Ebook Global financial stability report Financial market turbulence: Causes, consequences, and policies aims to deepen its readers’ understanding of global capital flows, which play a critical role as an engine of world economic growth. Of key value, the report focuses on current conditions in global financial markets, highlighting issues of financial imbalances, and of a structural nature, that could pose risks to financial market... Đề tài Hoàn thiện công tác quản trị nhân sự tại Công ty TNHH Mộc Khải Tuyên được nghiên cứu nhằm giúp công ty TNHH Mộc Khải Tuyên làm rõ được thực trạng công tác quản trị nhân sự trong công ty như thế nào từ đó đề ra các giải pháp giúp công ty hoàn thiện công tác quản trị nhân sự tốt hơn trong thời gian tới.
FROM BASEL TO BASEL yi8 uq c6 6n c9 84 5p kr kg kb sd i6l cu l h8 0b qb bu c x8 n7 m lcr c s8 97 e7 ns 9z 07 4m d 4jq 0h 37 66 xb eu 20 xy wy 0n k2 4g 3m cq ưm b5 lg vw z 8u rlq fv nu ys of 3ư 86 sn f a9 yt4 e5 7h 9x 87 sx in q9 uz r0 aw 03 ưe pa 6f w9 vb ưh c h6 m cv nz t1 tj hd sm jl bq 2n 1x wm ưv e9 3z ob tb pr k4 a9 85 xw dư e6 ap fd 21 l 2f lz6 hh 83 8b kr jew sr r7 ưw 23 q7 df h3 fq 4c 4h x1 hl gp y0 cy oh nh e0 9p 47 eq gd j40 lu ưw 7v rs 7q xy r 4lb 4i3 w em 2m if9 ai5 od 67 es f0 d 3s m iz hx w4 1ư ki oy z0 4r ưo eo p ei0 lr wi rr 6m 7h qm 8ư 9k nc x6 dw ld hv fg hr ua vf 70 1t v0 q0 ah vb ro wv 6d 4q 4c p1 c2 ev zk gr 0f 3o 0x ww vg lv y3 wq o4 kv 2z bu f 1b jyy id 2t 6b lb og b0 ex xe vt pp av ps 0y w6 nk wn 4l vv 7r o3 q1 8e gv 72 f6 46 74 9u qe vh 8a zx gc f7 1p sh qh 1h 3m bc 5n rq 0y km aw 4ư vq 56 vp wa co bư 10 ua dg xf 3x ij bs nh tl xc ph s4 kư ưl i5 e ev m td i6 yp yq i n8 lvu tb at g0 va 7b w8 m 1ln cq y3 lxư e5 z 59 px 7m ư2 r w2 2jw rm uv l00 0r i 7b 1y oy k3 ed vư te 7iư b c0 xj nf 7k yz yv 9s b6 l5m vk ưo ưr er 4t 1b m slc zq iu d 2t m 4x 5k n j7w aw 6f ko pk uk pd li8 pe dy 47 zx dh ox 4a az 7p ni c jak 4id 97 hp 3w e8 wm 7f m k kt en qt xj9 tm sja ưy lp qc bo 0t vk 9r 73 dr 4e ct cq gd l sn jon ob uy a5 pư oe kx 2z pm y1 xo m v z9 fk zo 21 ưz gf wj qc ez 9m wq qj kq rb oh ư0 o6 5c ep ưs b4 1e wb 72 5y 6e 1o 6t sn xb cz wl o c4 fyy im 9s l3 2w 8d o2 d8 u4 kj o5 nu 16 p5 gi oi hn xk y 4g aii ne 6k b6 ro k d2 il vjy qn fm hz 0a y1 p1 31 0n gy xe l0 wj j3 7n xq fk 05 z 84 it6 qj 5v 3m az 6e yc f7 bx tg h8 6t e9 gv zm yi8 uq c6 6n c9 84 5p This page intentionally left blank kr kg kb sd i6l cu l h8 0b qb bu c x8 n7 m lcr c s8 97 e7 ns 9z 07 4m d 4jq 0h 37 66 xb eu 20 xy wy 0n k2 4g 3m cq ưm b5 lg vw z 8u rlq fv nu ys of 3ư 86 sn f a9 yt4 e5 7h 9x 87 sx in q9 uz r0 aw 03 ưe pa 6f w9 vb ưh c h6 m cv nz t1 tj hd sm jl bq 2n 1x wm ưv e9 3z ob tb pr k4 a9 85 xw dư e6 ap fd 21 l 2f lz6 hh 83 8b kr jew sr r7 ưw 23 q7 df h3 fq 4c 4h x1 hl gp y0 cy oh nh e0 9p 47 eq gd j40 lu ưw 7v rs 7q xy r 4lb 4i3 w em 2m if9 ai5 od 67 es f0 d 3s m iz hx w4 1ư ki oy z0 4r ưo eo p ei0 lr wi rr 6m 7h qm 8ư 9k nc x6 dw ld hv fg hr ua vf 70 1t v0 q0 ah vb ro wv 6d 4q 4c p1 c2 ev zk gr 0f 3o 0x ww vg lv y3 wq o4 kv 2z bu f 1b jyy id 2t 6b lb og b0 ex xe vt pp av ps 0y w6 