第十一章银行管理条例和新巴塞尔协议

1、Regulation, Basel II, and Solvency IIChapter 11 Risk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 20091History of Bank RegulationlPre-1988l1988: Basel Accord (Basel I)l1996: Amendment to Basel Accordl1999: Basel II first proposedl2003: Basel II l2010: Basel Risk Manag

2、ement and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 20092资料：资料：巴塞尔协议（巴塞尔协议（Basel Accord）介绍）介绍l巴塞尔委员会是巴塞尔委员会是国际清算银行国际清算银行（BIS, Bank for international settlements）的巴塞尔银行业条例和监）的巴塞尔银行业条例和监督委员会的常设委员会。督委员会的常设委员会。l巴塞尔委员会是巴塞尔委员会是1974年由十国集团年由十国集团（巴黎俱乐部）（巴黎俱乐部）（美国、英国、法国、德国、意大利、日本、荷兰、加（美国、英

3、国、法国、德国、意大利、日本、荷兰、加拿大、比利时、瑞典）拿大、比利时、瑞典）中央银行行长倡议建立的中央银行行长倡议建立的，其成，其成员包括十国集团中央银行和银行监督部门的代表。员包括十国集团中央银行和银行监督部门的代表。l巴塞尔委员会于巴塞尔委员会于1988年年7月在瑞士的巴塞尔通过了月在瑞士的巴塞尔通过了“关关于统一国际银行的资本计算和资本标准的协议于统一国际银行的资本计算和资本标准的协议”。该协。该协议议第一次建立了一套完整的国际通用的、以加权方式衡第一次建立了一套完整的国际通用的、以加权方式衡量表内与表外风险的资本充足率标准量表内与表外风险的资本充足率标准，有效地遏制了与，有效地遏制了

4、与债务危机有关的国际风险。债务危机有关的国际风险。 1988年巴塞尔协议（年巴塞尔协议（Basel Accord）l巴塞尔协议的巴塞尔协议的实质性进步体现在实质性进步体现在 19881988年年7 7月通过月通过的的关于统一国际银行的资本计算和资本标准的关于统一国际银行的资本计算和资本标准的报告报告（简称（简称巴塞尔报告巴塞尔报告）。该报告主要有。该报告主要有四部分内容：四部分内容：（1）资本的分类；）资本的分类；（2）风险权重的计算标准；）风险权重的计算标准；（3) 1992年资本与资产的标准比例和过渡期的实年资本与资产的标准比例和过渡期的实施安排；施安排；（4）各国监管当局自由决定的范围。

5、）各国监管当局自由决定的范围。 体现协议核心思想的是前两项。首先是资本体现协议核心思想的是前两项。首先是资本的分类，也就是将银行的的分类，也就是将银行的资本划分为核心资本和资本划分为核心资本和附属资本两类附属资本两类，对各类资本按照各自不同的特点，对各类资本按照各自不同的特点进行明确地界定。进行明确地界定。 其次是风险权重的计算标准，报告根据资产其次是风险权重的计算标准，报告根据资产类别、性质以及债务主体的不同，将银行资产负类别、性质以及债务主体的不同，将银行资产负债表的表内和表外项目划分为债表的表内和表外项目划分为0%、20%、50%和和100%四个风险档次。四个风险档次。风险权重划分的目的

6、是风险权重划分的目的是为衡量资本标准服务。有了风险权重，为衡量资本标准服务。有了风险权重，报告所确报告所确定的资本对风险资产定的资本对风险资产8%（其中核心资本对风险（其中核心资本对风险资产的比重不低于资产的比重不低于4%）的标准目标比率才具有）的标准目标比率才具有实实在在的意义。实实在在的意义。可见，可见，巴塞尔报告巴塞尔报告的核心的核心内容是资本的分类。也正因为如此，许多人直接内容是资本的分类。也正因为如此，许多人直接就将就将巴塞尔报告巴塞尔报告称为规定资本充足率的报告。称为规定资本充足率的报告。 2003年新巴塞尔协议（年新巴塞尔协议（Basel Accord）l巴塞尔委员会彻底修改资本

7、协议的工作是从巴塞尔委员会彻底修改资本协议的工作是从1998年开始的。年开始的。1999年年6月，巴塞尔委员会提出月，巴塞尔委员会提出了以三大支柱：资本充足率、监管部门监督检查了以三大支柱：资本充足率、监管部门监督检查和市场纪律为主要特点的新资本监管框架草案第和市场纪律为主要特点的新资本监管框架草案第一稿，并广泛征求有关方面的意见。巴塞尔委员一稿，并广泛征求有关方面的意见。巴塞尔委员会于会于2003年第二季度发表最后一次征求意见稿，年第二季度发表最后一次征求意见稿，同年年底通过新协议，同年年底通过新协议，2006年年底在十国集团年年底在十国集团国家全面实施。国家全面实施。l新资本协议作为一个完

