章节6协议么峥任务1讲义basel accord

Basel地点： OperationalandIntegratedRiskManagement–IntroductionofIntroductionofBasel1Basel2Basel32-IntroductionIntroductionofBaselBackgroundBasicRisk-WeightedExpectedLossandUnexpectedEvolutionofBaselBasel1996BaselBasel3-IntroductionofBaselAccord–Background先来了解一下传统的商业银行运营模存款 银 借款4-IntroductionofBaselAccord–Background问题来了，这种运营模 着风借款人有可能不出信用风出现损损失 承担呢存款人所以银行必须预所以银行必须预留自己的钱来弥补可能出现的损失，这个钱就叫资本5-IntroductionofBaselAccord–Background银行又开始自己 业务 着新的风险——市场风债 外

大宗商 6-需要发展相应的管 需要发展相应的管 发生时银行操作风险损失描1994信孚银宝洁以信孚银行未为向其充分揭示复杂的互换风险而导致1.57亿损失为年英国巴林新加坡分行员隐告日 指数的亏损，最终损失141995大和纽约分行隐瞒国债亏损，损失超过111997英国国民西敏寺银隐瞒衍生产品亏损，损失7700万英2002爱尔兰联合银员，用虚假隐瞒亏损，损失72003多米尼加国际导致22亿损失，约占国家2008法国银员操作，巨亏49亿欧JP投资银一项“合成对冲”的，该行在近一个多月时间里巨亏至少207-IntroductionofBaselAccord–BasicEconomicEconomiccapital(EC)isaninternal decisionbyseniormanagementandtheThechoiceoftheconfidencelevelandtheriskhorizonarekeyparametersthatshouldbesetbytheseniormanagementofthebankandendorsedbytheboard.Thedeterminationofeconomiccapital,anditsallocationtothevariousbusinessunits,isastrategicdecisionprocessthataffectstherisk/returnperformanceofthebusinessunitsandthebankasawhole.RegulatoryRule-basedwiththeintentiontoensureenoughcapitalisinthesystem.Regulatorycapitalhasamacro-prudentialInfact,mostfinancialinstitutionsholdmorecapitalthantheregulators8-IntroductionofBaselAccord–BasicRisk-WeightedAssetsRWAisabank’sassetsweightedaccordingtorisk.ThissortofassetcalculationisusedindeterminingthecapitalrequirementorCapitalAdequacyRatioforafinancialinstitution. 的窘境！银行 重为20%；9-IntroductionofBaselAccord–BasicExpectedLossandUnexpected

