金融專業(yè)畢業(yè)論文外文翻譯--關(guān)于巴塞爾ii新巴塞爾資本協(xié)議的影響

1、<p>　　論文題目： 關(guān)于巴塞爾II：新巴塞爾資本協(xié)議的影響 　　　　　　　　　　　</p><p>　　外文題目：Dealing with Basel II: the impact of the New Basel Capital Accord </p><p>　　出 處：

2、 Balance Sheet,2003,Vol.11(No.4) </p><p>　　作 者： Thomas Garside and Jens Bech </p><p>　　譯 文： </

3、p><p>　　關(guān)于巴塞爾II：新巴塞爾資本協(xié)議的影響</p><p>　　托馬斯·加賽德和杰尼斯·伯克</p><p>　　摘要：國際監(jiān)管機(jī)構(gòu)在2003年完成新資本協(xié)議，銀行決定在2006年底執(zhí)行這個協(xié)議。巴塞爾協(xié)議是對全球銀行業(yè)改革的監(jiān)管。在本文中，我們回顧新巴塞爾資本協(xié)議內(nèi)容以及一些我們所期望對歐洲銀行業(yè)發(fā)生的重要影響。正如在第一屆巴塞爾協(xié)議修

4、正案（Basel I）中，我們得出結(jié)論，新巴塞爾協(xié)議不僅對持有資本額的數(shù)量做了規(guī)定，還對銀行業(yè)的戰(zhàn)略格局進(jìn)行展望。</p><p>　　關(guān)鍵詞：銀行，流動性，監(jiān)管，風(fēng)險(xiǎn)管理</p><p>　　新巴塞爾資本協(xié)議的新規(guī)則</p><p>　　巴塞爾委員會雖然只是公布了三分之一，但這很可能是協(xié)商的最后新資本協(xié)議（Basel II）文件。這項(xiàng)建議如獲通過，將會深刻地改變銀

5、行的償付能力的方式，監(jiān)管機(jī)構(gòu)監(jiān)管銀行風(fēng)險(xiǎn)管理實(shí)施過程和銀行必須對市場參與者公布的風(fēng)險(xiǎn)信息量，經(jīng)過討論會，巴塞爾委員會預(yù)計(jì)將在2003年底發(fā)布的新資本協(xié)議的最后草案。</p><p>　　目前的巴塞爾資本協(xié)議（Basel I）對達(dá)到加強(qiáng)國際金融體系的穩(wěn)定的既定目標(biāo)已經(jīng)有了顯著成效，通過在不同國家持續(xù)應(yīng)用本協(xié)議的同時(shí)，增加了資本水平，創(chuàng)造了一個更公平的競爭領(lǐng)域?？偟膩碚f，目前的全球一級資本的平均水平從1993年的約6

6、%升至8%，此外，巴塞爾資本協(xié)議已經(jīng)應(yīng)用于100多個國家，遠(yuǎn)遠(yuǎn)超過最初的預(yù)期。</p><p>　　盡管實(shí)現(xiàn)其最初目標(biāo)的成效很明顯，很顯然，對于巴塞爾我有一些意想不到的不良后果，這是因?yàn)槟壳皼Q定的最低資本要求方式相對粗略。根據(jù)目前的做法，銀行必須持有合格股東權(quán)益賬面價(jià)值(一級和二級資本)的百分之八風(fēng)險(xiǎn)加權(quán)資產(chǎn)（RWAs）。在識別了潛在的有限信貸風(fēng)險(xiǎn)之后，大部分資產(chǎn)被完全加權(quán)。</p><p&g

7、t;　　對公司債券發(fā)行人或者經(jīng)濟(jì)合作與發(fā)展組織的銀行和政府發(fā)行的高風(fēng)險(xiǎn)貸款的完全風(fēng)險(xiǎn)加權(quán)資產(chǎn)或零風(fēng)險(xiǎn)加權(quán)的資產(chǎn)而言，目前的協(xié)議條款缺乏足夠的風(fēng)險(xiǎn)靈活性，這也意味著許多銀行已經(jīng)偏離了具有吸引力的價(jià)格定位。巴塞爾的另一個不良影響表現(xiàn)為監(jiān)管機(jī)構(gòu)在限制負(fù)債資產(chǎn)增長的同時(shí)，監(jiān)管機(jī)構(gòu)也在追逐更大的套利回報(bào)（例如，憑借364天的循環(huán)貸款和風(fēng)險(xiǎn)加權(quán)資產(chǎn)驅(qū)動的證券化計(jì)劃）。</p><p>　　現(xiàn)行做法的再一個缺陷就是只考慮信貸風(fēng)