8、整的银行业资本充足率监新资本协议作为一个完整的银行业资本充足率监管框架，管框架，由三大支柱组成：一是最低资本要求；由三大支柱组成：一是最低资本要求；二是监管当局对资本充足率的监督检查；三是银二是监管当局对资本充足率的监督检查；三是银行业必须满足的信息披露要求。行业必须满足的信息披露要求。 2010年年巴塞尔协议巴塞尔协议 l2010年年9月月12日，巴塞尔银行监督委员会宣布，各方代表就日，巴塞尔银行监督委员会宣布，各方代表就巴巴塞尔协议塞尔协议的内容达成一致。的内容达成一致。l根据该协议，商业银行的根据该协议，商业银行的核心资本充足率核心资本充足率将由目前的将由目前的4%上调上调到到6%，同时

9、计提同时计提2.5%的防护缓冲资本的防护缓冲资本和和不高于不高于2.5%的的反周期准备资本，反周期准备资本，这样这样核心资本充足率核心资本充足率的要求可的要求可达到达到8.5%-11%。总资本充足率。总资本充足率要求仍维持要求仍维持8%不变。不变。而且，新而且，新协议将协议将普通股权益普通股权益/风险资本风险资本比率的要求由原来的比率的要求由原来的2%提高到提高到4.5%。l为最大程度上降低新协议对银行贷款供给能力以及宏观经济的影为最大程度上降低新协议对银行贷款供给能力以及宏观经济的影响，协议给出了响，协议给出了从从2013-2019年一个较长的过渡期。年一个较长的过渡期。全球全球各商业银行各

10、商业银行5年内必须将一级资本充足率的下限从现行要求的年内必须将一级资本充足率的下限从现行要求的4%上调至上调至6%，过渡期限为，过渡期限为2013年升至年升至4.5%，2014年为年为5.5%，2015年达年达6%。同时，协议将普通股最低要求从。同时，协议将普通股最低要求从2%提升至提升至4.5%，过渡期限为过渡期限为2013年升至年升至3.5%，2014年升至年升至4%，2015年升至年升至4.5%。截至。截至2019年年1月月1日，全球各商业银行必须将资本留存缓日，全球各商业银行必须将资本留存缓冲提高到冲提高到2.5%。 11.1 The reasons for regulating ba

11、nkslThe purpose of bank regulation is to ensure that a bank keeps enough capital for the risks it takes.lThere is little doubt that regulation has played an important role in increasing bank capital and making banks more aware of the risks they are taking.lDeposit insurance results in banks taking m

12、ore risks, therefore it is essential that deposit insurance be accompanied by regulation concerned with capital requirements. System Risk and “too big to fail”lA major concern of governments is what is known as systemic risk.lSystem Risk is the risk that a failure by a large bank will lead to failur

13、es by other large banks and a collapse of the financial system.(业界事例11-1）lWhen a bank or other large financial institution get into financial difficulties, what the government should to do? (too big to fail)（2008金融危机、雷曼兄弟公司破产）业界事例业界事例11-1 11-1 系统风险产生过程系统风险产生过程l系统风险是某一家金融机构违约而造成的连锁反应，一家银行违约会触发其他银行违约，

14、从而对整个金融系统的稳定性带来威胁。l当银行A破产时，银行B因为与银行A的交易而蒙受损失，这些损失可能会造成银行B破产，银行C可能同银行A及B之间有交易，因此，银行C也可能会遭受巨大损失，从而倒闭。11.2 Pre-1988s RegulationlBanks were regulated using balance sheet measures such as the ratio of capital to assetslDefinitions and required ratios varied from country to countrylEnforcement of regulati

15、ons varied from country to countrylBank leverage increased in 1980slOff-balance sheet derivatives trading increasedlLDC (Least-Developed Country) debt was a major problem lBasel Committee on Bank Supervision set upRisk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 2009

16、1111.3 1988: Basel (BIS) Accord (page 163)lThe assets to capital ratio must be less than 20. Assets includes off-balance sheet items that are direct credit substitutes such as letters of credit and guaranteeslCooke Ratio: Capital must be 8% of risk weighted amount. At least 50% of capital must be Ti