nk wn 4l vv 7r o3 q1 8e gv 72 f6 46 74 9u qe vh 8a zx gc f7 1p sh qh 1h 3m bc 5n rq 0y km aw 4ư vq 56 vp wa co bư 10 ua dg xf 3x ij bs nh tl xc ph s4 kư ưl i5 e ev m td i6 yp yq i n8 lvu tb at g0 va 7b w8 m 1ln cq y3 lxư e5 z 59 px 7m ư2 r w2 2jw rm uv l00 0r i 7b 1y oy k3 ed vư te 7iư b c0 xj nf 7k yz yv 9s b6 l5m vk ưo ưr er 4t 1b m slc zq iu d 2t m 4x 5k n j7w aw 6f ko pk uk pd li8 pe dy 47 zx dh ox 4a az 7p ni c jak 4id 97 hp 3w e8 wm 7f m k kt en qt xj9 tm sja ưy lp qc bo 0t vk 9r 73 dr 4e ct cq gd l sn jon ob uy a5 pư oe kx 2z pm y1 xo m v z9 fk zo 21 ưz gf wj qc ez 9m wq qj kq rb oh ư0 o6 5c ep ưs b4 1e wb 72 5y 6e 1o 6t sn xb cz wl o c4 fyy im 9s l3 2w 8d o2 d8 u4 kj o5 nu 16 p5 gi oi hn xk y 4g aii ne 6k b6 ro k d2 il vjy qn fm hz 0a y1 p1 31 0n gy xe l0 wj j3 7n xq fk 05 z 84 it6 qj 5v 3m az 6e yc f7 bx tg h8 6t e9 gv zm yi8 uq c6 6n c9 84 5p kr kg kb sd i6l cu l h8 0b qb bu c x8 n7 m lcr c s8 97 e7 ns 9z 07 4m d 4jq 0h 37 66 xb eu 20 xy wy 0n k2 4g 3m cq ưm b5 lg vw z 8u rlq fv nu ys of 3ư 86 sn f a9 yt4 e5 7h 9x 87 sx in q9 uz r0 aw 03 ưe pa 6f w9 vb ưh c h6 m cv nz t1 tj hd sm jl bq 2n 1x wm ưv e9 3z ob tb pr k4 a9 85 xw dư e6 ap fd lz6 21 l 2f hh 83 8b kr jew sr r7 ưw 23 q7 df h3 fq 4c 4h x1 hl gp y0 cy oh nh e0 9p 47 eq gd j40 lu ưw 7v rs 7q xy r 4lb 4i3 w em 2m if9 ai5 From Basel to Basel 3: The Integration of State-of-the-Art Risk Modeling in Banking Regulation od 67 es f0 d 3s m iz hx w4 1ư ki oy z0 4r ưo eo p ei0 lr wi rr 6m 7h qm 8ư 9k nc x6 dw ld hv fg hr ua vf 70 1t v0 q0 ah vb ro wv 6d 4q 4c p1 c2 ev zk gr 0f 3o 0x ww vg lv y3 wq o4 kv 2z bu f 1b jyy id 2t 6b lb og b0 ex xe vt pp av ps 0y w6 nk wn 4l vv 7r o3 q1 8e gv 72 f6 46 74 9u qe vh 8a zx gc f7 1p sh qh 1h 3m bc 5n rq 0y km aw 4ư vq 56 LAURENT BALTHAZAR vp wa co bư 10 ua dg xf 3x ij bs nh tl xc ph s4 kư ưl i5 e ev m td i6 yp yq i n8 lvu tb at g0 va 7b w8 m 1ln cq y3 lxư e5 z 59 px 7m ư2 r w2 2jw rm uv l00 0r i 7b 1y oy k3 ed vư te 7iư b c0 xj nf 7k yz yv 9s b6 l5m vk ưo ưr er 4t 1b m slc zq iu d 2t m 4x 5k n j7w aw 6f ko pk uk pd li8 pe dy 47 zx dh ox 4a az 7p ni c jak 4id 97 hp 3w e8 wm 7f m k kt en qt xj9 tm sja ưy lp qc bo 0t vk 9r 73 dr 4e ct cq gd l sn jon ob uy a5 pư oe kx 2z pm y1 xo m v z9 fk zo 21 ưz gf wj qc ez 9m wq qj kq rb oh ư0 o6 5c ep ưs b4 1e wb 72 5y 6e 1o 6t sn xb cz wl o c4 fyy im 9s l3 2w 8d o2 d8 u4 kj o5 nu 16 p5 gi oi hn xk y 4g aii ne 6k b6 ro k d2 il vjy qn fm hz 0a y1 p1 31 0n gy xe l0 wj j3 7n xq fk 05 z 84 it6 qj 5v 3m az 6e yc f7 bx tg h8 6t e9 gv zm © Laurent Balthazar 2006 All rights reserved No reproduction, copy or transmission of this publication may be made without written permission No paragraph of this publication may be reproduced, copied or transmitted save with written permission or in accordance with the provisions of the Copyright, Designs and Patents Act 1988, or under the terms of any licence permitting limited copying issued by the Copyright Licensing Agency, 90 Tottenham Court Road, London W1T 4LP yi8 uq c6 6n c9 84 5p Any person who does any unauthorized act in relation to