tailieunhanh - International Convergence of Capital Measurement and Capital Standards - June 2004

The Committee believes that a successful implementation of the revised Framework will provide banks and supervisors with critical experience necessary to address such challenges. The Committee understands that the IRB approach represents a point on the continuum between purely regulatory measures of credit risk and an approach that builds more fully on internal credit risk models. In principle, further movements along that continuum are foreseeable, subject to an ability to address adequately concerns about reliability, comparability, validation, and competitive equity | Basel Committee on Banking Supervision International Convergence of Capital Measurement and Capital Standards A Revised Framework June 2004 BANK FDR INTERNATIONAL SETTLEMENTS Requests for copies of publications or for additions changes to the mailing list should be sent to Bank for International Settlements Press Communications CH-4002 Basel Switzerland E-mail publications@ Fax 41 61 280 9100 and 41 61 280 8100 Bank for International Settlements 2004. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISBN print 92-9131-669-5 ISBN web 92-9197-669-5 Table of Contents Abbreviations . i Introduction . 1 Part 1 Scope of Application. 7 I. Introduction . 7 II. Banking securities and other financial subsidiaries . 7 III. Significant minority investments in banking securities and other financial entities . 8 IV. Insurance entities. 8 V. Significant investments in commercial entities . 10 VI. Deduction of investments pursuant to this part. 10 Part 2 The First Pillar Minimum Capital Requirements . 12 I. Calculation of minimum capital requirements . 12 A. Regulatory capital . 12 B. Risk-weighted assets . 12 C. Transitional arrangements . 13 II. Credit Risk The Standardised Approach. 15 A. Individual claims . 15 1. Claims on sovereigns . 15 2. Claims on non-central government public sector entities PSEs . 16 3. Claims on multilateral development banks MDBs . 16 4. Claims on banks . 17 5. Claims on securities firms . 18 6. Claims on corporates. 18 7. Claims included in the regulatory retail portfolios . 19 8. Claims secured by residential property . 20 9. Claims secured by commercial real estate . 20 10. Past due loans . 21 11. Higher-risk categories . 21 12. Other assets . 22 13. Off-balance sheet items . 22 B. External credit assessments . 23 1. The recognition process . 23 2. Eligibility criteria . 23 C. Implementation considerations . 24 1. The mapping process . 24 2. Multiple assessments . 24 3. Issuer versus issues .