17、er 1.Risk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 200912Types of Capital (page 164-165)lTier 1 Capital: common equity, non-cumulative perpetual preferred sharesl Tier 2 Capital: cumulative preferred stock, certain types of 99-year debentures, subordinated debt wi

18、th an original life of more than 5 yearsRisk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 200913Risk-Weighted Asset (Amount)lA 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

19、% to residential mortgages; 100% to corporate loans, corporate bonds, etc.)lFor each off-balance-sheet item we first calculate a credit equivalent amount and then apply a risk weight lRisk weighted amount (RWA) consists oflsum of risk weight times asset amount for on-balance sheet itemslSum of risk

20、weight times credit equivalent amount for off-balance sheet itemsRisk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 200914Risk Weights lThe total of risk-weighted assets for N on-balance-sheet items equals: 1Niiiw L where Li is the principal amount of the ith item and

21、wi is its risk weight.例例11-1 某银行的资产包括1亿美元的企业贷款，1000万美元的OECD政府债券及5000万美元的住房贷款。则风险加权的资产总和为（百万美元）： 1*100+0*10+0.5*50=125 即12 500万美元。Credit Equivalent AmountlFor nonderivatives, the credit equivalent amount is calculated by applying a conversion factor to the principal amount of the instrument.lFor an o

22、ver-the-counter derivative, the credit equivalent amount is calculated as: max(V,0)+aL where V is the current value of the derivative to the bank, a is an add-on factor, and L is the principal amount.Risk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 200918Add-on Facto

23、rs for derivatives (% of Principal) Table 11.2, page 164 Risk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 2009Remaining Maturity (yrs)Interest rateExch Rate and GoldEquityPrecious Metals except goldOther Commodities51.57.510.06.015.0Example: A $100 million swap with

24、3 years to maturity worth $5 million would have a credit equivalent amount of $5.5 million19例例11-2 一家银行持有面值为1亿美元的利率互换，剩余期限为4年，利率互换的当前价值为200万美元，在这一情形下，附加因子为0.5%，因此，定价信用量为： 200+0.5%*10 000=250万美元。The Total Risk-weighted Assets:Risk Management and Financial Institutions 2e, Chapter 11, Copyright John C

25、. Hull 2009jNiMjjiiCwLwRWA11*On-balance sheet items: principal times risk weightOff-balance sheet items: credit equivalent amount times risk weightFor a derivative Cj = max(Vj,0) + ajLj where Vj is value, Lj is principal and aj is add-on factor2111.4 G-30 Policy Recommendations(page 165)lInfluential

26、 publication from derivatives dealers, end users, academics, accountants, and lawyersl20 recommendations published in 1993 Risk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 20092211.5 Netting (page 165-166)lNetting refers to a clause in derivatives contracts that stat

27、es that if a company defaults on one contract it must default on all contracts.lIn 1995 the 1988 accord was modified to allow banks to reduce their credit equivalent totals when bilateral netting agreements were in place.Risk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hu

28、ll 200923净额结算的例子：净额结算的例子：l假定银行与某一交易对手有3笔互换交易，对于银行而言，这三笔合约的价值（worth）分别为+2400万、-1700万及800万。l假如交易对手因为账务困难而不能履行义务，对于交易对手而言，3个合约的价值分别为-2400万、+1700万及-800万。l在没有净额结算的情况下，交易对手会对第1个合约违约，保存第2个合约，对第3个合约违约。银行损失3200万（2400万+800万）。l有净额结算的情况下，交易对手在违约时也一定对第2个合约违约，银行的损失只有1500万（2400万-1700万+800万）。Netting Calculationsl假如

29、一个金融机构与某交易对手有N笔交易，第i笔交易的当前价值为Vi，在没有净额结算的情况下，交易对手违约时触发的损失为：l有净额结算的情况下，交易对手违约触发的损失为：Risk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 2009NjjV1)0 ,max(NjjV10 ,max25Netting Calculations continuedlCredit equivalent amount modified fromlToRisk Management and Financial Inst

30、itutions 2e, Chapter 11, Copyright John C. Hull 2009NjjjjLaV1)0 ,max(NjNjjjjLaV11)NRR6 . 04 . 0()0 ,max(26Netting without ExposureNetting with ExposureNRR例例11-411.6 1996 Amendment (page 167-168)lImplemented in 1998lRequires banks to measure and hold capital for market risk for all instruments in the

31、 trading book including those off balance sheet (This is in addition to the BIS Accord credit risk capital)Risk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 200929Trading book and Banking bookl盯市计价：对资产和负债每天进行定价，这一做法称为公允价值会计制度。l交易账户：对于交易产品，无论是资产或者负债，银行要采用公允价值会计制度，这些产品包