8、險(xiǎn)和市場風(fēng)險(xiǎn)，卻忽視操作風(fēng)險(xiǎn)。這也意味著，如咨詢服務(wù)，資產(chǎn)管理，保管及吸收存款等現(xiàn)行的業(yè)務(wù)路線逐漸被認(rèn)為是 “毫無風(fēng)險(xiǎn)的”。</p><p>　　圖1已經(jīng)簡明扼要的總結(jié)了關(guān)于新巴塞爾協(xié)議設(shè)法解決與它前身相關(guān)問題的途徑，如圖1所示?？梢钥闯?，新巴塞爾協(xié)議圍繞三個涵蓋最低資本充足率，監(jiān)督審查和市場準(zhǔn)則等核心問題。 </p><p>　　核心1的規(guī)定是為了防范銀行信貸風(fēng)險(xiǎn)在最低資本充足率（在巴塞

9、爾協(xié)議的基礎(chǔ)之上有了大幅度地修改和提高），市場風(fēng)險(xiǎn)（1997年巴塞爾修正案的基礎(chǔ)，未作修改）和操作風(fēng)險(xiǎn)（新巴塞爾中的新增項(xiàng)目）上暴露的風(fēng)險(xiǎn)。</p><p>　　關(guān)于信貸風(fēng)險(xiǎn)，銀行可以選擇核心1中的三種途徑作為參考：標(biāo)準(zhǔn)化的方法很大程度上依賴于外部評級和監(jiān)管水平。另一種方法是以內(nèi)部評級（IRB）作為基礎(chǔ)的的方法，其允許銀行使用內(nèi)部模型來計(jì)算資本充足率。這兩種方法在依賴于銀行實(shí)際投資行為的程度上有著相對復(fù)雜的不同：

10、簡單的內(nèi)部評級基本方法都眾所周知，復(fù)雜的就是先進(jìn)的內(nèi)部評級方法，因此，不同于巴塞爾協(xié)議的做法，個別銀行采取不同的最低資本充足率取決于其內(nèi)部信貸風(fēng)險(xiǎn)管理能力的復(fù)雜性和各自借貸要求的風(fēng)險(xiǎn)特征，如圖2中描述。</p><p>　　圖1 新巴塞爾資本協(xié)議的框架</p><p>　　圖2 核心1中信貸風(fēng)險(xiǎn)的三種途徑</p><p>　　以上是三種識別操作風(fēng)險(xiǎn)的可行途徑。兩

11、個常用的包括基本的和標(biāo)準(zhǔn)的方法，針對操作風(fēng)險(xiǎn)要求列舉總收入(或者，特殊情況下的資產(chǎn))的百分比。也是最復(fù)雜的、最先進(jìn)的衡量方法(AMA)，它推動了操作風(fēng)險(xiǎn)量化的前沿，但其資本影響尚未確定。</p><p>　　新巴塞爾協(xié)議的核心2要求監(jiān)管機(jī)構(gòu)評估銀行風(fēng)險(xiǎn)管理流程的合理性和維系較高償付能力目標(biāo)水平的資本地位。新巴塞爾協(xié)議中明確指出：期望銀行能夠繼續(xù)持有通過核心1下計(jì)算的超過最低水平資本的部分。他的評價(jià)是要在對該機(jī)構(gòu)進(jìn)

