【正文】
......................................... 122 3. Advanced Measurement Approach (AMA) ........................................................ 123 C. Qualifying criteria........................................................................................................ 123 1. General criteria ................................................................................................... 123 2. Standardised approach ....................................................................................... 124 3. Advanced measurement approaches ................................................................. 125 (i) Qualitative standards ................................................................................. 125 (ii) Quantitative standards............................................................................... 126 (iii) Risk mitigation............................................................................................ 129 D. Partial use .................................................................................................................. 130 VI. Trading book issues ....................................................................................................... 131 A. Definition of the trading book .................................................................................... 131 B. Prudent valuation guidance ...................................................................................... 132 1. Systems and controls ......................................................................................... 132 2. Valuation methodologies .................................................................................... 132 (i) Marking to market ..................................................................................... 132 (ii) Marking to model ...................................................................................... 133 (iii) Independence price verification ................................................................ 133 3. Valuation adjustments or reserves .................................................................... 134 C. Treatment of counterparty credit risk in the trading book ......................................... 134 D. Trading book capital treatment for specific risk under the standardised methodology .............................................................................................................. 135 1. Specific risk capital charges for government paper ........................................... 135 2. Specific risk rules for unrated debt securities .................................................... 135 3. Specific risk capital charges for positions hedged by credit derivatives ........... 136 4. Addon factor for credit derivatives .................................................................... 137 Part 3: The Second Pillar Supervisory Review Process ........................................... 138 A. Importance of supervisory review ............................................................................. 138 B. Four key principles for supervisory review ............................................................... 139 C. Specific issues to be addressed under the supervisory review process ................. 145 D. Other aspects of the supervisory review process .................................................... 151 Part 4: The Third Pillar Market Discipline .................................................................... 154 A. General considerations ............................................................................................. 154 1. Disclosure requirements .................................................................................... 154 2. Guiding principles ............................................................................................... 154 3. Achieving appropriate disclosure ....................................................................... 154 4. Interaction with accounting disclosures ............................................................. 155 5. Materiality ........................................................................................................... 155 6. Frequency............................................................................................................ 156 7. Proprietary and confidential information ............................................................. 156 B. The disclosure requirements...................................................................................... 156 1. General disclosure principle ................................................................................ 156 2. Scope of application ............................................................................................ 157 3. Capital.................................................................................................................. 158 4. Risk exposure and assessment ......................................................................... 159 (i) General qualitative disclosure requirement............................................... 160 (ii) Credit risk ................................................................................................... 160 (iii) Market risk ................................................................................................. 167 (iv) Operational risk.......................................................................................... 168 (v) Interest rate risk in the banking book ........................................................ 168 Annex 1 The 15% of Tier 1 Limit on Innovative Instruments ............................................ 169 Annex 2 Standardised Approach Impl