【正文】 . 18 (iv) 期限錯配 ..................................................................................................... 18 (v) 其他問題 ..................................................................................................... 19 3. 抵押 ........................................................................................................................ 19 (i) 合格的金融抵押品 ...................................................................................... 19 (ii) 綜合法 ........................................................................................................ 20 (iii) 簡單法 ........................................................................................................ 27 (iv) 抵押的場外衍生工具交易 ........................................................................... 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 /信用保護提供者的范圍 ........................................................ 30 (iii) 風(fēng)險權(quán)重 ..................................................................................................... 30 (iv) 幣種錯配 ..................................................................................................... 30 (v) 國家擔(dān)保 ..................................................................................................... 31 6. 期限 錯配 .............................................................................................................. 31 (i) 期限的定義 ................................................................................................. 31 (ii) 期限錯配的風(fēng)險權(quán)重 ................................................................................... 31 7. 與信用風(fēng)險緩釋相關(guān)的其他問題的處理 .................................................................. 32 (i) 對信用風(fēng)險緩釋技術(shù)庫的處理 .................................................................... 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 —— IRB 法 ........................................................................................................ 32 A. 概述 ................................................................................................................... 32 B. IRB 法的具體要求 ....................................................................................................... 32 1. 風(fēng)險暴露類別 ....................................................................................................... 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)險暴露的定義 ................................................................. 35 (vi) 股權(quán)暴露的定義 .......................................................................................... 36 (vii) 合格的購入應(yīng)收帳款的定義 ........................................................................ 36 2. 初級法和高級法 ................................................................................................... 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) 合格的購入應(yīng)收帳款 ................................................................................... 39 3. 在不同資產(chǎn)類別中采用 IRB 法 ............................................................................. 39 4. 過渡期安排 .......................................................................................................... 39 (i) 采用高級法的銀行平行計算資本充足率 ...................................................... 40 (ii) 公司、主權(quán)、銀行和零售暴露 .................................................................... 40 (iii) 股權(quán)暴露 ..................................................................................................... 40 C. 公司、主權(quán)、及銀行暴露的規(guī)定 ................................................................................. 41 159 1. 公司、主權(quán)和銀行暴露的風(fēng)險加權(quán)資產(chǎn) ............................................................... 41 (i) 風(fēng)險加權(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)險權(quán)重 ................................................................................... 42 2. 風(fēng)險要素 .............................................................................................................. 42 (i) 違約概率 (PD) ........................................................................................... 43 (ii) 違約損失率 (LGD) ................................................................................... 43 (iii) 違約風(fēng)險暴露 (EAD) ................................................................................. 43 (iv) 有效期限 (M) ............................................................................................. 47 D. 零售暴露規(guī)定 .........................................................................................................