12、行徹底審查企業(yè)范圍內(nèi)的風(fēng)險(xiǎn)管理能力為基礎(chǔ)，某種程度上，這種的內(nèi)部風(fēng)險(xiǎn)測量工具已經(jīng)被個別銀行運(yùn)用到日常業(yè)務(wù)中了。如果風(fēng)險(xiǎn)或資本管理流程被認(rèn)為不令人滿意，監(jiān)管機(jī)構(gòu)必須介入進(jìn)行干預(yù)。</p><p>　　最后，核心3是為了培育增強(qiáng)個別傳統(tǒng)市場紀(jì)律和歷史不透明的銀行風(fēng)險(xiǎn)和資本管理。通過要求加強(qiáng)披露的深度和廣度，將首次從根本上打破銀行財(cái)務(wù)報(bào)告，敏感風(fēng)險(xiǎn)參數(shù)和銀行風(fēng)險(xiǎn)承擔(dān)強(qiáng)制報(bào)告的形式。巴塞爾委員會也與國際會計(jì)標(biāo)準(zhǔn)(IAS)

13、組織一道參與，以確保報(bào)告要求的一致性。因此，我們希望這些新的要求，將為未來全球金融服務(wù)機(jī)構(gòu)的報(bào)告設(shè)定標(biāo)準(zhǔn)。</p><p><b>　　贏家和輸家</b></p><p>　　建立更加靈活性的風(fēng)險(xiǎn)框架意味著資本充足率將改變貫穿業(yè)務(wù)，銀行和地區(qū)等限制。反過來，這意味著巴塞爾II資本要求的條款下將有贏家和輸家。為了確定贏家和輸家，我們分析了新巴塞爾協(xié)議對組成信貸和操作風(fēng)險(xiǎn)

14、的最低資本充足率各種因素的影響。我們的分析完善了由巴塞爾委員會公布了2003年5月最終定量影響研究(QIS3) 的結(jié)果。我們的分析結(jié)果和QIS3的區(qū)別關(guān)鍵在于，我們的目標(biāo)是, 評估新巴塞爾協(xié)議的最終影響。而QIS3反映了目前的現(xiàn)狀，舉例來說，只有相對成熟的銀行有能力使用內(nèi)部評級方法來評估信貸資本充足率。</p><p>　　我們的估計(jì)表明，在內(nèi)部評級方法的基礎(chǔ)之上，銀行業(yè)總體的最低資本充足率作為一個整體將大概不會

15、變化。隨標(biāo)準(zhǔn)化方法增加和隨內(nèi)部評級方法減少，符合新巴塞爾協(xié)議(和QIS3)提出維持現(xiàn)有總體資產(chǎn)水平的目標(biāo)，并全面激勵改進(jìn)風(fēng)險(xiǎn)管理。</p><p>　　如圖3所示，在歐洲，有效風(fēng)險(xiǎn)加權(quán)資產(chǎn)量隨著產(chǎn)品類型的不同而不斷變化 (包含信貸和操作風(fēng)險(xiǎn)) 。</p><p>　　法人風(fēng)險(xiǎn)加權(quán)資產(chǎn)的變化嚴(yán)重依賴評級。畢竟尺度是公司違約風(fēng)險(xiǎn)(PD)的一個主導(dǎo)因素，非零售企業(yè)的風(fēng)險(xiǎn)加權(quán)資產(chǎn)增長的，反之，大型

16、企業(yè)的持有總額將削減。最大的削減就是抵押貸款。正常情況下，其他零售產(chǎn)品也是“大贏家”， 盡管這其中包括使資本充足率下的個人貸款和內(nèi)部評級中所需的逐漸增加的信用卡，但這兩者之間存在潛在的重大差異。目前大部分零加權(quán)的主權(quán)國家很大可能相應(yīng)最大程度地增加最低所需資本。</p><p>　　同樣的，西歐國家有效風(fēng)險(xiǎn)加權(quán)資產(chǎn)的不同主要基于他們在總體投資組合的分散性和風(fēng)險(xiǎn)參數(shù)方面的差異。在風(fēng)險(xiǎn)相對較低和銀行零售貸款業(yè)務(wù)高度集中

