIRBapproachbanksestimateonlyPDandtheBaselIIguidelinesdeterminetheothervariablesfortheformula21KeyModel(GaussianCopula)The99.9%worstcasedefaultrateis22NumericalResultsforWCDR

Table12.5,page273

PD=0.1%PD=0.5%PD=1%PD=1.5%PD=2%r=0.00.1%0.5%1.0%1.5%2.0%r=0.22.8%9.1%14.6%18.9%22.6%r=0.47.1%