32、括大部分衍生产品、可变卖股票证券、外汇和商品，这些产品构成了银行的交易账户。l银行账户：对于那些一直会被持有到期的投资资产，银行不需要实行公允价值会计制度，这些资产包括贷款及某些债券，这些产品构成了银行的银行账户。The Market Risk Capitall标准法：对不同种类的债券、股票、外汇、商品及期权等产品均设立了不同的资本金要求，但对于不同产品之间的相关性没有特殊处理。l内部模型法：采用风险价值度（VaR）及在1996年修正案中阐明的公式来计算市场资本金数量。Risk Management and Financial Institutions 2e, Chapter 11, Copy

33、right John C. Hull 200931lThe capital requirement islWhere k is a multiplicative factor chosen by regulators (at least 3), VaR is the 99% 10-day value at risk, and SRC is the specific risk charge for idiosyncratic risk related to specific companiesSRCVaR k11.7 Basel IIlImplemented in 2007 lThree pil

34、larslNew minimum capital requirements for credit , market and operational risk lSupervisory review: more thorough and uniformlMarket discipline: more disclosureRisk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 200933USA vs European ImplementationlIn US Basel II applie

35、s only to large international bankslSmall regional banks required to implement “Basel 1A (similar to Basel I), rather than Basel IIlEuropean Union requires Basel II to be implemented by securities companies as well as all banksRisk Management and Financial Institutions 2e, Chapter 11, Copyright John

36、 C. Hull 20093411.8 Credit Risk Capital under Basel 11.8.1 The Standardized ApproachlRisk weights based on either external credit rating (standardized approach) or a banks own internal credit ratings (IRB approach)lRecognition of credit risk mitigantslSeparate capital charge for operational riskRisk

37、 Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 200935Table 11.4 Risk weights as a percent of principal for exposures to countries, banks and corporations with different ratings under Basel s standardized approachBank and corporations treated similarly (unlike Basel I)

38、Risk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 2009RatingAAA to AA-A+ to A-BBB+ to BBB-BB+ to BB-B+ to B-Below B-UnratedCountry0%20%50%100%100%150%100%Banks20%50%50%100%100%150%50%Corporates20%50%100%100%150%150%100%3611.8.3 The IRB Approachl监管人员将资本金建立在风险价值度的基础上，而风

39、险价值度的计算要选择1年展望期及99.9%的置信水平。l他们认为，金融机构在定价时已经考虑到了预期亏损（例如，银行贷款的利息是为了覆盖贷款预期亏损），资本金应该等于风险价值度减去预期亏损。l假设某银行具有一个大数量的贷款义务人，每个义务人在1年内违约概率均为PD，义务人之间的Copula相关系数均为，下式显示的是在99.9%的把握之下，违约率违约率不会超过的数量： .NPDNNWCDR-1)9990()(11Numerical Results for WCDRTable 11.4, page 236 Risk Management and Financial Institutions 2e,

40、Chapter 11, Copyright John C. Hull 2009PD=0.1%PD=0.5%PD=1%PD=1.5% PD=2%=0.0 0.1% 0.5% 1.0% 1.5% 2.0%=0.2 2.8% 9.1%14.6%18.9%22.6%=0.4 7.1%21.1%31.6%39.0%44.9%=0.6 13.5%38.7%54.2%63.8%70.5%=0.8 23.3%66.3%83.6%90.8%94.4%41l对于一个资产组合，每个资产违约概率为PD，Copula相关系数均为，有99.9的可能，资产的损失小于：*iiiW CDRLGDEAD 其中， 为第i个交易对手

41、在违约时的风险敞口，是指在违约发生时，第i个交易对手所欠的数量， 是关于第i个交易对手的违约损失率。iEADiLG Dl违约造成的预期亏损为：l所以资本金资本金等于99.9%置信区间所对应的最糟糕的损失减去预期损失，即：*iiiPDLGDEAD*()iiiWCDRPDLGDEAD11.9 Operational Risk CapitallBasic Indicator Approach: 15% of gross incomelStandardized Approach: different multiplicative factor for gross income arising from

42、 each business linelInternal Measurement Approach: assess 99.9% worst case loss over one year.Risk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 20094411.10 Supervisory Review Changes lSimilar amount of thoroughness in different countrieslLocal regulators can adjust parameters to suit local conditionslImportance of early intervention stressedRisk Management and Financial Institutions 2e, Chapter 11, Copyright John C. Hull 20094511.11 Market Disciplin