17、的北歐地區(qū)，內(nèi)部評級中的風(fēng)險(xiǎn)加權(quán)資產(chǎn)可能會遭受的大幅的下降。假設(shè)對比意大利和德國目前的趨勢，德國會出現(xiàn)更大的增幅?！?lt;/p><p>　　圖3 歐洲不同產(chǎn)品的風(fēng)險(xiǎn)加權(quán)資產(chǎn)期望值</p><p>　　總之，資本充足率的調(diào)整作為目前業(yè)務(wù)組合的功能。風(fēng)險(xiǎn)管理的形勢和復(fù)雜性，以及內(nèi)部評級中大部分銀行的監(jiān)管資本可能出現(xiàn)縮減，有些銀行的這些資本則會增加。隨之而來的事實(shí)就是當(dāng)銀行偏向內(nèi)部評級時(shí)，更大比

18、例的銀行投資組合將被限定，有可能進(jìn)一步推動了信用風(fēng)險(xiǎn)轉(zhuǎn)換工具的使用，如信用衍生工具、資產(chǎn)證券化和二級債務(wù)資本市場的交易。</p><p>　　采用新巴塞爾協(xié)議對改善經(jīng)營業(yè)績有著顯著的影響</p><p>　　發(fā)展至今的銀行業(yè)整體實(shí)現(xiàn)進(jìn)化只有逐漸以節(jié)約為主的股東價(jià)值管理為導(dǎo)向。由于其廣泛的影響，新巴塞爾協(xié)議這種應(yīng)加快這一趨勢。較之于漸漸推廣的“最佳做法”，巴塞爾的要求將影響歐洲所有的銀行(包

19、括占相當(dāng)比例的北美銀行資產(chǎn))，促使“落后者”加快了速度。</p><p>　　另外，資本手段促進(jìn)經(jīng)濟(jì)資本的實(shí)施和規(guī)避風(fēng)險(xiǎn)后的回報(bào)率的關(guān)鍵障礙往往就是缺乏一個可靠的定量的內(nèi)部評級體系。遵循新的內(nèi)部評級方法，并在信貸業(yè)務(wù)的精細(xì)水平上兌現(xiàn)這些措施，它將提供所需的大部分參數(shù)。此外，對操作風(fēng)險(xiǎn)而言，新資本協(xié)議為其提供了歸屬于非信用經(jīng)濟(jì)資本或市場風(fēng)險(xiǎn)的密集行為的基礎(chǔ)（雖然目前并不完善），如資產(chǎn)管理、處理和資產(chǎn)證券化。<

20、/p><p>　　隨著新巴塞爾協(xié)議的指標(biāo)在其業(yè)務(wù)體系尚未整合風(fēng)險(xiǎn)調(diào)整措施的銀行中的實(shí)施，那些已經(jīng)作出這種轉(zhuǎn)變，并走在隊(duì)伍前列的銀行的經(jīng)驗(yàn)將是一面鏡子，可以預(yù)期的重要戰(zhàn)略措施包括：</p><p><b>　　風(fēng)險(xiǎn)定價(jià)</b></p><p>　　總所周知，對信貸市場而言，風(fēng)險(xiǎn)定價(jià)是無效。雖然這部分是由于銀行使用信用卡出售非信貸業(yè)務(wù)的首要損失，這也反

21、映了許多銀行無法準(zhǔn)確地量化使其維持在足夠精細(xì)的水平的信用風(fēng)險(xiǎn)。內(nèi)部評級標(biāo)準(zhǔn)評價(jià)工具將為量化風(fēng)險(xiǎn)提供一個堅(jiān)實(shí)的基礎(chǔ)，并通過滲入更有效的風(fēng)險(xiǎn)定價(jià)機(jī)制，使之走的更遠(yuǎn)。 </p><p>　　重新制定對企業(yè)和中小企業(yè)的投資組合的信用審核</p><p>　　內(nèi)部評級標(biāo)準(zhǔn)的評價(jià)工具，也可以作為一種調(diào)整工具，在信貸審批過程中為限額設(shè)定，貸款服務(wù)和監(jiān)測進(jìn)程等風(fēng)險(xiǎn)資源提供最佳指南。通過利用新評價(jià)工具的信息