this publication may be liable to criminal prosecution and civil claims for damages kr kg kb sd i6l cu l h8 0b qb bu c x8 n7 m lcr c s8 97 e7 ns 9z 07 4m d 4jq 0h 37 66 xb eu 20 The author has asserted his right to be identified as the author of this work in accordance with the Copyright, Designs and Patents Act 1988 xy wy 0n k2 4g 3m cq ưm b5 lg vw z 8u rlq fv nu ys of 3ư 86 sn f a9 yt4 e5 7h 9x 87 sx in uz q9 First published 2006 by PALGRAVE MACMILLAN Houndmills, Basingstoke, Hampshire RG21 6XS and 175 Fifth Avenue, New York, N Y 10010 Companies and representatives throughout the world r0 aw 03 ưe pa 6f w9 vb ưh c h6 m cv nz t1 tj hd sm jl bq 2n 1x wm ưv e9 3z ob tb pr k4 a9 85 xw dư e6 ap fd 21 l 2f lz6 hh 83 8b kr jew sr r7 ưw 23 q7 df h3 fq 4c 4h x1 hl gp y0 cy oh nh e0 9p 47 eq gd j40 lu ưw 7v rs 7q xy r 4lb 4i3 w em 2m if9 ai5 od 67 es f0 PALGRAVE MACMILLAN is the global academic imprint of the Palgrave Macmillan division of St Martin’s Press, LLC and of Palgrave Macmillan Ltd Macmillan® is a registered trademark in the United States, United Kingdom and other countries Palgrave is a registered trademark in the European Union and other countries d 3s m iz hx w4 1ư ki oy 4r z0 ISBN-13: 978-1-4039-4888-5 ISBN-10: 1-4039-4888-7 ưo eo p ei0 lr wi rr 6m 7h qm 8ư 9k nc x6 dw ld hv fg hr ua vf 70 v0 1t This book is printed on paper suitable for recycling and made from fully managed and sustained forest sources q0 ah vb ro wv 6d 4q 4c p1 c2 ev zk gr 0f 3o 0x ww vg lv y3 wq o4 kv 2z A catalogue record for this book is available from the British Library bu f 1b jyy id 2t 6b lb og b0 ex xe vt pp av ps Library of Congress Cataloging-in-Publication Data Balthazar, Laurent, 1976– From Basel to Basel : the integration of state of the art risk modeling in banking regulation / Laurent Balthazar p cm.—(Finance and capital markets) Includes bibliographical references and index ISBN 1-4039-4888-7 (cloth) Asset-liability management—Law and legislation Banks and banking—Accounting—Law and legislation Banks and banking, International—Law and legislation I Title II Series K1066.B35 2006 346 082—dc22 2006043258 0y w6 nk wn 4l vv 7r o3 q1 8e gv 72 f6 46 74 9u qe vh 8a zx gc f7 1p sh qh 1h 3m bc 5n rq 0y km aw 4ư vq 56 vp wa co bư 10 ua dg xf 3x ij bs nh tl xc ph s4 kư ưl i5 e ev m td i6 yp yq i n8 lvu tb at g0 va 7b w8 m 1ln cq y3 lxư e5 z 59 px 7m ư2 r w2 2jw rm uv l00 0r i 7b 1y oy k3 ed vư te 7iư b c0 xj nf 7k yz yv 9s b6 l5m ưo 07 06 vk ưr er 4t 1b m slc zq iu d 2t m 4x 5k n j7w aw 6f 10 15 14 13 12 11 10 09 08 ko pk uk pd li8 dy pe Printed and bound in Great Britain by Antony Rowe Ltd, Chippenham and Eastbourne 47 zx dh ox 4a az 7p ni c jak 4id 97 hp 3w e8 wm 7f m k kt en qt xj9 tm sja ưy lp qc bo 0t vk 9r 73 dr 4e ct cq gd l sn jon ob uy a5 pư oe kx 2z pm y1 xo m v z9 fk zo 21 ưz gf wj qc ez 9m wq qj kq rb oh ư0 o6 5c ep ưs b4 1e wb 72 5y 6e 1o 6t sn xb cz wl o c4 fyy im 9s l3 2w 8d o2 d8 u4 kj o5 nu 16 p5 gi oi hn xk y 4g aii ne 6k b6 ro k d2 il vjy qn fm hz 0a y1 p1 31 0n gy xe l0 wj j3 7n xq fk 05 z 84 it6 qj 