10-IntroductionIntroductionofBaselAccord–EvolutionofBaselEvolutionofBaselTheBaselCapitalAccord(BaselI),concludedonJuly15,1988,setcapitalchargesagainstcreditriskbasedonasetofrelativelysimpleCapitaladequacyrequirementsagainstmarketriskwereaddedBaselIinInJune2004,BaselIIcreatedmorerisk-sensitivecapitalandaddedachargeagainstoperationalThecreditcrisisthatstartedin2007revealedseriousweaknessesintheregulatoryframework.Thisledtoanewroundofrevisions,whichareinformallycalledBaselIII.11-IntroductionofBaselAccord–BaselBaselI–CreditRequiresbankstoholdaminimumlevelofcapitalofatleast8%ofthetotalrisk-weightedassets(RWA).RWAincludeon-balance-sheetandoff-balance-sheetitems,usingriskweightsthatprovidedaroughclassificationofassetsbycreditrisk.Someassets,suchasdebentures,areassignedahigherriskthanothers,suchascashorernmentsecurities/bonds.12-IntroductionofBaselAccord–BaselOn-Balance-SheetOn-Balance-SheetRiskOff-Balance-SheetRiskToaccountforoff-balance-sheetitems,suchasguarantees,letterofcredit,creditlines,theBaselAccordcomputesacreditexposurethatisequivalenttothenotionalforaloan,throughcreditconversionfactors.Otherderivatives,suchasswaps,forwards,andoptionsoncurrency,aregivenspecialtreatmentduetothecomplexityoftheirexposures.13-IntroductionofBaselAccord–19961996Amendment–CreditRisk+MarketAddedacapitalchargeformarketrisk.Banksareallowedtouseeitherastandardizedmodeloraninternalmodelsapproach(IMA),basedontheirownriskmanagementsystem.Theamendmentseparatesthebank’sassetsintotwocategories,thetradingbookandthebankingbook.Thetradingbookrepresentsthebankportfoliowithfinancialinstrumentsthatareintentionallyheldforshort-termresaleandtypicallymarkedtomarket.Thebankingbookconsistsofotherinstruments,mainlyloans,thatareheldtomaturityandtypicallyvaluedonahistoricalcostbasis.14-IntroductionofBaselAccord–BaselBaselII–Credit+Market+Pillar1:MinimumCapitalBanksnowhaveawiderchoiceofmodelsforcomputingtheirriskBCBSstilltriedtokeepconstantthetotallevelofcapitalintheglobalbankingsystem,at8%ofrisk-weightedassets.Pillar2:SupervisoryReviewProcess.SupervisorsneedtoensureBankshaveaprocess ceforassessingtheircapitalinrelationBanksindeedoperateabovetheminimumregulatorycapitalCorrectiveactionistakenassoonaspossiblewhenproblemsPillar3:MarketEmphasizestheimportanceofriskdisclosuresinfinancial15-IntroductionofBaselAccord–BaselBaselIII-Credit+Market+Thegoalofthisnewsetofrulesistostrengthentheresilienceofthesystembyincreasingtheamount,quality,andcoverageofMajorRaisingcapitalstandards,bothintermsofquality ty.InthetransparencyandconsistencyofbankcapitalwillbeStrengthentheriskcoverageofthecapitalframeworkbyincreasingcapitalrequirementsfortradingbooksandcomplexoff-balancesheetexposures.Requiringaleverageratiotosupplementrisk-basedcapitalPromotingcountercyclicalbufferstooffsettheprocyclicalamplificationoffinancialshocks.Institutingpoliciestoaddresssystemicriskandtheinterconnectednessofthefinancialsector.Institutingagloballiquiditystandard,whichwillincludeliquidityratios,netstablefundingratios,andtheuseofmonitoring16-OperationalandIntegratedRiskManagement–IntroductionofIntroductionofBasel1Basel2Basel317-BaselBaselScopeofDefinitionofCapitalCreditRiskMarketRiskOperationalRiskMarket18-BaselII–ScopeofTheBaselIIAccordisdesignedtoapplytoallinternationallyactivebanks.TheAccordcoversanyholding thatmaybetheparentofotherentitiesinvolvedinbankingactivities,anditlooksattheentiregrouponaconsolidatedbasis.Tothegreatestextentpossible,allbankingandotherrelevantfinancialactivitiesconductedwithinagroupcontaininganinternationallyactivebankwillbecapturedthroughconsolidation.19-BaselII–20-BaselBaselII–DefinitionofTheBaselCapitalAdequacyrulesTherearethreecategoriesofbankcapital:Tier1,Tier2,andTier3.Tier1capitalhasthemoststringentdefinition,whileTier3hastheleast-strictTotalcapital(tier1andtier2)tobeatleast8%ofrisk-weightedassetsTier2capitalislimitedto100%ofTier1Tier1Capital(CoreIncludesequitycapitalanddisclosedreserves,mostnotablyafter-taxretainedEquitycapitalorshareholders’fundsconsistofissuedandfullypaidcommonstockandnonredeemable,noncumulativepreferenceshares.Goodwillisalwayssubtractedfrombookequity.Disclosedreservescorrespondtosharepremiums,retainedprofits,andgeneralreserves.21-BaselII–DefinitionofTier2Capital(SupplementaryUndisclosedReserves:ReservesthatpassedthroughthestatementbutremainAssetRevaluationReserves:arisefromlong-termholdingsofsecuritiesthatarevaluedathistoricalacquisition HybridDebtCapitalInstruments:combinesomecharacteristicsequityandofdebt(cumulativepreferenceSubordinatedTermDebt:withaminimumoriginalmaturityofTier3Capital(ForMarketRiskShort-TermSubordinatedDebt:withamaturityofatleasttwoyears.Thisiseligibletocovermarketriskonly.22-BaselII–CapitalBanksarerequiredtocarryenoughcapitaltoexceedthesumofthecreditriskcharge(CRC),themarketriskcharge(MRC),andtheoperationalriskchargeTotalCapitalCRCMRCThecreditriskchargeis8%ofcreditrisk-weightedTheMRCandORCarecomputedusinganother multiplicationofthemarketriskchargeandoperationalriskchargeby23-BaselII–CapitalIfabankhas$875increditrisk-weightedassetsandMRC=andORC=$20,thedenominatoriscomputed Thebankthenhastoholdatleast8%×1,250=$100incapitaltosatisfytheminimumrequirement.Thisisequivalenttosayingthatthetotalchargemustbeatleast:8758%102024-BaselII–CapitalofApproachestoMeasureRiskAllowedStandardizedInternalRatings-BasedStandardizedApproachBasicIndicatorApproachStandardizedApproachAdvancedMeasurement25-BaselII–CreditRiskInthestandardizedapproachformeasuringcreditrisks,theriskweightsappliedtoclaimsonsovereigns,banksandcorporationsdependontheassessmentsmadebyexternalcreditassessmentinstitutionsrecognizedbysupervisors.Dependingontheexternalriskscore,ratedclaimsaregivenaweightof0%,20%,50%,100%or150%.Unratedclaimsaregiven100%risk