22、內(nèi)容，銀行可以重新設(shè)計(jì)信貸成本流程，使他們達(dá)到“更快，更好，更省”的效果。</p><p><b>　　改進(jìn)操作風(fēng)險(xiǎn)</b></p><p>　　巴塞爾協(xié)議提出的資本支出必將引導(dǎo)改進(jìn)操作風(fēng)險(xiǎn)績效，即使只存在著微妙的聯(lián)系，重點(diǎn)在于操作風(fēng)險(xiǎn)識別、風(fēng)險(xiǎn)損失報(bào)告、風(fēng)險(xiǎn)監(jiān)控和風(fēng)險(xiǎn)控制。</p><p><b>　　積極的投資組合管理</b

23、></p><p>　　實(shí)施更好的風(fēng)險(xiǎn)和收益的措施將促進(jìn)積極的投資組合管理，即投資組合經(jīng)理需尋求優(yōu)化的貸款，以確定資產(chǎn)負(fù)債表中風(fēng)險(xiǎn)收益組合的配置，哪些該保值，哪些該被拋售到二級市場?！　?lt;/p><p>　　顧客價(jià)值管理和關(guān)系經(jīng)理績效</p><p>　　使用內(nèi)部評級標(biāo)準(zhǔn)的風(fēng)險(xiǎn)測量工具宜允許銀行對個別客戶和客戶關(guān)系經(jīng)理的經(jīng)濟(jì)附加價(jià)值進(jìn)行評估，為優(yōu)化客戶分類和獎

24、勵客戶關(guān)系經(jīng)理創(chuàng)造價(jià)值的能力提供更好的機(jī)會。</p><p>　　新巴塞爾協(xié)議標(biāo)準(zhǔn)工具的潛在杠桿作用足以彌補(bǔ)大多數(shù)企業(yè)的平均合理花費(fèi)。</p><p>　　最佳實(shí)務(wù)風(fēng)險(xiǎn)和資本管理是關(guān)鍵</p><p>　　新巴塞爾協(xié)議代表了風(fēng)險(xiǎn)和資本管理的新紀(jì)元，并在銀行戰(zhàn)略定位中發(fā)揮著日益核心的功能，因此，這是風(fēng)險(xiǎn)和資產(chǎn)負(fù)債管理中的一種進(jìn)步，它的潛在成功也給后巴塞爾世界釋放了明確

25、的信號。</p><p>　　實(shí)現(xiàn)最佳實(shí)務(wù)方法包括:</p><p>　　遵循新巴塞爾協(xié)議，信貸風(fēng)險(xiǎn)將維持在接近于內(nèi)部評級的先進(jìn)水平，否則它毫不具有重要戰(zhàn)略意義。</p><p>　　加快建立信貸投資組合模型和（正在進(jìn)行的）經(jīng)濟(jì)效率的風(fēng)險(xiǎn)轉(zhuǎn)移措施的論證，并已被證實(shí)。</p><p>　　實(shí)現(xiàn)趨向一體化的資本管理跨越：</p>&

26、lt;p>　　優(yōu)化資本總額和一級 / 二級資本市場的結(jié)合，包括監(jiān)管機(jī)構(gòu)、評級機(jī)構(gòu)、債權(quán)人及股東關(guān)注的資本和資本成本。</p><p>　　對內(nèi)部資本資源進(jìn)行有效的經(jīng)濟(jì)配置。</p><p>　　加強(qiáng)風(fēng)險(xiǎn)評估和資本經(jīng)營之間的組織聯(lián)系。</p><p>　　建立為以價(jià)值導(dǎo)向的業(yè)務(wù)規(guī)劃提供支持的資本預(yù)測。</p><p>　　增加風(fēng)險(xiǎn)和資產(chǎn)負(fù)

27、債結(jié)構(gòu)的披露方面的透明度，同時(shí)積極主動地加強(qiáng)主要風(fēng)險(xiǎn)、資本指標(biāo)和外部客戶戰(zhàn)略方面的溝通。</p><p>　　隨著市場調(diào)整適應(yīng)新的披露機(jī)制和監(jiān)管機(jī)構(gòu)發(fā)揮的日益強(qiáng)大的作用，金融服務(wù)的競爭環(huán)境將會相應(yīng)的轉(zhuǎn)移，除了對銀行內(nèi)部的風(fēng)險(xiǎn)和資本管理水平有明顯提升作用之外，還需對銀行的業(yè)務(wù)模式進(jìn)行重新評估，并且需要更清楚地對股東價(jià)值的交割目標(biāo)進(jìn)行溝通。</p><p>　　現(xiàn)在是不得不作出戰(zhàn)略和戰(zhàn)術(shù)決定的