5v 3m az 6e yc f7 bx tg h8 6t e9 gv zm Contents yi8 uq c6 6n c9 84 5p kr kg kb sd i6l cu l h8 0b qb bu c x8 n7 m lcr c s8 97 e7 ns 9z 07 4m d 4jq 0h 37 66 xb eu 20 xy wy 0n k2 4g 3m cq ưm b5 lg vw z 8u rlq fv nu ys of 3ư 86 sn f a9 yt4 e5 7h 9x 87 sx in q9 uz r0 aw 03 ưe pa 6f w9 vb ưh c h6 m cv nz t1 tj hd sm jl bq 2n 1x wm 3z ob tb pr k4 a9 85 xw dư e6 xiv ưv e9 ap fd 21 l 2f lz6 hh 8b kr jew sr r7 ưw 23 xv 83 q7 df h3 fq 4c 4h x1 hl gp y0 cy oh nh e0 9p 47 eq gd j40 lu ưw 7v rs 7q xy r 4lb 4i3 w em 2m if9 od 67 es f0 d 3s m ai5 iz hx w4 1ư ki oy z0 4r ưo eo p ei0 lr wi rr 6m 7h qm 8ư 9k nc x6 dw ld hv fg hr ua vf 70 1t v0 q0 ah vb ro wv 6d 4q 4c p1 c2 ev gr 0f 3o 0x ww vg lv y3 wq o4 kv 2z bu f 1b jyy id 2t 6b lb og b0 16 zk ex xe vt pp av ps 0y w6 nk wn 4l vv 7r o3 q1 8e gv 72 f6 46 74 qe vh 8a zx gc f7 1p sh qh 1h 3m bc 5n rq 0y km aw 4ư vq 56 23 24 9u vp wa co bư 10 ua dg xf 3x ij bs nh tl xc ph kư ưl i5 e ev m td i6 yp yq i n8 lvu 27 s4 tb at g0 va 7b w8 m 1ln cq y3 lxư e5 z 59 px 7m rm uv l00 0r i 7b 1y oy k3 ed vư te 7iư b c0 xj nf 7k yz yv 9s b6 l5m 32 33 ư2 r w2 2jw vk ưo ưr er 4t 1b m slc zq iu d 2t m 4x 5k n j7w aw 6f ko pk uk pd li8 pe dy 47 zx dh ox 4a az 7p ni c jak 4id 97 hp 3w e8 wm 7f m k kt en qt xj9 tm sja ưy lp qc bo 0t vk 9r 73 dr 4e ct cq gd l sn jon ob uy a5 pư oe kx 2z pm y1 xo m v z9 fk zo 21 ưz gf wj qc ez 9m wq qj kq rb oh 39 39 40 41 Introduction Goals of the Accord Open issues Scope of application 39 Overview of the New Accord Description of Basel Part II 32 Critics of Basel Current Banking Regulation Part I 23 The Regulation of Market Risk: The 1996 Amendment Basel 1 xix Website ix List of Figures, Tables, and Boxes Acknowledgments List of Abbreviations Introduction Banking regulations and bank failures: a historical survey The Basel 1988 Capital Accord Introduction The historical context Amendment to the Capital Accord to incorporate market risk Positive impacts Regulatory weaknesses and capital arbitrage ư0 o6 5c ep ưs b4 1e wb 72 5y 6e 1o 6t sn xb cz wl o c4 fyy v im 9s l3 2w 8d o2 d8 u4 kj o5 nu 16 p5 gi oi hn xk y 4g aii ne 6k b6 ro k d2 il vjy qn fm hz 0a y1 p1 31 0n gy xe l0 wj j3 7n xq fk 05 z 84 it6 qj 5v 3m az 6e yc f7 bx tg h8 6t e9 gv zm 49 50 58 63 73 76 uq c6 6n c9 84 5p kr kg kb sd i6l cu l h8 0b qb bu c x8 n7 m lcr c s8 97 e7 ns 9z 07 4m d 4jq 0h 37 66 xb eu 20 xy wy 0n k2 4g 3m cq ưm b5 lg vw z 8u rlq fv nu ys of 3ư 86 sn f a9 yt4 Introduction Credit risk – unstructured exposures – standardized approach Credit risk – unstructured exposures – IRB approaches Credit risk: securitization Operational risk Appendix: Pillar treatment of double default and trading activities yi8 e5 7h 9x 87 sx in q9 uz r0 aw 03 ưe pa 6f w9 vb ưh c h6 m cv nz t1 tj hd sm 1x wm ưv e9 3z ob tb pr k4 a9 85 xw dư e6 ap fd 21 l 2f lz6 hh 83 8b kr jew sr r7 ưw 23 q7 df h3 fq 89 90 93 Introduction Pillar 2: the supervisory review process in action Industry misgivings jl bq 2n 4c 4h x1 hl gp y0 cy oh nh e0 9p 47 eq gd lu ưw 7v rs 7q xy w em 2m if9 ai5 od 67 es f0 d 3s m iz hx w4 1ư ki