徐慶標(biāo)準(zhǔn)法與內(nèi)部評級法的權(quán)衡(完整版)
【正文】 ection and transformation 變量的選擇及轉(zhuǎn)化 Case Continued (案例續(xù) ) Structural relationship/Strong correlated Variables/ discussion with users (變量的相關(guān)性 /與用戶討論 ) ? Model estimation process (模型開發(fā)過程 ) Sample preparation/Type of models/Type of statistical models/Construction of rating classes 樣本準(zhǔn)備 /模型類別 /統(tǒng)計(jì)模型類別 /分級 ? Initial model validation (模型初始認(rèn)定 ) Sample population/statistics to determine the accuracy of the model 模型認(rèn)定樣本 /確認(rèn)模型準(zhǔn)確度的統(tǒng)計(jì)數(shù)據(jù) ? Model selection and assigning risk ponent values 最終的模型選擇及風(fēng)險(xiǎn)系數(shù)確定 Process of model selection/determination of a mean PD/LGD/EAD for rating classes(模型選擇過程 /確定各級的平均 PD/LGD/EAD) ? Issues for future models (遺留問題 ) ? Implementation issues (實(shí)施相關(guān)的問題 ) Data Requirement (原始數(shù)據(jù)要求 ) Remarks (幾點(diǎn)看法 ) ? 1988 Capital Accord was a tremendous success on the global basis, CBRC still applies the basic principles 從全球來看 ,巴塞爾 I是非常成功的 , 現(xiàn)時(shí)中國銀監(jiān)會的資本監(jiān)管 (全球大部分地區(qū) )也是基于該資本協(xié)議 ? The ?new Accord?: (新資本協(xié)議 ) – May imply increases in the capital for mediumsmall banks. 對中小的資本有可能有增加 – Regarding imple
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