26-BaselII–CreditRiskInternalRatings-Based(IRB)TheIRBapproachisbasedonmeasuresofunexpectedlosses(UL)andexpectedlosses(EL).Therisk-weightfunctionsproducecapitalrequirementsfortheULportion.ThecapitalrequirementintheIRBapproachisdetermined–apartfromaconstantof8%-astheproductofEADandtheresultoftheriskweightfunction,whichhingesonthefollowingriskparameters:PD,LGDandM.RWAcapitalrequirementK12.5exposureatKLGDPDfThecalculationofthecapitalrequirement(K)isitselfafunctionofLGD,maturityadjustment(M),andamaturityadjustmentfactor,relatedtoEAD27-BaselII–CreditRiskTheriskcomponentsincludemeasuresoftheprobabilityofdefault(PD),lossgivendefault(LGD),theexposureatdefault(EAD),andeffectivematurity(M).Insomecases,banksmayberequiredtouseasupervisoryvalueasopposedtoaninternalestimateforoneormoreoftheriskcomponents.Underthefoundationapproach,theeffectivematurityisassumedto2.5years,whiletheeffectivematurityiscalculatedindividuallyonPDundertheadvancedIRBSomeofthebenefitsofswitchingfromthestandardmethodmaybedelayedbecausethecapitalrequirementunderIRBcannotbelessthan90%ofthecapitalrequirementthepreviousyearorlessthan80%ofthepriorrequirementaftertwoyears.28-BaselII–CreditRiskAsymptoticSingleRiskFactor(ASRF)

×将正态分布函数应用于违约临界值和系统风险因的保守估计值 之和，计算出条件违约1 1

1M

以相关系数R数作为权

29-BaselII–CreditRiskConditionalEL–EL:ConditionalELincludesELandUL,thedifferencebetweenconditionalELandELresultsinthenecessarycapitalforULonly.RegulatoryguidelinesrequireELtobecoveredbyprovisionsandearningsandtherefore,shouldnotbeusedtoestimateConditionalEL=DownturnLGD×conditionalDownturnLGDisanestimateofprobablelossesduetoConditionalPD(alsocalledWCDR)=N{…}:AveragePDsare PDs 30-BaselII–CreditRiskR:Assetcorrelationtothesinglesystematicriskfactor.Highcorrelationisoftenassociatedwithlargecorporateloansascorporatereturnsarecloselyrelatedtosystematicconditions.0.999:systematicriskGistheinversenormalMaturityAdjustment:Long-termcreditsareriskierthanshort-termcreditsandtherefore,capitalrequirementsshouldincreasewithmaturity,M.ForM=1,thematurityadjustmentequalsoneanddropsb(PD):MaturityeffectsareincreasedwithlowPDsbecause,lowPDshavemoreopportunityfordowngradesthanhigher31-BaselII–CreditRiskFoundationInternalRatings-BasedApproach(FIRBApproach)Banksestimatetheprobabilityofdefaultandsupervisorssupplyotherinputs,whichcarryoverfromthestandardizedapproach.Retailloanshavemuchlowerriskweightsthantheothercategories, AdvancedInternalRatings-Approach(AIRBBankscansupplyother(LGD、EAD)asButformulaisthe32-BaselII–CreditRiskAssetTheStandardizedApproachtoestimatingsecuritizationtreatsassetsratedBaa3orbettersimilartoothercreditTheIRBapproachtoestimatingsecuritizationexposuresdoesnotallowinternalestimatesofPD,LGD,orotherparameters.Therefore,thereisnodifferencebetweenthefoundationIRBandadvancedIRBasfarassecuritizationriskinconcerned.TheIRBapproachthreemethodstocalculatethecapitalExternalRatings-BasedApproachSupervisoryFormulaInternalAssessmentApproach33-BaselII–MarketRiskThebank’smarketriskchargeisfirstcomputedindividuallyforportfoliosexposedtointerestraterisk(IR),equityrisk(EQ),foreignexchange(FX)risk,commodityrisk(CO)andoptionrisk(OP),usingspecificguideline.Thebank’stotalriskisthenobtainedfromthesummationofrisksacrossthesecategories.