oy z0 4r ưo eo p ei0 lr wi rr 6m 7h qm 8ư 9k nc x6 dw ld hv fg hr ua vf 70 1t v0 q0 ah vb ro 95 95 96 99 r 4lb 4i3 95 j40 wv 6d 4q 4c p1 c2 ev zk gr 0f 3o 0x ww vg lv y3 wq o4 kv 2z bu f 1b jyy id 2t 6b lb og b0 ex xe vt pp av ps 0y w6 nk wn 4l vv 7r o3 q1 8e gv 72 f6 46 74 9u qe vh 8a zx gc f7 1p sh qh 1h 3m bc 5n rq 0y km aw 4ư vq 56 vp wa co bư 10 ua dg xf 3x ij bs nh tl xc ph s4 kư ưl i5 e ev m td i6 yp yq i n8 lvu tb at g0 va 7b w8 m 1ln cq y3 lxư e5 z 59 px 7m ư2 r w2 2jw rm uv l00 0r i 7b 1y oy k3 ed vư te 7iư b c0 xj nf 7k yz yv 9s b6 l5m vk ưo ưr er 4t 1b m slc zq iu d 2t m 4x 5k n j7w aw 6f ko pk uk pd li8 pe dy 47 zx dh ox 4a az 7p ni c jak 4id 97 hp 3w e8 wm 7f m k kt en qt xj9 tm sja ưy lp qc bo 0t vk 9r 73 dr 4e ct cq gd l sn jon ob uy a5 pư oe kx 2z pm y1 xo m v z9 fk zo 21 ưz gf wj qc ez 9m wq qj kq rb oh 114 115 117 119 Introduction The Basel requirements Current practices in the banking sector Overview of historical research 114 Scoring Systems: Theoretical Aspects 10 109 109 112 Introduction Systems architecture Conclusions 109 Basel and Information Technology Systems Implementing Basel Part III 101 101 104 105 Introduction Results of QIS Comments Conclusions 101 The Potential Impact of Basel 89 Pillar 2: The Supervisory Review Process 49 Pillar 1: The Solvency Ratio Pillar 3: Market Discipline CONTENTS vi 42 44 47 47 Treatment of participations Structure of the Accord The timetable Summary Introduction Pillar disclosures Links with accounting disclosures Conclusions ư0 o6 5c ep ưs b4 1e wb 72 5y 6e 1o 6t sn xb cz wl o c4 fyy im 9s l3 2w 8d o2 d8 u4 kj o5 nu 16 p5 gi oi hn xk y 4g aii ne 6k b6 ro k d2 il vjy qn fm hz 0a y1 p1 31 0n gy xe l0 wj j3 7n xq fk 05 z 84 it6 qj 5v 3m az 6e yc f7 bx tg h8 6t e9 gv zm yi8 uq c6 6n c9 84 5p kr kg kb sd i6l cu l h8 bu c x8 n7 m lcr c s8 97 e7 ns 9z 07 4m d 4jq 0h 37 66 xb eu 20 xy wy 0n k2 4g 3m cq ưm b5 lg vw z 8u rlq fv nu ys of 3ư 86 sn f a9 yt4 e5 7h 9x 87 sx in q9 uz r0 aw 03 ưe pa 6f w9 vb ưh c h6 m cv nz t1 tj hd sm jl bq 2n 1x wm ưv e9 3z ob tb pr k4 a9 85 xw dư e6 ap fd 21 l 2f lz6 hh 83 kr jew 8b sr r7 ưw 23 q7 df h3 fq 4c 4h x1 hl gp y0 cy oh nh e0 9p 47 eq gd j40 lu ưw 7v rs 7q xy r 4lb 4i3 w em 2m if9 ai5 od 67 es f0 145 145 148 154 155 171 175 178 179 181 182 187 Introduction The data Candidate explanatory variables Sample selection Univariate analysis Model construction Model validation Model calibration Qualitative assessment Conclusions Appendix 1: hypothesis Test for PD estimates Appendix 2: comments on low-default portfolios 0b qb d 3s m iz hx w4 1ư ki oy z0 4r ưo eo p ei0 lr wi rr 6m 7h qm 8ư 9k nc dw ld hv fg hr ua vf 70 1t v0 q0 ah vb ro wv 6d 4q 4c p1 c2 ev zk gr 0f 3o 0x ww vg lv y3 wq o4 kv 2z bu f 1b jyy id 2t 6b lb og b0 ex xe vt pp av ps 0y w6 nk wn 4l vv 7r o3 q1 8e gv 72 f6 46 74 9u qe vh 8a zx gc f7 1p sh qh 1h 3m bc 5n rq 0y km aw 4ư 188 188 189 190 194 198 199 x6 vq 56 vp wa co bư 10 ua dg xf 3x ij bs nh tl xc ph s4 kư ưl i5 e ev m td i6 yp yq i n8 lvu tb at g0 va 7b w8 m 1ln cq y3 lxư e5 z 59 px 7m ư2 r w2 2jw