【文章內(nèi)容簡介】 2(i) Marketbased approach 市場法 ............................................................ 72(ii) PD/LGD approach 違約概率/違約損失率方法 ....................................... 73(iii) Exclusions to the marketbased and PD/LGD approaches 不采用市場法和違約概率/違約損失率法的情況 ....................................................... 742. Risk ponents 風(fēng)險(xiǎn)要素 ......................................................................... 75F. Rules for Purchased Receivables 購入應(yīng)收帳款的規(guī)則 .................................... 751. Riskweighted assets for default risk 違約風(fēng)險(xiǎn)的風(fēng)險(xiǎn)加權(quán)資產(chǎn) ................... 76(i) Purchased retail receivables 購入的零售應(yīng)收帳款 ............................... 76(ii) Purchased corporate receivables 購入的公司應(yīng)收帳款 ........................ 762. Riskweighted assets for dilution risk 稀釋風(fēng)險(xiǎn)的風(fēng)險(xiǎn)加權(quán)資產(chǎn) .................. 773. Treatment of purchase price discounts for receivables 應(yīng)收帳款購入折扣的處理 .............................................................................................................. 784. Recognition of credit risk mitigants 信用風(fēng)險(xiǎn)緩釋工具的認(rèn)定 ...................... 78G. Treatment of Expected Losses and Recognition of Provisions 預(yù)期損失的處理和準(zhǔn)備金的認(rèn)定 ....................................................................................................... 791. Calculation of expected losses 預(yù)期損失的計(jì)算 ......................................... 79(i) Expected loss for exposures other than SL subject to the supervisoryslotting criteria 監(jiān)管當(dāng)局規(guī)定分類標(biāo)準(zhǔn)的專業(yè)貸款以外的風(fēng)險(xiǎn)暴露的預(yù)期損失 .............................................................................................. 79(ii) Expected loss for SL exposures subject to the supervisory slotting criteria 監(jiān)管當(dāng)局規(guī)定分類標(biāo)準(zhǔn)的專業(yè)貸款的預(yù)期損失 ........................... 792. Calculation of provisions 準(zhǔn)備金的計(jì)算 ....................................................... 80(i) Exposures subject to IRB approach IRB 法下的風(fēng)險(xiǎn)暴露 ..................... 80(ii) Portion of exposures subject to the standardised approach to creditrisk 信用風(fēng)險(xiǎn)標(biāo)準(zhǔn)法下風(fēng)險(xiǎn)暴露部分 ...................................................... 803. Treatment of EL and provisions 預(yù)期損失和準(zhǔn)備金的處理 ......................... 80H. Minimum Requirements for IRB Approach IRB 法的最低要求 ............................. 811. Composition of minimum requirements 最低要求的內(nèi)容 ............................. 812. Compliance with minimum requirements 最低要求的合規(guī)性 ....................... 823. Rating system design 評級體系設(shè)計(jì) ........................................................... 82(i) Rating dimensions 評級難度 ................................................................. 82(ii) Rating structure 評級結(jié)構(gòu) ..................................................................... 84(iii) Rating criteria 評級標(biāo)準(zhǔn) ........................................................................ 84(iv) Rating assignment horizon 評估的時(shí)間跨度 ........................................ 85(v) Use of models 模型的使用 .................................................................... 86(vi) Documentation of rating system design 評級體系設(shè)計(jì)的記錄 .............. 864. Risk rating system operations 風(fēng)險(xiǎn)評級體系運(yùn)作 ........................................ 87(i) Coverage of ratings 評級的涵蓋范圍 .................................................... 87(ii) Integrity of rating process 評級過程的完整性 ........................................ 87(iii) Overrides 推翻評級的情況 .................................................................... 88(iv) Data maintenance 數(shù)據(jù)維護(hù) ................................................................. 88(v) Stress tests used in assessment of capital adequacy 評估資本充足率的壓力測試 .............................................................................................. 895. Corporate governance and oversight 公司治理和監(jiān)督 ............................... 90(i) Corporate governance 公司治理 ........................................................... 90(ii) Credit risk control 信用風(fēng)險(xiǎn)控制 ........................................................... 90(iii) Internal and external audit 內(nèi)審和外審 ................................................. 916. Use of internal ratings 內(nèi)部評級的使用 ........................................................ 917. Risk quantification 風(fēng)險(xiǎn)量化 ........................................................................ 91(i) Overall requirements for estimation 估值的全面要求 ............................ 91(ii) Definition of default 違約的定義 ............................................................ 92(iii) Reageing 重新確定帳齡 ....................................................................... 94(iv) Treatment of overdrafts 對透支的處理 .................................................. 94(v) Definition of loss for all asset classes 所有資產(chǎn)類別損失的定義 ........... 94(vi) Requirements specific to PD estimation 估計(jì)違約概率的要求 .............. 94(vii) Requirements specific to ownLGD estimates 自行估計(jì)違約損失率的要求 96(viii)Requirements specific to ownEAD estimates 自己估計(jì)違約風(fēng)險(xiǎn)暴露的要求 97(ix) Minimum requirements for assessing effect of guarantees and creditderivatives 評估擔(dān)保和信用衍生產(chǎn)品成熟性效應(yīng)的最低要求 ................ 98(x) Requirements specific to estimating PD and LGD (or EL) for qualifyingpurchased receivables 估計(jì)合格的購入應(yīng)收賬款違約概率和違約損失率（或預(yù)期損失）的要求 ......................... ........................................... 1008. Validation of internal estimates 內(nèi)部評估值的驗(yàn)證 ..................................... 1029. Supervisory LGD and EAD estimates 監(jiān)管當(dāng)局確定的違約損失率和違約風(fēng)險(xiǎn)暴露 ..................................................................................................... 103(i) Definition of eligibility of CRE and RRE as collateral 商用房地產(chǎn)和居民住房作為抵押品資格的定義 ................................................................. 103(ii) Operational requirements for eligible CRE/RRE 合格的商用房地產(chǎn)/居民住房的操作要求 ................................................................................... 103(iii) Requirements for recognition of financial receivables 認(rèn)定金融應(yīng)收賬款的要求 ................................................................................................. 10410. Requirements for recognition of leasing 認(rèn)定租賃的要求 ....................