銀行業(yè)風(fēng)險管理新巴塞爾協(xié)定(參考版)
2025-01-15 17:06本頁面
【正文】 Operating Risk 信用風(fēng)險 Credit Charge 資金成本 Cost of Funds = + + 預(yù)期損失 Expected Loss (EL) 風(fēng)險資本 Capital at Risk (UL) 損失準(zhǔn)備以涵蓋 預(yù)期損失 Expected Loss (EL) 最低資本需求以涵蓋非預(yù)期損失 Unexpected Loss (UL) 風(fēng)險貼水 Risk Charges 作業(yè)成本 Overheads (監(jiān)控 /善後 ) + 違約率 (PD) Default Rate 損失率 (LGD) 1Recovery Rate 必要資金成本 Hurdle Rate (股東要求最低報酬 ) 風(fēng)險資本 Capital at Risk x Process Demographic History Transaction History NonCustomer Data Other History Balance Sheet History Rating History Relationship and Event Histories History Delinquency Input Output Predictions Credit Scoring system ?. ?Data Cleansing ?Statistical analysis ?Data mining ?Predictive Modeling Actual results BI and Forecasting Feedback Metadata, Audit, Integration 信用風(fēng)險管理系統(tǒng)架構(gòu) Delinquency Time Degree Of Sophistication Operational Efficiency Service Prioritization Proactive Marketing Product Innovation Number of delinquent clients and frequency of defaults decreasing Decreasing operational costs Clients of good credit ratings are given higher priority across all touch points Existing clients are automatically prescored New products specifically designed for specific segment Strategic Scoring – Risk Adjusted Strategies – Competitive Advantage 內(nèi)部評等之實際使用 內(nèi)部評等 授信準(zhǔn)駁 經(jīng)濟(jì)資本 計算 損失準(zhǔn)備 提存 信用風(fēng)險 報告 法定資本 計算 額度控管 風(fēng)險容忍 程度 價格訂定 績效評估 Q amp。complexity)風(fēng)險衡量之區(qū)隔性與敏感度(risk differentiation amp。 ? 要求銀行必須
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