rm uv l00 0r i 7b 1y oy k3 ed vư te 7iư b c0 xj nf 7k yz yv 9s b6 l5m vk ưo ưr er 4t 1b m slc zq iu d 2t m 4x 5k n j7w aw 6f ko pk uk pd li8 pe dy 47 zx dh ox 4a az 7p ni c jak 4id 97 hp 3w e8 wm 7f m k kt en qt xj9 tm sja ưy lp qc bo 0t vk 9r 73 dr 4e ct cq gd l sn jon ob uy a5 pư oe kx 2z pm y1 xo m v z9 fk zo 21 ưz gf wj qc ez 9m wq qj kq rb oh 209 209 Introduction History 200 201 201 202 203 204 Introduction Internal ratings systems The quantification process The data management system Oversight and control mechanisms Conclusions 209 From Basel to Basel 14 Pillar 2: An Open Road to Basel Part IV 200 Implementation of the Accord 13 188 Loss Given Default 12 145 Scoring Systems: Case Study 11 vii CONTENTS 123 126 127 130 133 136 142 144 The data How many models to construct? Modelization steps Principles for ratio selection The logistic regression Performance measures Point-in-time versus through-the-cycle ratings Conclusions Introduction LGD measures Definition of workout LGD Practical computation of workout LGD Public studies Stressed LGD Conclusions ư0 o6 5c ep ưs b4 1e wb 72 5y 6e 1o 6t sn xb cz wl o c4 fyy im 9s l3 2w 8d o2 d8 u4 kj o5 nu 16 p5 gi oi hn xk y 4g aii ne 6k b6 ro k d2 il vjy qn fm hz 0a y1 p1 31 0n gy xe l0 wj j3 7n xq fk 05 z 84 it6 qj 5v 3m az 6e yc f7 bx tg h8 6t e9 gv zm uq 6n c9 84 5p kr kg kb sd i6l cu l h8 0b qb bu c x8 n7 m 237 c6 Extending the Model 214 214 217 219 235 yi8 lcr c s8 97 e7 ns 9z 07 4m d 4jq 237 237 238 247 66 xb eu 20 xy wy 0n k2 4g 3m cq ưm b5 lg vw z 8u rlq fv nu ys of 3ư 86 sn f a9 yt4 e5 7h 9x 87 sx in q9 uz r0 aw 03 ưe pa 6f w9 vb ưh c h6 m cv Introduction The effect of concentration Extending the Basel framework Conclusions 0h 37 nz t1 tj hd sm jl bq 2n 1x wm ưv e9 3z ob tb pr k4 a9 85 xw ap fd 21 l 2f lz6 hh 83 8b kr jew sr r7 ưw 23 q7 df h3 fq 4c 4h x1 hl gp y0 cy oh nh e0 9p 47 eq gd j40 lu ưw 7v rs 7q xy r 4lb 4i3 w em 2m if9 ai5 od 67 es f0 d 3s m iz hx 248 248 276 279 280 Introduction Identifying material risks Quantification and aggregation Typical capital composition Conclusions dư e6 w4 1ư ki oy z0 4r ưo eo p ei0 lr rr 6m 7h qm 8ư 9k nc x6 dw ld 283 wi hv hr ua vf 70 1t v0 q0 ah vb ro wv 6d 4q 4c p1 c2 ev zk gr 0f 3o 0x 283 284 fg ww vg lv y3 wq o4 kv 2z bu f 1b jyy id 2t 6b lb og b0 ex xe vt pp av ps 0y w6 nk wn 286 Bibliography 4l vv 7r o3 q1 8e gv 72 f6 46 74 9u qe vh 8a zx gc f7 291 Index Introduction A portfolio approach The Merton model The Basel formula Conclusions 16 214 The Basel Model 15 248 Integrating Other Kinds of Risk 17 CONTENTS viii 211 211 212 Pillar Basel Conclusions Overview of the book The future Conclusions 1p sh qh 1h 3m bc 5n rq 0y km aw 4ư vq 56 vp wa co bư 10 ua dg xf 3x ij bs nh tl xc ph s4 kư ưl i5 e ev m td i6 yp yq i n8 lvu tb at g0 va 7b w8 m 1ln cq y3 lxư e5 z 59 px 7m ư2 r w2 2jw rm uv l00 0r i 7b 1y oy k3 ed vư te 7iư b c0 xj nf 7k yz yv 9s b6 l5m vk ưo ưr er 4t 1b m slc zq iu d 2t m 4x 5k n j7w aw 6f ko pk uk pd li8 pe dy 47 zx dh ox 4a az 7p ni c jak 4id 97 hp 3w e8 wm 7f m k kt en qt xj9 tm sja ưy lp qc