MRCEQMRCFXMRCCOt55

34-BaselII–MarketRiskInternalModelsApproachtativeAhorizonof10tradingdays,ortwocalendarweeks;bankscan,scaletheirdailyVaRbythesquarerootofA99%confidenceAnobservationperiodbasedonatleastayearofhistoricaldataor,ifanon-equal-weightingschemeisused,anaveragetimelagofatleastsixAtleastquarterlyupdating,orwheneverpricesaresubjecttomaterialchanges;the2009revisionsrequireaminimummonthlyupdate.MarketRiskThegeneralmarketcapitalchargeshallbesetatthehigherofthepreviousday’sVaR,ortheaverageVaRoverthepast60businessdaystimesamultiplicativefactork.Theexactvalueofthismultiplicativefactoristobedeterminedbylocalregulators,subjecttoanabsolutefloorof3.35-BaselII–MarketRiskPlusApenaltycomponent,calledplusfactor,shallbeaddedtothemultiplicativefactor,k,ifverificationoftheVaRforecastsrevealsthatthebanksystematicallyunderestimatesitsrisks.36-tMaxtMax, t1tInWhereVaRt–iisthebank’sVaRovera10-dayhorizonatthe99%levelofconfidenceandSRCisthespecificriskcharge.Here,thefactorkreflectsboththemultiplicativeandtheplusfactors.Banksthatusetheinternalmodelsapproachformeetingmarketriskcapitalrequirementsmusthaveincearigorousandcomprehensivestresstestingprogram.37-BaselII–OperationalRiskBasicIndicatorApproachIntheBasicIndicatorApproach,banksmustholdcapitalforoperationalriskequaltoafixedpercentageofpositiveannualgrosseoverthepreviousthreeyears:K alpha ThetwofactorsrequiredAverageannualgrosse:thisistakenastheaverageofpositivegrossenumbersoverthepastthreeyears.Negativevaluesareexcluded.Afixedmultiplierpercentage(currentlysetat38-BaselII–OperationalRiskStandardizedApproachInSA,bank’sactivitiesdividedintoeightbusinessWithineachbusinessline,grosseisa forscale.Capitalchargeisgrosseofbusinesslinemultipliedbyafactor(calledTradingandCorporatePayment,CommercialTradingandCorporatePayment,CommercialAgencyRetailRetailAsset39-BaselII–OperationalRiskAdvancedMeasurementApproachUnderAMA,bankemploysinternaloperationalriskmeasurementsystem(mustmeet tativeandqualitativecriteria).TheBaselrequirementsfortheAMAareextremelyflexibleaslongastheapproachesarecomprehensiveinaddressingoperationalrisksandsystematicintheirimplementation.TheelementsofanAMAsystemmustInternalExternal InternalControl&BusinessEnvironmentUnderAMA,internalmeasuresmustbebasedonaminimumoffiveyearsofdata.However,whenabankfirstmovestotheAMAonlythreeyearsofinternaldataisneeded.ThecapitalchargeforAMAiscalculatedasthebank’soperationalvalueatwithaone-yearhorizonanda99.9%confidenceUnderAMA,firmsareencouragedtousethelossdistributionapproach40-BaselII–SupervisoryPrincipleBanksneedaprocessforassessingtheiroverallcapitaladequacyinrelationtotheirriskprofileandastrategyformaintainingtheircapitallevels.PrincipleSupervisorsshouldreviewandevaluatebanks’internalcapitaladequacyassessmentsandstrategies,aswellastheirabilitytomonitorandensuretheircompliancewithregulatorycapitalratios.Supervisorsshouldtakeappropriatesupervisoryactioniftheyarenotsatisfiedwiththeresultofthisprocess.PrincipleSupervisorsshouldexpectbankstooperateabovetheminimumregulatorycapitalratiosandshouldhavetheabilitytorequirebankstoholdcapitalinexcessoftheminimum.PrincipleSupervisorsshouldseektointerveneatanearlystagetopreventcapitalfromfallingbelowtheminimumlevelsrequiredtosupporttheriskcharacteristicsofaparticularbankandshouldrequirerapidremedialactionifcapitalisnotmaintainedorrestored.41-BaselII–SupervisoryThesupervisors’duties,aspartoftheSupervisoryReviewincludethe transparency

