巴塞尔新资本协定英文版basel2完整版（附2009年的咨询意见稿）

巴塞尔新资本协定英文版basel2完整版（附2009年的咨询意见稿）

巴塞尔新资本协定英文版basel2完整版（附2009年的咨询意见稿）,巴塞尔新资本协定英文版basel2完整版（附2009年的咨询意见稿）
分别是三项内容

128：是补充了1996marketrisk framework的Basel2完整版

134：2009年的咨询意见稿，增加除了交易对家违规风险specific risk capital外，用于防范信用恶化和流动性枯竭的incremental risk capital

158：2009年的咨询意见稿，增加包含了stressVAR的marketrisk framework的revisions

分别是三项内容
128：是补充了1996marketrisk framework的Basel2完整版

134：2009年的咨询意见稿，增加除了交易对家违规风险specific risk capital外，用于防范信用恶化和流动性枯竭的incremental risk capital

158：2009年的咨询意见稿，增加包含了stressVAR的marketrisk framework的revisions

Contents
Introduction1
Structure of this document6
Part 1: Scope of Application .7
I. Introduction.7
II. Banking, securities and other financial subsidiaries 7
III. Significant minority investments in banking, securities and other financial entities.8
IV. Insurance entities 8
V. Significant investments in commercial entities 9
VI. Deduction of investments pursuant to this part .10
Part 2: The First Pillar – Minimum Capital Requirements.12
I. Calculation of minimum capital requirements12
A. Regulatory capital 12
B. Risk-weighted assets .12
C. Transitional arrangements .13
Ia. The constituents of capital.14
A. Core capital (basic equity or Tier 1) .14
B. Supplementary capital (Tier 2) .
1. Undisclosed reserves14
2. Revaluation reserves 15
3. General provisions/general loan-loss reserves.15
4. Hybrid debt capital instruments.16
5. Subordinated term debt 16
C. Short-term subordinated debt covering market risk (Tier 3).16
D. Deductions from capital17
II. Credit Risk – The Standardised Approach 19
A. Individual claims.19
1. Claims on sovereigns19
2. Claims on non-central government public sector entities (PSEs) .20
3. Claims on multilateral development banks (MDBs) 21
4. Claims on banks .21
5. Claims on securities firms .22
6. Claims on corporates23
7. Claims included in the regulatory retail portfolios .23
8. Claims secured by residential property.24

