BASELIII信用风险管理实施最佳实践

1、Us P"沁。级N :；;打二入匹-入会卩<mH 5 - E5-： >4 JT r< = mctx E；、aJ " f，w i 左*AlgorithmicsAlgorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.#Algorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.3Algorithmics 丹©2007 Algorithmics Incorporated. All r

2、ights reserved.#©2007 Algorithmics Incorporated. All rights reserved.AlgorithmicsAlgorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.#Algorithmics©2007 Algorithmics Incorporated. All rights reserved.7Algorithmics 丹©2007 Algorithmics Incorporated. All rights reserve

3、d.#The Basics : First Things First1.2.3. ?4.5. Q6. : ?Types of Rating SystemsAlgorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.9Algorithmics 丹Algorithmics 丹Algorithmics 丹Algorithmics 丹Algorithmics 丹Algorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.15Data m

4、erge and exclusion Sensitivity tests (5.3)Step 1: Univariate analysis(3.1)? :.iStep 2: Data Treatment (3.2)Step 3: Monotonicity analysis(3.3)Algorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.17Homogeneous Tests (7.1)Benchmark Tests (7.2)Mappi ng to rati ng system (7) <In put

5、 of master rati ng systemAlgorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.#Algorithmics 丹Algorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.19Algorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.21Institutions must have a robust system i

6、n place to validate the accuracy and consistency of ratings systems and process, and estimation of all relevant risk components. An institution must dem on strate to its supervisor that the inter nal validation process enables it to assess the performance of internal rating and riskAlgorithmics 丹

7、69;2007 Algorithmics Incorporated. All rights reserved.#Broad Interpretation: Rating System & ProcessPDLGDEADAlgorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.23Algorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.#Algorithmics© 2007 Algorithmics Inc

8、orporated. All rights reserved.25Summary: Guiding Principles for ValidationAlgorithmics© 2007 Algorithmics Incorporated. All rights reserved.#Algorithmics 丹Algorithmics 丹Algorithmics 丹Algorithmics 丹©2007 Algorithmics Incorporated. All rights reserved.29:Y K Choi, Deputy Chief Executive HKM

9、A November 2007Algorithmics©2007 Algorithmics Incorporated. All rights reserved.312520151050UK FSA Working Paper September 2007Corporates©2007 Algorithmics Incorporated. All rights reserved.33Algorithmics 丹Gary Chen () Ph.D.Principal, Credit Advisory Algorithmics (Hong Kong) Ltd.28th Floor, Tower Two, Lippo Center 89