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1、新巴塞尔资本协定与风隙管理日口新巴塞尔资本协定口银行的风隙管理口金融局与银行公会新本协定共同研究小组巴塞尔资定义资本对风险性资产第支柱|最低资本规定|最低比率的原则要求监理机关对银行资一孙祥|咤玲寇林余改|本分配技术,及是否符第一支片|量淄宦市作莲人合相阡标淅净行贝、量l以市场之机制,提升练第三支桂|市墙红律ss,|行遮循第一支柱及第二支柱之要求。新巴塞尔标准法-简霞嫖孽法collateral信用嬉襄guarantees风险内部基磺On-balancesheetnetting最低评等法进阳Creditderivatives资本Assetsecuritisation|市塌|标一陶|【自作业风险监
2、理检视(审查市场纪律(公开揭露L新巴塞尔资本协定的目标一提界银行的风险管理园i梁|银行风隙的型态ASSETSLIABILITIES(on-andoff-balanceSheet)(on-andoffbalancesheet)Deposits&DebtCreditPortoloTradingPorolio/(Equiy)CaptalBalancesheatrisksduelo(maturiy)mismatchesin-Inieristrales.Exchangerales.LquidityTransactionrisks一Credtrisk、Marketrisk、OperationalriskA
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5、tbase.Geographicpenetration“Percentrevenueincrease-overafiveyearperiodValueProfitability人一.CreationRiskAbsolutecposury“Investorprofitabilitymeasures:“Exposuresadjustedfor.PIEratiomarketvolatiltyand“RoEIRoAproductsensitivity:“Valuebasedmeasures:“Basispointmeasure“EconomicValueAdded(EV内“ValueatRiskmeasure“Integrationoffinancialrisk“CapitalatRiskmeasureOrganization-thepyramidofriskmanagement3sides:“Targetrevenue“Risklimits*Guidelinesi口EaplconleGlobalrisk一Bottom-upbusinessunitretumtargetsAggregatepollolesrisksand一profitabilityTop-downRevenuesandriskiolbs雯lonitorTransactions