AssessriskswhicheitherarenotincludedorarenotproperlycoveredinPillar1,includinglegalrisks, ationrisks,liquidityrisks,creditconcentrationrisks,andoperationalrisks.Assesstheinternalcapitalmanagementmethodsemployedbythebank,includingtheiradequacyandwhetherornothighercapitallevelsarerequired.Reviewinternalcontrol42-BaselII–Market43-BaselII–MarketProceduresTherequirementofgeneraldisclosureswithspecificinthecaseofThe of mendations”ifdisclosuresTheprovisionofguidelinesforformaldisclosure byabank’sboardofdirectors.Thisdisclosure includeinformationrelatedtothebank’sfinancialconditionandperformance,andassessmentoftheeffectivenessoftheTherequirementofbankstoregularlypublishfinancialthatfairlyreflecttheirfinancial44-BaselII–MarketThespecificationofremedialguidelinesforTherecognitionofcost-benefittradeoffsbetweenreleasingtooinformationandnotenoughThedisseminationofrelevantmaterialinformationbetween cost- proprietaryinformationandcreatinganundueburdenonthe 45-ABCBank’scurrentassetsandcapitalareprovidedinthetableRisk-WeightedUSDTotalRisk-WeightedforCreditTotalCapitalChargeforMarketTotalCapitalChargeforOperationalTotalWithrespecttotheBaselII,whatisABC’scurrentratiooftotalcapitaltorisk-weighted46-Whatisthebestdefinitionoftier1regulatoryEquitycapital,retainedearnings,disclosedSubordinateddebt,undisclosedEquitycapital,subordinateddebtwithamaturitygreaterthanfiveLong-termdebt,revaluationConsiderabankbalancesheetwith(1)commonstockofUSD(2)unrealizedlong-termmarketableequitysecuritiesgain:USD5,000,000;(3)allowanceinanticipationofpossiblecreditlosses:USD5,000,000;(4)goodwill:USD30,000,000.Basedsolelyonthisinformation,thetier1andtier2capitalnumbersare,USD595,000,000,USDUSD570,000,000,USDUSD600,000,000,USDUSD630,000,000,USD47-AccordingtotheBaselIIAccord,“Atthediscretionoftheirnationalauthority,banksmayalsouseathirdtierofcapital(Tier3),consistingofshort-termsubordinateddebtforthesolepurposeofmeetingaproportionofthecapitalrequirementsfor,”whichofthefollowing?MarketriskchargesCreditriskchargesMarketriskandcreditriskAlltypesofriskWhichofthefollowingstatementsabouttheBaselIIcapitalrequirementsis internationallyactiveItaddressesonlycreditriskandmarketU.S.insurancecompaniesarenotrequiredtocomplywithBaselIIBanksarenotallowedtousetheirinternalmodelsforcreditriskinthecapitalrequirementsforcredit48-WhichofthefollowingstatementsisnotcorrectaboutthefoundationIRBandtheadvancedIRBapproachesforcreditriskcapitalchargesinBaselUndertheadvancedIRBapproach,banksareallowedtousetheirownestimatesofPD,LGD,EAD,andcorrelationcoefficientbutmustusetheriskweightfunctionsprovidedbythesupervisors.UnderthefoundationIRBapproach,banksprovidetheirownofPDandrelyonsupervisoryestimatesforotherriskBanksadoptingtheadvancedIRBapproachareexpectedtocontinuetoemploythisapproach.Avoluntaryreturntothestandardizedapproachispermittedonlyinextraordinarycircumstances.UnderbothfoundationIRBandadvancedIRBapproaches,theexpectedlossisnotincludedinthecreditriskcapitalcharge.49-Whichofthefollowingapproachescanbeusedtocomputeregulatorycapitalundertheinternalratings-based(IRB)approachforsecuritizationexposuresundertheBaselIIframework?Ratings-BasedApproachInternalAssessmentApproachInternalModelsApproachIandI,II,andIIIC.II,III,andIVD.I,III,andIV50-AsariskmanagerforBankABC,Johnisaskedtocalculatethemarketriskcapitalchargeofthebank’stradingportfoliounderthe1996internalmodelsapproach.TheVaR(95%,one-day)ofthelasttradingdayisUSD30,000;theaverageVaR(95%,one-day)forthelast60tradingdaysisUSD20,000.Themultiplierisk=3.Assumingthereturnofthebank’stradingportfolioisnormallydistributed,whatisthemarketriskcapitalchargeofthetradingportfolio?USDUSD189,737C.USD268,200D.USD134,59451-ABCisasmallbankwhoseonlybusinesslineisretailbanking.AssumingABCiseligibletochooseanyBaselIIapproachforoperationalrisk,whichBaselIIapproachwillminimizeABC’soperationalriskcapitalcharge?BasicIndicatorBoththeBasicIndicatorApproachandtheStandardizedhavethesameoperationalriskchargeforWhichofthefollowingisnotincludedasanelementincalculatingoperationalriskcapitalundertheAdvancedMeasurementApproach?ExternalKeyriskFactorsreflectingthebusiness 