28、時(shí)候了，以應(yīng)對新巴塞爾世界的到來。為銀行業(yè)制定的新規(guī)則已經(jīng)起草并準(zhǔn)備實(shí)施，監(jiān)管政策很大程度上的變化也將隨之而來。</p><p><b>　　導(dǎo)師評語：</b></p><p><b>　　簽字：</b></p><p>　　年 月 日</p><p>　　Dealing with Ba

29、sel II: the impact of theNew Basel Capital Accord</p><p>　　ThomasGarsideandJensBech</p><p>　　Abstract International regulators are due to finalize the New Basel Capital Accord by the end of 200

30、3,for implementation by banks at the end of 2006.BaselII is a response to the need for reform of the regulatory system governing the global banking industry.In this article,we review the New Basel Capital Accord and summ

31、arize some of the main implications that we expect it to have on the European banking industry.As was the case for the first Basel Accord(BaselI),we conclude that not only will th</p><p>　　Keywords Banking,

32、Liquidity,Regulation,Risk management</p><p>　　The new rules of the game</p><p>　　The Base Committee released a third,and likely to be final,consultative paper for a New Capital Accord(BaselII).T

33、he proposal,if adopted,will change profoundly the way banks assess the adequacy of solvency levels,the role of regulators in supervising the prudence of banks'risk management practices and the amount of risk informat

34、ion that banks must publish to market participants.Following a consultation period,the Basel Committee is expected to release a final draft of the New Capital Accord late </p><p>　　The current Basel Capital

35、Accord(BaselI) has had considerable success in reaching its stated aims of strengthening the stability of the international banking system,by increasing capital levels and creating a more level playing field through the

36、consistent application of the accord in different countries.In aggregate,current global average levels of Tier 1 capital rose to 8 percent from approximately 6 percent in 1993.Moreover,BaselI is used in more than 100 cou

37、ntries,far more than was initially</p><p>　　Despite this apparent success in achieving its primary goals,it is clear that Basel I has also had some unintended and undesirable effects,owing to the relatively

38、crude way in which minimum capital requirements are currently determined.Under the current approach,banks must hold 8 percent of risk-weighted assets(RWAs) in eligible book equity (Tier 1 and Tier 2 capital).Most assets

39、are fully-weighted,with very limited recognition of underlying credit risk.</p><p>　　The lack of risk-sensitivity of the current accord has meant that many banks have migrated away from attractively priced,f

40、ully RWAs to higher-risk lending or to zero RWAs,even if these assets are to low quality corporate issuers and OECD banks/governments.Another symptom of the undesirable effects of Basel I has been the increasing use of r

41、egulatory arbitrage aimed at growing returns while limiting regulatory balance sheet growth(e.g.via364-day revolving loans and RWA-driven securitizations).Ano</p><p>　　The way in which Basel II seeks to addr

42、ess many of the problems associated with its predecessor is briefly summarized in Figure 1.As can be seen,Basel II is built around three pillars covering minimum capital requirements,supervisory review and market discipl

43、ine.</p><p>　　Pillar I specifies minimum capital requirements for banks'exposure to credit risk(substantially revised and enhanced from Basel I),market risk(unchanged from a 1997 Amendment to Basel I) an

44、d operational risk(new in Basel II).</p><p>　　For credit risk,banks can choose from three approaches under Pillar I:The standardized approach relies largely on external ratings and regulatory benchmarks.The

45、other approaches are both internal ratings-based(IRB)approaches,that allow banks to use their internal models to calculate capital requirements.The two approaches differ in their relative sophistication and the degree to

