tailieunhanh - Shelagh heffernan modern banking phần 4

HIỆN ĐẠI thành phần rủi ro ngân hàng: ngân hàng sử dụng riêng của mình. Giám sát phê duyệt phương pháp mà theo đó các thành phần nguy cơ được chuyển đổi thành trọng lượng nguy cơ cho việc tính toán của các tài sản rủi ro trọng. | - 198 ----------------------------------------------------------------------------------- Modern Banking Risk components the bank uses its own. Supervisors are to approve the method by which the risk components are converted into risk weights for the computation of risk weighted assets. A bank s internal ratings and VaR must be part of an integrated risk management system. For example while VaR is used to assess market risk and the regulatory capital to be set aside the risk management system must determine the economic capital used to set limits look at performance via a risk adjusted return on capital RAROC etc. Satisfy the disclosure standards specified under pillar 3. Risk weights under foundation IRB Table applies for all corporate sovereign and interbank exposures. Once the supervisory authorities approve a bank s use of the foundation IRB approach there is the question of how the risk weights will be applied. Basel assigns two risk weights. The first risk weight is a function of PD which is supplied by the bank the second a function of The values for LGD along with EAD are supplied by Basel and will depend on the nature of the exposure. Basel had intended to include expected losses in the risk weightings but the final agreement June 2004 replaced this with a requirement that if a bank finds the actual provisions it set aside is less than expected losses it must be deducted from tier 1 and tier 2 capital subject to a maximum cap. For retail exposures no distinction is drawn between IRB and advanced IRB. All IRB foundation and advanced banks are expected to supply internal estimates of PD LGD and EAD based on pools of 28 Retail loans are divided into three categories 1 residential mortgages 2 revolving retail loans-mainly unsecured revolving credits such as that incurred by agents who roll over most of their credit card payments and 3 other retail - non-mortgage consumer lending including loans to SMEs with annual sales of less than 5