Mr.Bank

分类： 金融风险管理师（FRM）考试

  • 金融风险管理师手册第2版中文译本下载

    金融风险管理师手册第2版中文译本下载

  • options futures and other derivatives 6th edition – 原版书

    options futures and other derivatives 6th edition – 原版书

  • 巴塞尔协议完整英文版

    巴塞尔协议完整英文版

    这份协议同时反映了最新的风险管理理念和实践，有益于实务工作，
    但其中亦涉及复杂的数理模型，完全弄通确需付出很多。

    Introduction.1
    Structure of this document6
    Part 1: Scope of Application .7
    I. Introduction7
    II. Banking, securities and other financial subsidiaries7
    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) .14
    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