52-OperationalandIntegratedRiskManagement–IntroductionofIntroductionofBasel1Basel2Basel353-BaselReasonsfortheCapitalMarketCapitalConservationLeverageLiquidityBaselII/IIIandSolvency54-BaselBaselIII–ReasonsfortheThereareseveralreasonstheCommitteehasactedatthistime,manyofwhicharerelatedtotheproblemsthatleadtoandexacerbatedtherecentfinancialcrisis:Excessiveon-andoff-balancesheetleverageatbanksAgradualerosionoftheamountofcapitalandthequalityofthecapitalbaseinbanksacrosstheglobe.Insufficientliquidityatmanybanks,whichmadeitimpossibleforthebankingsystemtoabsorbtheshocksandultimatetradingandcreditlosses.Theinabilityofthebankingsystemtohandlethelargeoff-balancesheetexposuresthathadbeencreatedovertimebuthadtobedealtwithinarelativelyshorttimeframe.Thesystemwasnotsetuptohandlemajoroff-balancesheetsrisksorderivative-relatedexposures.ThesystemicriskthatresultedfrominterconnectednessofcommercialinvestmentbanksthatintheendspreadtotherealProcyclicalAlossofconfidenceinthebankingsystem,specificallywithrespecttosolvencyandliquidityofmanyfinancial55-BaselIII–56-BaselIII-CapitalBriefThedefinitionofwhatconstitutesacceptablecapitalwaschangedtoexcludedsomecomponentsthatturnedoutnottoprovidethedesiredprotectionduringthecreditcrisis.BaselIIIincreasestheminimumcapitalratioforcoretier1capitalfrom2%to4.5%.Tier1capitalisincreasedfrom4%to6%.Totalcapitalisstillkeptataminimumof8%.Coretier1capitalexcludespreferredequity.Withintier1capital,someportionofequitythatrepresentsminorityinterestinoverseassubsidiarieshasbeendisallowed.BaselIIIabolishestier357-BaselIII-CapitalCommonEquityTier1CapitalconsistsofthesumoftheCommonsharesissuedbytheStocksurplus(paid-inRetainedCommonsharesissuedbyconsolidatedsubsidiariesoftheheldbythirdparties(minorityAccumulatedandothercomprehensive eandotherdisclosedreserves.Notethatunrealizedgainsorlossesrecognizedonthebalancesheetareunderreview,butatthispoint,noadjustmentsarebeingmadetoremovethemfromTier1capital.RegulatoryadjustmentsappliedtothecalculationofCommonTier158-BaselIII-CapitalTobeclassifiedascommonsharesforregulatorypurposes,thecriteriaisasShareshavethemostsubordinatedclaiminthecaseofInvestorshavearesidualclaimtotheTheprincipalisperpetualandisneverrepaidoutsideofaInvestorsmustnotexpectabuybackoftheirstock,eventhoughonemightCommonstockholderstakethefirstandproportiona ygreatestshareofanylossesthatoccur.ThecapitalisnotrecognizedasaliabilitybutasequityThestockisdirectlyissuedandpaid-in,withnomechanismforthebankdirectlyorindirectlyprovidethefundsforthepurchaseoftheAdditionalTier1capitalmustbecomprisedofsecuritiesthataresubordinated,havefullydiscretionary,non-cumulativedividendsorcoupons,andbeperpetualwithnoincentivetoredeem.59-BaselIII–MarketMarketRiskThe2009revisionsaddastressVaR(SVaR)andanincrementalcharge tkVaR,VaRkSttThestressedvalueatrisk(SVaR)shouldbecalculatedonaweeklybasis.Thismeasureiscalculatedbycombiningcurrentportfolioperformancedatabasedonthe10-day,99%confidenceintervalwiththefirm’shistoricaldatafromasignificantlyfinancialstressedperiodofthesameportfolio.60-BaselIII–MarketThemultiplicationfactorkandkswillbesetbyindividual onthebasisoftheirassessmentofthequalityofthebank’sriskmanagementsystem,subjecttoanabsoluteminimumof3forkandanabsoluteminimumof3forks.Bankwillberequiredtoaddtothesefactorsa“plus”directlyrelatedtotheex-postperformanceofthemodel,therebyintroducingabuilt-inpositiveincentivetomaintainthepredictivequalityofthemodel.Thepluswillrangefrom0to1basedontheeofso-called“backtesting”.ThebacktestingresultsapplicableforcalculatingtheplusarebasedonVaRonlyandnotstressedVaR.61-BaselIII–MarketSpecificRiskCharge(SRC)isabufferagainstidiosyncraticfactorsrelatedtoindividualbondandequityissuers.Therearetwoapproachesfordeterminingcapitalchargesforspecificriskunderasecuritizationframework:(1)thestandardizedapproachand(2)theinternalratings-based(IRB)approach,bothofwhichutilizeexternalcreditratings.Incrementalriskcharge(IRC)thatcovers(1)defaultriskand(2)creditmigrationriskfordebtinstruments.TheIRCisbasedonanincrementalriskmeasure(IRM),calibratedtoa99.9%confidenceleveloveroneyear,computedonatleastaweeklybasis.IRCMax

