风险管理与金融机构课件Ch11.pptVIP

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风险管理与金融机构课件Ch11.ppt

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* * * New Capital RequirementsStandardized Approach, Table 11.3, page 233 Bank and corporations treated similarly (unlike Basel I) Risk Management and Financial Institutions 2e, Chapter 11, Copyright ? John C. Hull 2009 Rating AAA to AA- A+ to A- BBB+ to BBB- BB+ to BB- B+ to B- Below B- Unrated Country 0% 20% 50% 100% 100% 150% 100% Banks 20% 50% 50% 100% 100% 150% 50% Corporates 20% 50% 100% 100% 150% 150% 100% * New Capital RequirementsIRB Approach for corporate, banks and sovereign exposures Basel II provides a formula for translating PD (probability of default), LGD (loss given default), EAD (exposure at default), and M (effective maturity) into a risk weight Under the Advanced IRB approach banks estimate PD, LGD, EAD, and M Under the Foundation IRB approach banks estimate only PD and the Basel II guidelines determine the other variables for the formula Risk Management and Financial Institutions 2e, Chapter 11, Copyright ? John C. Hull 2009 * Key Model (Gaussian Copula) The 99.9% worst case default rate is Risk Management and Financial Institutions 2e, Chapter 11, Copyright ? John C. Hull 2009 * Numerical Results for WCDRTable 11.4, page 236 Risk Management and Financial Institutions 2e, Chapter 11, Copyright ? John C. Hull 2009 PD=0.1% PD=0.5% PD=1% PD=1.5% PD=2% r=0.0 0.1% 0.5% 1.0% 1.5% 2.0% r=0.2 2.8% 9.1% 14.6% 18.9% 22.6% r=0.4 7.1% 21.1% 31.6% 39.0% 44.9% r=0.6 13.5% 38.7% 54.2% 63.8% 70.5% r=0.8 23.3% 66.3% 83.6% 90.8% 94.4% * Dependence of r on PD For corporate, sovereign and bank exposure (For small firms r is reduced) Risk Management and Financial Institutions 2e, Chapter 11, Copyright ? John C. Hull 2009 PD 0.1% 0.5% 1.0% 1.5% 2.0% WCDR 3.4% 9.8% 14.0% 16.9% 19.0% * Capital Requirements Risk Management and Financial Institutions 2e, Chapter 11, Copyright ? John C. Hull 2009 * Retail Exposures Risk Management and Financial Institutions 2e, Chapter 11, Copyright ? John C. Hull 2009 * Cre