46、 which a bank is allowed to rely on its actual portfolio behavior:the simpler is known as the IRB foundation approach,t</p><p>　　Figure 1 Framework of the Basel II Accord</p><p>　　Figure 2 The t

47、hree approaches to credit risk under Pillar I</p><p>　　There are also three possible approaches for operational risk.The two simplest,the basic and standardized approaches,require a percentage of gross incom

48、e(or,in special cases,assets)to be held against operational risks.The most sophisticated,the advanced measurement approach(AMA),pushes the frontier of operational risk quantification,and its capital implications have not

49、 yet been finalized.</p><p>　　Pillar II of Basel II requires regulators to assess the appropriateness of a bank's risk manage-ment processes and capital position to sustain a target level of solvency.Bas

50、el II is explicit in its expectation that banks will continue to hold capital in excess of the minimum levels derived through the Pillar I calculations.This assessment is to be based on a thorough review of the instituti

51、on's firm-wide risk management capabilities and degree to which such internal risk measurement tools are us</p><p>　　Regulators are required to intervene if risk or capital management processes are deeme

52、d unsatisfactory.</p><p>　　Finally,Pillar III is intended to foster increased market discipline into the traditionally private and historically opaque world of bank risk and capital management.It will fundam

53、entally trans-form financial reporting for banks by demanding increased depth and breadth of disclosure including,for the first time,compulsory reporting of sensitive risk parameters and the risk profile of the banks'

54、;exposures.The Basel Committee has worked with the International Accounting Standard(IAS) Board to ensur</p><p>　　Winners and losers</p><p>　　Moving to a more risk-sensitive framework means that

55、 capital requirements will change across business lines,banks and regions.This,in turn,means that there will be winners and losers in terms of capital requirement sunder Basel II.To identify the winners and the losers,we

56、 have analyzed Basel II's impact on the various factors that make up the minimum capital requirements for credit and operational risk[1].Our analysis complements the results of the final quantitative impact study(QIS

57、3),which was</p><p>　　Our estimates indicate that total minimum capital requirements for the banking industry as a whole will be roughly unchanged under the IRB foundation approach,increase under the standar

58、dized approach and decrease under IRB advanced.This is consistent with Basel II's stated aim of maintaining current total capital levels (and with QIS3),and provides an overall incentive to improve risk management.&l

59、t;/p><p>　　The effective RWAs(combining both credit and operational risk applied to different product types in Europe are likely to change by different amounts as shown in Figure3.</p><p>　　Changes

60、 in corporate RWAs are heavily ratings-dependent.Since size is a key driver of the probability of default(PD) for corporations,RWAs are likely to rise for non-retail SMEs,while aggregate capital held against large corpor

61、ations will drop.The biggest reductions are in mortgages.Other retail products are also “l(fā)arge gainers” on average,though this includes potentially significant differences between personalloans,where capital requirements

62、 decrease,and credit cards,where increases may occur </p><p>　　Similarly the effective RWAs applied to Western European countries are likely to vary based on differences in their aggregate portfolio splits a

63、nd risk parameters.The Nordic region,with a high concentration in retail lending and relatively low risk,will experience a substantial drop in overall RWAs under the IRB approaches.In cont rast Italy-and assuming current

64、 trends,Germany-are likely to see the biggest increases.</p><p>　　In summary,changes to regulatory capital requirements will be a function of existing business</p><p>　　mix,geography and sophist

65、ication of risk management and while most banks are likely to see a reduction in regulatory capital under IRB approaches,some banks will see these requirements increase.This,together with the fact that a far greater prop

66、ortion of bank portfolios will be rated as banks migrate to IRB approaches,is likely to provide further impetus to the use of credit risk transfer methods such as credit derivatives,securitization and trading in the seco

67、ndary debt capital markets.</p><p>　　Using Basel II to improve business performance</p><p>　　The banking industry overall has so far evolved only slowly toward economically-based</p><

68、p>　　shareholder value management.Basel II should accelerate this trend because of its widespread</p><p>　　impact.In contrast with the gradual diffusion of“bestpractice”,the Basel requirements will</p&g

69、t;<p>　　affect all banks in Europe(and a significant proportion of the banking assets held in North</p><p>　　America),speeding up the“slowest ship in the convoy”.</p><p>　　Moreover,the ke

