《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 12 Basel I, Basel II, and Solvency II

Basel I, Basel Il, andSolvencyIlChapter 12RiskManagementandFinanciallnstitutions3e,Chapter12,CopyrightJohnC.Hull2012
Basel I, Basel II, and Solvency II Chapter 12 Risk Management and Financial Institutions 3e, Chapter 12, Copyright © John C. Hull 2012 1

History ofBankRegulationPre-19881988: BIS Accord (Basel I)1996: Amendment to BlS Accord1999: Basel Il first proposed2RiskManagementandFinancialInstitutions3e,Chapter12,CopyrightJohnC.Hull2012
History of Bank Regulation ⚫ Pre-1988 ⚫ 1988: BIS Accord (Basel I) ⚫ 1996: Amendment to BIS Accord ⚫ 1999: Basel II first proposed Risk Management and Financial Institutions 3e, Chapter 12, Copyright © John C. Hull 2012 2

TheModelusedbyRegulators(Figure12.1,page272)X%WorstExpectedCase LossLossRequiredCapitalLoss overtimehorizonRiskManagementandFinancialInstitutions3e,Chapter12,CopyrightJohnC.Hull20123
The Model used by Regulators (Figure 12.1, page 272) Risk Management and Financial Institutions 3e, Chapter 12, Copyright © John C. Hull 2012 0 1 2 3 4 Expected Loss X% Worst Case Loss Required Capital Loss over time horizon 0 1 2 3 4 Expected Loss X% Worst Case Loss Required Capital Loss over time horizon 3

Pre-1988Banks were regulated using balance sheet measuressuch as the ratio of capital to assetsDefinitions and required ratios varied from country tocountryEnforcement of regulations varied from country tocountryBankleverageincreased in1980sOff-balance sheet derivatives trading increasedLDC debt was a major problemBasel Committee on Bank Supervision set upRiskManagementandFinancialInstitutions3e,Chapter12,CopyrightJohnC.Hull20124
Pre-1988 ⚫ Banks were regulated using balance sheet measures such as the ratio of capital to assets ⚫ Definitions and required ratios varied from country to country ⚫ Enforcement of regulations varied from country to country ⚫ Bank leverage increased in 1980s ⚫ Off-balance sheet derivatives trading increased ⚫ LDC debt was a major problem ⚫ Basel Committee on Bank Supervision set up Risk Management and Financial Institutions 3e, Chapter 12, Copyright © John C. Hull 2012 4

1988: BIS Accord (page 259) The assets:capital ratio must be less than20. Assets includes off-balance sheetitems that are direct credit substitutes suchas letters of credit and guarantees Cooke Ratio: Capital must be 8% of riskweighted amount. At least 50% of capitalmust be Tier 1.RiskManagementandFinancialInstitutions3e,Chapter12,CopyrightJohnC.Hull20125
1988: BIS Accord (page 259) ⚫ The assets:capital ratio must be less than 20. Assets includes off-balance sheet items that are direct credit substitutes such as letters of credit and guarantees ⚫ Cooke Ratio: Capital must be 8% of risk weighted amount. At least 50% of capital must be Tier 1. Risk Management and Financial Institutions 3e, Chapter 12, Copyright © John C. Hull 2012 5

Types of Capital (page 262)Tier 1 Capital: common equity, non-cumulative perpetual preferred sharesTier 2 Capital: cumulative preferred stockcertain types of 99-year debentures,subordinated debt with an original life ofmore than 5 years6RiskManagementandFinancialInstitutions3e,Chapter12,CopyrightJohnC.Hull2012
Types of Capital (page 262) ⚫ Tier 1 Capital: common equity, noncumulative perpetual preferred shares ⚫ Tier 2 Capital: cumulative preferred stock, certain types of 99-year debentures, subordinated debt with an original life of more than 5 years Risk Management and Financial Institutions 3e, Chapter 12, Copyright © John C. Hull 2012 6

Risk-Weighted Capital A risk weight is applied to each on-balance-sheetasset according to its risk (e.g. 0% to cash and govtbonds; 20% to claims on OECD banks; 50% toresidential mortgages; 100% to corporate loans,corporate bonds, etc.)Foreach off-balance-sheet item wefirstcalculate acredit equivalent amount and then apply a risk weightRisk weighted amount (RWA) consists ofsum of risk weight times asset amount for on-balance sheetitemsSum of risk weight times credit equivalent amount for off-balancesheetitems7RiskManagementandFinancialInstitutions3e,Chapter12,CopyrightJohnC.Hull2012
Risk-Weighted Capital ⚫ A risk weight is applied to each on-balance- sheet asset according to its risk (e.g. 0% to cash and govt bonds; 20% to claims on OECD banks; 50% to residential mortgages; 100% to corporate loans, corporate bonds, etc.) ⚫ For each off-balance-sheet item we first calculate a credit equivalent amount and then apply a risk weight ⚫ Risk weighted amount (RWA) consists of ⚫ sum of risk weight times asset amount for on-balance sheet items ⚫ Sum of risk weight times credit equivalent amount for offbalance sheet items Risk Management and Financial Institutions 3e, Chapter 12, Copyright © John C. Hull 2012 7