9. Claims secured by commercial real estate 24
10. Past due loans . 25
11. Higher-risk categories 25
12. Other assets. 26
13. Off-balance sheet items . 26
B. External credit assessment . 27
2. Eligibility criteria . 27
C. Implementation considerations 28
1. The mapping process. 28
2. Multiple assessments. 29
3. Issuer versus issues assessment 29
4. Domestic currency and foreign currency assessments 30
5. Short-term/long-term assessments 30
6. Level of application of the assessment 31
7. Unsolicited ratings 31
D. The standardised approach ─ credit risk mitigation 31
1. Overarching issues 31
2. Overview of Credit Risk Mitigation Techniques 32
3. Collateral 35
4. On-balance sheet netting. 45
5. Guarantees and credit derivatives . 46
6. Maturity mismatches 50
7. Other items related to the treatment of CRM techniques. 50
III. Credit Risk – The Internal Ratings-Based Approach 52
A. Overview . 52
B. Mechanics of the IRB approach 52
1. Categorisation of exposures 52
2. Foundation and advanced approaches 59
3. Adoption of the IRB approach across asset classes 61
4. Transition arrangements 62
C. Rules for corporate, sovereign, and bank exposures 63
1. Risk-weighted assets for corporate, sovereign, and bank exposures 63
2. Risk components 67
D. Rules for Retail Exposures 76
1. Risk-weighted assets for retail exposures 76
2. Risk components 78
E. Rules for Equity Exposures . 79
1. Risk-weighted assets for equity exposures.79
2. Risk components 82
F. Rules for Purchased Receivables 83
1. Risk-weighted assets for default risk 83
2. Risk-weighted assets for dilution risk85
3. Treatment of purchase price discounts for receivables 85
4. Recognition of credit risk mitigants .86
G. Treatment of Expected Losses and Recognition of Provisions86
1. Calculation of expected losses .86
2. Calculation of provisions.87
3. Treatment of EL and provisions 88
H. Minimum Requirements for IRB Approach.88
1. Composition of minimum requirements 89
2. Compliance with minimum requirements 89
3. Rating system design90
4. Risk rating system operations.94
5. Corporate governance and oversight97
6. Use of internal ratings .98
7. Risk quantification.99
8. Validation of internal estimates.109
9. Supervisory LGD and EAD estimates.110
10. Requirements for recognition of leasing .114
11. Calculation of capital charges for equity exposures114
12. Disclosure requirements .119
IV. Credit Risk — Securitisation Framework.120
A. Scope and definitions of transactions covered under the securitisation framework120
B. Definitions and general terminology.120
1. Originating bank120
2. Asset-backed commercial paper (ABCP) programme121
3. Clean-up call.121
4. Credit enhancement121
5. Credit-enhancing interest-only strip 121
6. Early amortisation .121
7. Excess spread 122
8. Implicit support122
9. Special purpose entity (SPE) 122
C. Operational requirements for the recognition of risk transference .122
1. Operational requirements for traditional securitisations . 122
2. Operational requirements for synthetic securitisations 123
3. Operational requirements and treatment of clean-up calls 124
D. Treatment of securitisation exposures. 125
1. Calculation of capital requirements 125
2. Operational requirements for use of external credit assessments . 125
3. Standardised approach for securitisation exposures . 126
4. Internal ratings-based approach for securitisation exposures 133
V. Operational Risk . 144
A. Definition of operational risk 144
B. The measurement methodologies. 144
1. The Basic Indicator Approach 144
2. The Standardised Approach, 146
3. Advanced Measurement Approaches (AMA). 147
C. Qualifying criteria. 148
1. The Standardised Approach 148
2. Advanced Measurement Approaches (AMA). 149
D. Partial use . 156
VI. Market Risk. 157
A. The risk measurement framework. 157
1. Scope and coverage of the capital charges . 157
2. Prudent valuation guidance 160
3. Methods of measuring market risks . 162
4. Treatment of counterparty credit risk in the trading book. 164
5. Transitional arrangements . 165
B. The capital requirement. 166
1. Definition of capital. 166
C. Market risk – The standardised measurement method . 166
1. Interest rate risk . 166
2. Equity position risk . 176
3. Foreign exchange risk 179
4. Commodities risk 182
5. Treatment of options 186
D. Market Risk – The Internal Models Approach . 191
1. General criteria. 191
2. Qualitative standards . 191
3. Specification of market risk factors 193
4. Quantitative standards 195
5. Stress testing 197
6. External validation.198
7. Combination of internal models and the standardised methodology 199
8. Treatment of specific risk 199
9. Model validation standards .202
Part 3: The Second Pillar – Supervisory Review Process 204
I. Importance of supervisory review204
II. Four key principles of supervisory review .205
1. Board and senior management oversight 205
2. Sound capital assessment .206
3. Comprehensive assessment of risks .206
4. Monitoring and reporting 208
5. Internal control review 209
1. Review of adequacy of risk assessment 210
2. Assessment of capital adequacy210
3. Assessment of the control environment .210
4. Supervisory review of compliance with minimum standards210
5. Supervisory response 211
III. Specific issues to be addressed under the supervisory review process .212
A. Interest rate risk in the banking book .212
B. Credit risk .213
1. Stress tests under the IRB approaches 213
2. Definition of default .213
3. Residual risk .213
4. Credit concentration risk .214
5. Counterparty credit risk.215
C. Operational risk 217
D. Market risk217
1. Policies and procedures for trading book eligibility .217
2. Valuation.218