bo 0t vk 9r 73 dr 4e ct cq gd l sn jon ob uy a5 pư oe kx 2z pm y1 xo m v z9 fk zo 21 ưz gf wj qc ez 9m wq qj kq rb oh ư0 o6 5c ep ưs b4 1e wb 72 5y 6e 1o 6t sn xb cz wl o c4 fyy im 9s l3 2w 8d o2 d8 u4 kj o5 nu 16 p5 gi oi hn xk y 4g aii ne 6k b6 ro k d2 il vjy qn fm hz 0a y1 p1 31 0n gy xe l0 wj j3 7n xq fk 05 z 84 it6 qj 5v 3m az 6e yc f7 bx tg h8 6t e9 gv zm yi8 uq c6 6n c9 84 5p kr kg kb sd i6l cu l h8 0b qb bu c x8 n7 m lcr c s8 List of Figures, Tables, and Boxes 97 e7 ns 9z 07 4m d 4jq 0h 37 66 xb eu 20 xy wy 0n k2 4g 3m cq ưm b5 lg vw z 8u rlq fv nu ys of 3ư 86 sn f a9 yt4 e5 7h 9x 87 sx in q9 uz r0 aw 03 ưe pa 6f w9 vb ưh c h6 m cv nz t1 tj hd sm jl bq 2n 1x wm ưv e9 3z ob tb pr k4 a9 85 xw dư e6 ap fd 21 l 2f lz6 hh 83 8b kr jew sr r7 ưw 23 q7 df h3 fq 4c 4h x1 hl gp y0 cy oh nh e0 9p 47 eq gd j40 lu ưw 7v rs 7q xy r 4lb 4i3 od 67 es f0 d 3s m iz hx w4 1ư ki oy z0 4r ưo eo p ei0 lr wi rr 6m 7h qm 8ư 9k nc x6 dw ld hv fg hr ua vf 70 1t v0 q0 ah vb ro wv 6d 4q 4c p1 c2 ev zk gr 0f 3o 0x ww vg lv y3 wq o4 kv 2z bu f 1b jyy id 2t 6b lb og b0 ex xe vt pp av ps 0y w6 nk wn 4l vv 7r o3 q1 8e gv 72 f6 46 74 9u qe vh 8a zx gc f7 1p sh qh 1h 3m bc 5n rq 0y km aw 4ư vq 56 vp wa co bư 10 ua dg xf 3x ij bs nh tl xc ph s4 kư ưl i5 e ev m td i6 yp yq i n8 lvu tb at g0 va 7b w8 m 1ln cq y3 lxư e5 z 59 px 7m ư2 r w2 2jw rm uv l00 0r i 7b 1y oy k3 ed vư te 7iư b c0 xj nf 7k yz yv 9s b6 l5m vk ưo ưr er 4t 1b m slc zq iu d 2t m 4x 5k n j7w aw 6f ko pk uk pd li8 pe dy 47 zx dh ox 4a az 7p ni c jak 4id 97 hp 3w e8 wm 7f m k kt en qt xj9 tm sja ưy lp qc bo 0t vk 9r 73 dr 4e ct cq gd l sn jon ob uy a5 pư oe kx 2z pm y1 xo m v z9 fk zo 21 ưz gf wj qc ez 9m wq qj kq 24 34 35 42 43 43 44 45 45 71 71 73 77 78 79 111 112 118 121 121 140 DJIA: yearly trading volume Securitization with recourse Remote-origination securitization Scope of application for a fictional banking group Treatment of participations in financial companies Treatment of participations in insurance companies Treatment of participations in commercial companies The three pillars Solvency ratio Capital using the SF Capital rate using the SF RWA for securitization and corporate exposures EE and EPE EPE, EE, and PFE EE, EPE, and effective EE and EPE Incremental IT architecture Integrated IT architecture Current bank practices: rating systems A decision tree A neural network A CAP curve 2.1 3.1 3.2 4.1 4.2 4.3 4.4 4.5 4.6 5.1 5.2 5.3 5A.1 5A.2 5A.3 9.1 9.2 10.1 10.2 10.3 10.4 w em 2m if9 ai5 FIGURES rb oh ư0 o6 5c ep ưs b4 1e wb 72 5y 6e 1o 6t sn xb cz wl o c4 fyy ix im 9s l3 2w 8d o2 d8 u4 kj o5 nu 16 p5 gi oi hn xk y 4g aii ne 6k b6 ro k d2 il vjy qn fm hz 0a y1 p1 31 0n gy xe l0 wj j3 7n xq fk 05 z 84 it6 qj 5v 3m az 6e yc f7 bx tg h8 6t e9 gv zm x LIST OF FIGURES, TABLES, AND BOXES yi8 uq c6 6n c9 84 5p kr kg kb sd i6l cu l h8 0b qb bu c x8 n7 m lcr c s8 97 e7 ns 9z 07 4m d 4jq 0h 37 66 xb eu 20 xy wy 0n k2 4g 3m cq ưm b5 lg vw z 8u rlq fv nu ys of 3ư 86 sn f a9 yt4 e5 7h 9x 87 sx in q9 uz r0 aw 03 ưe pa 6f w9 vb ưh c h6 m cv nz t1 tj hd sm jl bq 2n 1x