传点文档换金币

内容见目录

目录
概 述...................................................................................................10
导言 …………………………………………………………………………………...10
第一部分 新协议的主要内容............................................................................11
第一支柱：最低资本要求 ..........................................................................11
信用风险标准法 ................................................................................11
内部评级法（Internal ratings-based (IRB) approaches）.................12
公司、银行和主权的风险暴露...........................................................13
零售风险暴露....................................................................................14
专业贷款（Specialised lending）.....................................................14
股权风险暴露（Equity exposures） .................................................14
IRB 法的实施问题.............................................................................15
证券化 ..............................................................................................15
操作风险...........................................................................................16
第二支柱和第三支柱： 监管当局的监督检查和市场纪律 ..........................17
监管当局的监督检查.........................................................................17
市场纪律...........................................................................................18
新协议的实施 ............................................................................................18
朝新协议过渡....................................................................................18
有关前瞻性问题 ................................................................................19
跨境实施问题....................................................................................20
今后的工作................................................................................................20
第二部分: 对QIS3 技术指导文件的修改...........................................................21
导言 21
允许使用准备 ............................................................................................21
合格的循环零售风险暴露（qualifying revolving retail exposures,QRRE)..22
住房抵押贷款 ............................................................................................22
专业贷款(specialised lending, SL) ............................................................22
高波动性商业房地产（high volatility commercial real estate ，HVCRE) .23
信用衍生工具 ............................................................................................23
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证券化.......................................................................................................23
操作风险 ...................................................................................................24
缩写词.....................................................................................................26
第一部分：适用范围 ...............................................................................28
A. 导言 ..........................................................................................................28
B. 银行、证券公司和其他附属金融企业 ........................................................28
C. 对银行、证券公司和其他金融企业的大额少数股权投资............................29
D. 保险公司 ...................................................................................................29
E. 对商业企业的大额投资..............................................................................30
F. 根据本部分的规定对投资的扣减................................................................31
第二部分：第一支柱 － 最低资本要求 ..................................................33
I. 最低资本要求的计算....................................................................................33
II. 信用风险－标准法(Standardised Approach) .............................................33
A.标准法 — 一般规则..............................................................................33
1. 单笔债权的处理........................................................................34
(i) 对主权国家的债权 ....................................................................34
(ii) 对非中央ZF公共部门实体(public sector entities)的债权........35
(iii) 对多边开发银行的债权.............................................................35
(iv) 对银行的债权.............................................................................36
(v) 对证券公司的债权 ....................................................................37
(vi) 对公司的债权 ...........................................................................37
(vii) 包括在监管定义的零售资产中的债权........................................37
(viii) 对居民房产抵押的债权.............................................................38
(ix) 对商业房地产抵押的债权 .........................................................38
(x) 逾期贷款 ..................................................................................39
(xi) 高风险的债权 ...........................................................................39
(xii) 其他资产 ..................................................................................40
(xiii) 资产负债表外项目....................................................................40
2. 外部评级 ..................................................................................40
(i) 认定程序 ..................................................................................40
(ii) 资格标准.................................................................................40
3. 实施中需考虑的问题.................................................................41
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(i) 对应程序(mapping process).....................................................41
(ii) 多方评级结果的处理.................................................................42
(iii) 发行人评级和债项评级(issuer versus issues assessment) ......42
(iv) 本币和外币的评级 ....................................................................42
(v) 短期和长期评级........................................................................43
(vi) 评级的适用范围........................................................................43
(vii) 被动评级(unsolicited ratings) ...................................................43
B. 标准法—信用风险缓释(Credit risk mitigation)...................................44
1. 主要问题 ..................................................................................44
(i) 综述..........................................................................................44
(ii) 一般性论述.................................................................................44
(iii) 法律确定性...............................................................................45
2. 信用风险缓释技术的综述 .........................................................45
(i) 抵押交易 ..................................................................................45
(ii) 表内净扣(On-balance sheet netting) .......................................47
(iii) 担保和信用衍生工具.................................................................47
(iv) 期限错配....................................................................................47
(v) 其他问题.....................................................................................48
3. 抵押品......................................................................................48
(i) 合格的金融抵押品 ....................................................................48
(ii) 综合方法...................................................................................49
(iii) 简单方法 ..................................................................................56
(iv) 抵押的场外衍生工具交易.........................................................57
4．表内净扣.....................................................................................57
5．担保和信用衍生工具...................................................................58
(i) 操作要求 ..................................................................................58
(ii) 合格的担保人/信用保护提供者的范围.......................................60
(iii) 风险权重 ..................................................................................60
(iv) 币种错配 ..................................................................................60
(v) 主权担保 ..................................................................................61
6. 期限错配 ..................................................................................61
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7.与信用风险缓释相关的其他问题的处理.........................................62
(i) 对信用风险缓释技术池(pools of CRM techniques)的处理........62
(ii) 第一违约的信用衍生工具............................................................62
(iii) 第二违约的信用衍生工具........................................................62
III. 信用风险——IRB 法...................................................................................62

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附录 1 创新工具在一级资本中的上线为15%.......................................185
附录 2 标准法－ 实施对应程序..........................................................186
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附录3 IRB 法风险权重的实例............................................................190
附录4 监管当局对专业贷款设定的标准.............................................193
附录 5 按照监管公式计算信用风险缓释的影响....................................207
附录 6 ..................................................................................................211
附录7 损失事件分类详表...................................................................215
附录 8 ...................................................................................................220