Credit Equivalent Amount The credit equivalent amount is calculatedas the current replacement cost (if positive)plus an add on factorThe add on amount varies from instrumentto instrument (e.g. 0.5% for a 1-5 yearinterest rate swap; 5.0% for a 1-5 yearforeign currency swap)RiskManagementandFinancialInstitutions3e,Chapter12,CopyrightJohnC.Hull20128
Credit Equivalent Amount ⚫ The credit equivalent amount is calculated as the current replacement cost (if positive) plus an add on factor ⚫ The add on amount varies from instrument to instrument (e.g. 0.5% for a 1-5 year interest rate swap; 5.0% for a 1-5 year foreign currency swap) Risk Management and Financial Institutions 3e, Chapter 12, Copyright © John C. Hull 2012 8

Add-on Factors (% of Principal)Table12.2,page261RemainingExchRateEquityPreciousOtherInterestMetalsCommoditiesMaturity (yrs)rateand Goldexcept gold51.57.510.06.015.0Example:A$100 millionswapwith3yearstomaturityworth$5millionwouldhaveacreditequivalentamountof$5.5millionRiskManagementandFinancialInstitutions3e,Chapter12,CopyrightJohnC.Hull20129
Add-on Factors (% of Principal) Table 12.2, page 261 Risk Management and Financial Institutions 3e, Chapter 12, Copyright © John C. Hull 2012 Remaining Maturity (yrs) Interest rate Exch Rate and Gold Equity Precious Metals except gold Other Commodities 5 1.5 7.5 10.0 6.0 15.0 Example: A $100 million swap with 3 years to maturity worth $5 million would have a credit equivalent amount of $5.5 million 9

The MathNMZw,cZw,L, +RWAi=1j=1On-balance sheetOff-balance sheet itemscredit equivalentitems: principaltimes risk weightamount times riskweightFor a derivative C,= max(V,O) + a,L, where V, isvalue, L, is principal and a, is add-on factor10RiskManagementandFinancialInstitutions3e,Chapter12,CopyrightJohnC.Hull2012
The Math Risk Management and Financial Institutions 3e, Chapter 12, Copyright © John C. Hull 2012j N i M j RWA wi Li wj C = = = + 1 1 * On-balance sheet items: principal times risk weight Off-balance sheet items: credit equivalent amount times risk weight For a derivative Cj = max(Vj ,0) + ajLj where Vj is value, Lj is principal and aj is add-on factor 10
按次数下载不扣除下载券;
注册用户24小时内重复下载只扣除一次;
顺序:VIP每日次数-->可用次数-->下载券;
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 11 Correlations and Copulas.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 10 Volatility.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 09 Value at Risk.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 08 Interest Rate Risk.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 07 How Traders Manage Their Risks.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 06 The Credit Crisis of 2007.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 05 Trading in Financial Markets.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 04 Mutual Funds and Hedge Funds.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 03 Insurance Companies and Pension Plans.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 02 Banks.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 01 Introduction.ppt
- 武汉理工大学:《产业结构理论》课程教学课件(讲稿)第八章 产业融合 Industrial convergence.pdf
- 武汉理工大学:《产业结构理论》课程教学课件(讲稿)第七章 产业集聚 Industrial cluster.pdf
- 武汉理工大学:《产业结构理论》课程教学课件(讲稿)第六章 主导产业 Leading industry.pdf
- 武汉理工大学:《产业结构理论》课程教学课件(讲稿)第五章 产业关联分析.pdf
- 武汉理工大学:《产业结构理论》课程教学课件(讲稿)第四章 产业结构升级的动因.pdf
- 武汉理工大学:《产业结构理论》课程教学课件(讲稿)第三章 产业结构与经济增长 Structure and Grow.pdf
- 武汉理工大学:《产业结构理论》课程教学课件(讲稿)第二章 产业结构演变.pdf
- 武汉理工大学:《产业结构理论》课程教学课件(讲稿)第一章 绪论(经济学院:赵玉林).pdf
- 《政治经济学》课程教学资源(PPT课件)第一章 商品经济及其基本规律.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 13 Basel 2.5, Basel III, and Dodd-Frank.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 14 Market Risk VaR - Historical Simulation Approach.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 15 Market Risk VaR - Model - Building Approach.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 16 Credit Risk - Estimating Default Probabilities.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 17 Counterparty Credit Risk in Derivatives.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 18 Credit Value at Risk.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 19 Scenario Analysis and Stress Testing.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 20 Operational Risk.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 21 Liquidity Risk.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 22 Model Risk.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 23 Economic Capital and RAROC.ppt
- 《金融风险管理》课程PPT教学课件(Risk Management and Financial Institutions)Chapter 24 Risk Management Mistakes to Avoid.ppt
- 《宏观经济学》课程教学资源(PPT课件,完整讲稿,共十三章).ppt
- 《宏观经济学》课程各章习题答案(共十三章).pdf
- 《货币银行学》课程教学大纲 Economics of Money, Banking and Financial Markets(中文).pdf
- 《货币银行学》课程教学大纲 Economics of Money, Banking and Financial Markets(英文).pdf
- 《货币银行学》课程授课教案(中文讲义)第二章 信用与金融工具.pdf
- 《货币银行学》课程授课教案(中文讲义)第一章 货币与货币制度.pdf
- 《货币银行学》课程授课教案(中文讲义)第四章 利率.pdf
- 《货币银行学》课程授课教案(中文讲义)第三章 金融市场.pdf