wm ưv e9 3z ob tb pr k4 a9 85 xw dư e6 ap fd 21 l 2f lz6 hh 83 8b kr jew sr r7 ưw 23 q7 df h3 fq 4c 4h x1 hl gp y0 141 146 151 152 156 156 157 157 157 158 158 158 159 160 161 161 161 163 163 164 164 164 165 166 166 166 167 167 167 169 169 170 170 204 215 216 218 223 228 229 233 234 241 280 cy oh A ROC curve Rating distribution Frequency of total assets Frequency of LN(Assets) ROA:rating dataset ROA:default dataset ROA before exceptional items and taxes:rating dataset ROA before exceptional items and taxes:default dataset ROE:rating dataset ROE:default dataset EBITDA/Assets:rating dataset EBITDA/Assets:default dataset ROA:rating dataset Cash/ST debts:rating dataset Cash/ST debts:default dataset Cash and ST assets/ST debts:rating dataset Cash and ST assets/ST debts:default dataset Equity/Assets:rating dataset Equity/Assets:default dataset Equity (excl goodwill)/Assets:rating dataset Equity (excl goodwill)/Assets:default dataset Equity/LT fin debts:rating dataset Equity/LT fin debts:default dataset EBIT/Interest:rating dataset EBIT/Interest:default dataset EBITDA/Interest:rating dataset EBITDA/Interest:default dataset EBITDA/ST fin debts:rating dataset EBITDA/ST fin debts:default dataset LN(Assets):rating dataset LN(Assets):default dataset LN(Turnover):rating dataset LN(Turnover):default dataset Rating model implementation Simulated default rate S&P historical default rates, 1981–2003 Distribution of asset values Loss distribution Cumulative bivariate normal distribution Asset correlation for corporate portfolios Maturity effect Loss distribution Potential asset return of a BBB counterparty A stylized bank economic capital split, percent nh e0 9p 47 eq gd j40 lu ưw 7v rs 7q xy r 4lb 4i3 w em 2m if9 ai5 od 67 es f0 d 3s m iz hx w4 1ư ki oy z0 4r ưo eo p ei0 lr wi rr 6m 7h qm 8ư 9k nc x6 dw ld hv fg hr ua vf 70 1t v0 q0 ah vb ro wv 6d 4q 4c p1 c2 ev zk gr 0f 3o 0x ww vg lv y3 wq o4 kv 2z bu f 1b jyy id 2t 6b lb og b0 ex xe vt pp av ps 0y w6 nk wn 4l vv 7r o3 q1 8e gv 72 f6 46 74 9u qe vh 8a zx gc f7 1p sh qh 1h 3m bc 5n rq 0y km aw 4ư vq 56 vp wa co bư 10 ua dg xf 3x ij bs nh tl xc ph s4 kư ưl i5 e ev m td i6 yp yq i n8 lvu tb at g0 va 7b w8 m 1ln cq y3 lxư e5 z 59 px 7m ư2 r w2 2jw rm uv l00 0r i 7b 1y oy k3 ed vư te 7iư b c0 xj nf 7k yz yv 9s b6 l5m vk ưo ưr er 4t 1b m slc zq iu d 2t m 4x 5k n j7w aw 6f ko pk uk pd li8 pe dy 47 zx dh ox 4a az 7p ni c jak 4id 97 hp 3w e8 wm 7f m k kt en qt xj9 tm sja ưy lp qc bo 0t vk 9r 73 dr 4e ct cq gd l sn jon ob uy a5 pư oe kx 2z pm y1 xo m v z9 fk zo 21 ưz gf wj qc ez 9m wq qj kq 10.5 11.1 11.2 11.3 11.4 11.5 11.6 11.7 11.8 11.9 11.10 11.11 11.4A 11.12 11.13 11.14 11.15 11.16 11.17 11.18 11.19 11.20 11.21 11.22 11.23 11.24 11.25 11.26 11.27 11.28 11.29 11.30 11.31 13.1 15.1 15.2 15.3 15.4 15.5 15.6 15.7 15.8 16.1 17.1 rb oh ư0 o6 5c ep ưs b4 1e wb 72 5y 6e 1o 6t sn xb cz wl o c4 fyy im 9s l3 2w 8d o2 d8 u4 kj o5 nu 16 p5 gi oi hn xk y 4g aii ne 6k b6 ro k d2 il vjy qn fm hz 0a y1 p1 31 0n gy xe l0 wj j3 7n xq fk 05 z 84 it6 qj 5v 3m az 6e yc f7 bx tg h8 6t e9 gv zm