徐慶標(biāo)準(zhǔn)法與內(nèi)部評(píng)級(jí)法的權(quán)衡(已修改)
2025-05-31 04:15 本頁(yè)面
【正文】 Impact of Basel II on MediumSmall Banks in China (巴塞爾對(duì)中小銀行的影響 ) Qing Xu/ 徐慶 June, 2021 Contents/內(nèi)容 1. Credit risk capital measurement 信用風(fēng)險(xiǎn)資本的量化 2. Which approach is better? 那種方法更好 ? 3. What need to be answered from regulators? point of view? 我們需要從監(jiān)管者得到哪些要求 ? 4. How to proceed under current circumstances? 中小銀行如何實(shí)施 ? 1. 信用風(fēng)險(xiǎn)資本的量化方法 ? Basel I approach: several weightings are applied to different asset types, major advantage/disadvantage is “one size fits all”. 巴塞爾 I方法 : 一個(gè)權(quán)重對(duì)所有的企業(yè) ? Basel II approach: Standardized approach (Basel I modified) and IRB foundation and advanced approach, the major challenge is “one number fits all” 巴塞爾 II方法 :一個(gè)數(shù)字 (經(jīng)濟(jì)資本 )對(duì)所有的風(fēng)險(xiǎn) Basel I vs.. Basel II (Corporate/企業(yè) ) Basel I vs. Basel II (Banks/銀行 ) Sovereign and Retail 政府及零售業(yè)務(wù) Claims included in the regulatory retail portfolios: 75% 監(jiān)管批準(zhǔn)的零售組合 : 75% Claim secured by residential mortgage: 35% 個(gè)人住房按揭 : 35% Claim secured by mercial real estate: 100% 由商業(yè)物業(yè)抵押的資產(chǎn) : 100% 2. Which app
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