t1 62-BaselIII–OperationalOperationalrisklossesarisesonlyfromoperationalriskevents.Arecoveryisrelatedtoalossbutisindependentofthelossandseparateintime.Inarecovery,fundsarereceivedfromathirdparty.Banksshouldbeabletoidentifyingbothlossesandrecoveries,includinginsuranceTheBaselCommitteedefinesgrosslossatthelossbefore accountedfor.

AsinputsforitsAMAmodels,abankcaneitherusethegrosslossamountfromariskeventorthelossamountnetofrecoveriesexceptforinsurancerecoveries.63-BaselIII–OperationalSelectingInternalLossReferenceThereareseveralrelevantdatesrelatedtoloss(i.e.,datesthathaverelevantinformationregardingtheoperationalloss),includingthedateoftheevent’soccurrence,thedateofdiscovery,thedateofcontingentliability,thedateofthefirstfinancialimpact,andthedateoftheAbankmaychooseonereferencedateforriskandanother ficationTheBaselCommitteemendsaconvergenceofpracticeinhowlossesarerecordedsothattherewillnotbedifferencesincapitalrequirementsforsimilarriskevents.Thebottomlineisthatabankshouldchooseanobservationthatdoesnotexcludematerialloss64-BaselIII–OperationalTheoperationalriskmanagementframework(ORMF)istheumbrellaunderwhichalloperationalriskmanagementoperationsfall.AccordingtotheBaselCommittee,soundinternalernanceformsthefoundationofaneffectiveORMF.Theoperationalriskmeasurementsystem(ORMS)includesallfactorsthatarecomponentsofriskmeasurementandmodelingsystemsusedtoestimateoperationalriskcapitalcharges.AllcomponentsoftheORMFandtheORMSmustbeverifiedand65-BaselIII–OperationalProvidesassuranceoftheintegrityoftheinputsinAMAoperationalriskcapitalmodels,theassumptionsusedinthemodels,bankprocesses,andmodeloutputs.ValidationallowsthebankadegreeofcertaintythatAMAmeasurementmethodologiesresultincredibleestimates