【正文】 ....................................................................................... 18 (iv) 期限錯(cuò)配 .................................................................................................... 18 (v) 其他問(wèn)題 .................................................................................................... 19 3. 抵押 ......................................................................................................................... 19 (i) 合格的金融抵押品 ..................................................................................... 19 (ii) 綜合法 ....................................................................................................... 20 (iii) 簡(jiǎn)單法 ....................................................................................................... 27 (iv) 抵押的場(chǎng)外衍生工具交易 .......................................................................... 27 4. 表內(nèi)凈扣 ............................................................................................................. 28 5. 擔(dān)保和衍生工具 .................................................................................................. 28 (i) 操作要求 .................................................................................................... 28 (ii) 合格的擔(dān)保人 /信用保護(hù)提供者的范圍 ...................................................... 30 (iii) 風(fēng)險(xiǎn)權(quán)重 .................................................................................................... 30 (iv) 幣種錯(cuò)配 .................................................................................................... 30 (v) 國(guó)家擔(dān)保 .................................................................................................... 31 6. 期限錯(cuò)配 ............................................................................................................. 31 (i) 期限的定義 ................................................................................................ 31 (ii) 期 限錯(cuò)配的風(fēng)險(xiǎn)權(quán)重 ................................................................................. 31 7. 與信用風(fēng)險(xiǎn)緩釋相關(guān)的其他問(wèn)題的處理 ................................................................. 32 (i) 對(duì)信用風(fēng)險(xiǎn)緩釋技術(shù)庫(kù)的處理 .................................................................. 32 (ii) 第一違約的信用衍生工具 .......................................................................... 32 (iii) 第二違約的信用衍生工具 32 III. 信用風(fēng)險(xiǎn) —— IRB 法 ....................................................................................................... 32 A. 概述 ................................................................................................................... 32 B. IRB 法的具體要求 ...................................................................................................... 32 1. 風(fēng)險(xiǎn)暴露類別 ...................................................................................................... 33 (i) 公司暴露的定義 ........................................................................................ 33 (ii) 主權(quán)暴露的定義 ........................................................................................ 35 (iii) 銀行暴露的定義 ........................................................................................ 35 (iv) 零售暴露的定義 ........................................................................................ 35 (v) 合格的循環(huán)零售風(fēng)險(xiǎn)暴露的定義 ............................................................... 35 (vi) 股權(quán)暴露的定義 ........................................................................................ 36 (vii) 合格的購(gòu)入應(yīng)收帳款的定義 ...................................................................... 36 2. 初級(jí)法和高級(jí)法 .................................................................................................. 37 (i) 公司、主權(quán)和銀行暴露 ............................................................................. 38 (ii) 零售暴露 .................................................................................................... 38 (iii) 股權(quán)暴露 .................................................................................................... 39 (iv) 合格的購(gòu)入應(yīng)收帳款 ................................................................................. 39 3. 在不同資產(chǎn)類別中采用 IRB 法 ........................................................................... 39 4. 過(guò)渡期安排 ......................................................................................................... 39 (i) 采用高級(jí)法的銀行平行計(jì)算資本充足率 .................................................... 40 (ii) 公司、主權(quán)、銀行和零售暴露 .................................................................. 40 18 (iii) 股權(quán)暴露 .................................................................................................... 40 C. 公司、主權(quán)、及銀行暴露的規(guī)定 ............................................................................... 41 1. 公司、主權(quán)和銀行暴露的風(fēng)險(xiǎn)加權(quán)資產(chǎn) ............................................................. 41 (i) 風(fēng)險(xiǎn)加權(quán)資產(chǎn)的推導(dǎo)公式 .......................................................................... 41 (ii) 中小企業(yè)的規(guī)模調(diào)整 ................................................................................. 41 (iii) 專業(yè)貸款的風(fēng)險(xiǎn)權(quán)重 ................................................................................. 42 2. 風(fēng)險(xiǎn)要素 ............................................................................................................. 42 (i) 違約概率 (PD) ........................................................................................... 43 (ii) 違約損失率 (LGD) ................................................................................... 43 (iii) 違約風(fēng)險(xiǎn)暴露 (EAD) ................................................................................. 43 (iv) 有效期限 (M) ............................................................................................. 47 D. 零售暴露規(guī)定 ................................................................................................