70、y stumbling block to effective implementation of economic capital and risk-</p><p>　　adjusted return on capital techniques has often been the lack of acredible quantitative-based</p><p>　　intern

71、al rating system.Compliance with the new IRB approaches will provide most of the parameters needed to deliver these measures at a granular level in credit businesses.In</p><p>　　addition,the new capital requ

72、irement for operational risk will provide a basis(albeit currently</p><p>　　imperfect) for attributing economic capital to non-credit or market-risk intensive activities,such as asset management,custody or s

73、ecurities processing.</p><p>　　As the new Basel II metrics are implemented in banks that have not yet integrated risk-adjusted measures into their business systems,their experience is likely to mirror that o

74、f leading banks which have already made this transition.Some of the key tactical improvements that can be expected include:</p><p>　　Pricing for risk:Credit markets are not oriously ineffective in pricing fo

75、r risk.While this is partly due to banks using credit as a loss leader to sell non-credit services,it also reflects the inability of many banks to quantify credit risk accurately at a sufficiently granular level.IRB comp

76、liant rating tools will provide a strong basis for quantifying risk,and should go a long way toward instilling more effective risk-pricing discipline.</p><p>　　Credit process redesign for corporate and SME p

77、ortfolios:IRB-compliant rating tools can also serve as an excellent guide for aligning resources with risk in credit approval,limit setting,loan servicing and monitoring processes.By leveraging the information content of

78、 the new rating tools,banks can redesign expensive credit processes,making them“faster,better,and cheaper”.</p><p>　　Operational risk improvement:The new focus on operational risk identification,loss reporti

79、ng,monitoring,and controls-even if only tenuously linked to Basel II's proposed capital charges-will inevitably lead to improved operational risk performance.</p><p>　　Active portfolio management:The imp

80、lementation of better risk and profitability measures will facilitate active portfolio management whereby portfolio managers will seek to optimize the risk-return profile of the portfolio by determining which loans to ho

81、ld on balance sheet,which to hedge,and which to sell off into the secondary market.</p><p>　　Customer value management and relationship manager performance:Theuse of IRB-compliant risk measurement tools shou

82、ld allow banks to assess the economic value added by individual customers and relationship managers,providing better opportunities for optimizing customer segmentation and rewarding relationship managers on thei ability

83、to create value.</p><p>　　Leveraging the potential of Basel II compliant tools should more than compensate for the average compliance spent in most businesses.</p><p>　　Best practice risk and ca

84、pital management is key</p><p>　　Basel II represents a new era for risk and capital management,with these function sbecoming increasingly central to a bank's strategic positioning.Hence,advances in risk

85、and balance sheet management are a clear signal of potential success in the post-Basel world.</p><p>　　Best practices to look for include:</p><p>　　Basel II compliance at close-to IRB advanced l

86、evel for credit risk,unless this is clearly not strategically important.</p><p>　　Proven capability in credit portfolio modeling and (where undertaken) demonstration of economic efficiency of risk-transfer i

87、nitiatives.</p><p>　　Moves towards integrated capital management,spanning:</p><p>　　1. optimization of total capital and Tier 1/Tier 2 mix while accounting for regulator,rating agency,creditor a

88、nd shareholder concerns and costs of capital;</p><p>　　2. efficient economic allocation of internal capital resources；</p><p>　　3. closer organizational link between risk measurement and capital

89、 management；and</p><p>　　4.capital forecasting supporting value-based business planning.</p><p>　　Increased transparency with respect to disclosures of risk and balance sheet structure,</p>

90、;<p>　　and proactive communication of key risk and capital metrics and strategies to external constituencies</p><p>　　As markets adjust to new disclosures and regulators take on increasingly powerful

91、roles,the</p><p>　　competitive environment in financial services will shift accordingly.Apart from the obvious</p><p>　　upgrading of the roles of risk and capital management within banks,busines

92、s models will need to bere-evaluated and goals for the delivery of shareholder value will need to be more clearly communicated.</p><p>　　Now is the time to make the strategic and tactical decisions required