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1、Bharat S Raut tied to risk weights based on external ratings Implicitly provided by the Basel Committee; tied to risk weights based on external ratings Provided by bank based on own estimates Provided by bank based on own estimates Provided by bank based on own estimates Provided by bank based on ow
2、n estimates Exposure of Default (EAD): for loans, the amount of the facility that is likely to be drawn if a default occurs Supervisory values set by the Basel Committee Supervisory values set by the Basel Committee Supervisory values set by the Basel Committee Supervisory values set by the Basel Co
3、mmittee Provided by bank based on own estimates Provided by bank based on own estimates Loss Given Default (LGD); the proportion of the exposure that will be lost if a default occurs Implicitly provided by the Basel Committee; tied to risk weights based on external ratings Implicitly provided by the
4、 Basel Committee; tied to risk weights based on external ratings Supervisory values set by the Basel Committee Supervisory values set by the Basel Committee Provided by bank based on own estimates; extensive process and internal control requirement Provided by bank based on own estimates; extensive
5、process and internal control requirement Maturity: the remaining economic maturity of the exposure Implicitly recognitionImplicitly recognitionSupervisory values set by the Basel Committee Or At national discretion, provided Supervisory values set by the Basel Committee Or At national discretion, pr
6、ovided bbk bdibbk bdi Provided by bank based on own estimates (with an allowance to exclude certain exposures) Provided by bank based on own estimates (with an allowance to exclude certain exposures) Bharat S Raut including financial collateral, guarantees, credit derivatives, “netting” (on and off
7、balance sheet) Defined by the supervisory regulator; including financial collateral, guarantees, credit derivatives, “netting” (on and off balance sheet), , and real estate and real estate All collaterals from Standardized Approach; receivables from goods and services; other physical securities if c
8、ertain criteria All collaterals from Standardized Approach; receivables from goods and services; other physical securities if certain criteria All types of collaterals if bank can prove a CRMT by internal estimation All types of collaterals if bank can prove a CRMT by internal estimation , , are met
9、are met Maturity: the remaining economic maturity of the exposure Minimum requirements for collateral management Minimum requirements for collateral management (administration/evaluation)(administration/evaluation) Same as Standardized, plus minimum requirements to ensure Same as Standardized, plus
10、minimum requirements to ensure quality of internal ratings andquality of internal ratings and Same as IRB Foundation, plus minimum requirements to ensure quality of Same as IRB Foundation, plus minimum requirements to ensure quality of estimation of all parametersestimation of all parametersexposure
11、(administration/evaluation)(administration/evaluation) Provisioning processProvisioning process qualityquality ofof internalinternal ratingsratings andand PD estimation and their use in the risk management process PD estimation and their use in the risk management process estimationestimation ofof a
12、llall parametersparameters Bharat S Raut & Co. Operational Risk Measurement Approaches under Pillar IOperational Risk Measurement Approaches under Pillar IOperationalOperational RiskRisk MeasurementMeasurement ApproachesApproaches underunder PillarPillar I I Calculation of Capital ChargeCalculation
13、of Capital ChargeBasic Indicator Approach Basic Indicator Approach Standardized ApproachStandardized ApproachAdvanced Measurement Approach (AMA)Advanced Measurement Approach (AMA) Calculation of Capital charge Average of gross income over three years as indicator Average of gross income over three y
14、ears as indicator Capital charge equals 15% of that indicator Capital charge equals 15% of that indicator Gross income per regulatory business line as indicator Gross income per regulatory business line as indicator Depending on business line, 12%, 15%, or 18% of that Depending on business line, 12%
15、, 15%, or 18% of that indit rpit lh rindit rpit lh r Capital charge equals internally generated measure based on: Capital charge equals internally generated measure based on: Internal loss dataInternal loss data External loss dataExternal loss data indiindicacat to or r as ca as capitpita al l c ch
16、ha ar rgege Total capital charge equals sum of charge per business line Total capital charge equals sum of charge per business line Scenario analysisScenario analysis Business environment and internal control factors Business environment and internal control factors Recognition of risk mitigation (up to 20% Recognition of risk mitigation (up to 20% p possibleossible) )p)p) Qualifying CriteriaNo specific criteriaNo specific criteria Compliance with the Basel Compliance with the Basel A
