the new basel an explanatory note 巴塞尔新资本协议 解释

SecretariatoftheBaselCommitteeonBankingSupervisionTheNewBaselCapitalAccord:anexplanatorynoteJanuary20011TheNewBaselCapitalAccord:anexplanatorynoteSecondconsultativepackage•July1988CurrentAccordpublished•End-1992Deadlineforimplementation•June1999FirstConsultativePackageontheNewAccord•January2001SecondConsultativePackage•End-May2001Deadlineforcomments•Ca.end-2001PublicationoftheNewAccord•2004ImplementationoftheNewBaselCapitalAccordMorethanadecadehaspassedsincetheBaselCommitteeonBankingSupervision(theCommittee)introducedits1988CapitalAccord(theAccord).Thebusinessofbanking,riskmanagementpractices,supervisoryapproaches,andfinancialmarketseachhaveundergonesignificanttransformationsincethen.InJune1999theCommitteereleasedaproposaltoreplacethe1988Accordwithamorerisk-sensitiveframework,onwhichmorethan200commentswerereceived.Reflectingthosecommentsandtheresultsofongoingdialoguewiththeindustryandsupervisorsworldwide,theCommitteeisnowpresentingamoreconcreteproposal,seekingcommentsfrominterestedpartiesby31May2001.CommentsreceivedwillbepublishedontheBIS’swebsiteattheendofthecommentperiod.TheCommitteeexpectsthefinalversionofthenewAccordtobepublishedaroundtheendof2001andtobeimplementedin2004.RationaleforanewAccord:needformoreflexibilityandrisksensitivityTheexistingAccordTheproposednewAccordFocusonasingleriskmeasureMoreemphasisonbanks’owninternalmethodologies,supervisoryreview,andmarketdisciplineOnesizefitsallFlexibility,menuofapproaches,incentivesforbetterriskmanagementBroadbrushstructureMorerisksensitivitySafetyandsoundnessintoday’sdynamicandcomplexfinancialsystemcanbeattainedonlybythecombinationofeffectivebank-levelmanagement,marketdiscipline,andsupervision.The1988Accordfocussedonthetotalamountofbankcapital,whichisvitalinreducingtheriskofbankinsolvencyandthepotentialcostofabank’sfailurefordepositors.Buildingonthis,thenewframeworkintendstoimprovesafetyandsoundnessinthefinancialsystembyplacingmoreemphasisonbanks’owninternalcontrolandmanagement,thesupervisoryreviewprocess,andmarketdiscipline.2Althoughthenewframework’sfocusisprimarilyoninternationallyactivebanks,itsunderlyingprinciplesareintendedtobesuitableforapplicationtobanksofvaryinglevelsofcomplexityandsophistication.TheCommitteehasconsultedwithsupervisorsworldwideindevelopingthenewframeworkandexpectstheNewAccordtobeadheredtobyallsignificantbankswithinacertainperiodoftime.The1988Accordprovidedessentiallyonlyoneoptionformeasuringtheappropriatecapitalofinternationallyactivebanks.Thebestwaytomeasure,manageandmitigaterisks,however,differsfrombanktobank.AnAmendmentwasintroducedin1996whichfocussedontradingrisksandallowedsomebanksforthefirsttimetousetheirownsystemstomeasuretheirmarketrisks.Thenewframeworkprovidesaspectrumofapproachesfromsimpletoadvancedmethodologiesforthemeasurementofbothcreditriskandoperationalriskindeterminingcapitallevels.Itprovidesaflexiblestructureinwhichbanks,subjecttosupervisoryreview,willadoptapproacheswhichbestfittheirlevelofsophisticationandtheirriskprofile.Theframeworkalsodeliberatelybuildsinrewardsforstrongerandmoreaccurateriskmeasurement.Thenewframeworkintendstoprovideapproacheswhicharebothmorecomprehensiveandmoresensitivetorisksthanthe1988Accord,whilemaintainingtheoveralllevelofregulatorycapital.Capitalrequirementsthataremoreinlinewithunderlyingriskswillallowbankstomanagetheirbusinessesmoreefficiently.ThenewframeworkislessprescriptivethantheoriginalAccord.Atitssimplest,theframeworkissomewhatmorecomplexthantheold,butitoffersarangeofapproachesforbankscapableofusingmorerisk-sensitiveanalyticalmethodologies.Theseinevitablyrequiremoredetailintheirapplicationandhenceathickerrulebook.TheCommitteebelievesthebenefitsofaregimeinwhichcapitalisalignedmorecloselytorisksignificantlyexceedthecosts,withtheresultthatthebankingsystemshouldbesafer,sounder,andmoreefficient.StructureofthenewAccordThreepillarsofthenewAccord•Firstpillar:minimumcapitalrequirement•Secondpillar:supervisoryreviewprocess•Thirdpillar:marketdisciplineThenewAccordconsistsofthreemutuallyreinforcingpillars,whichtogethershouldcontributetosafetyandsoundnessinthefinancialsystem.TheCommitteestressestheneedforrigorousapplicationofallthreepillarsandplanstoworkactivelywithfellowsupervisorstoachievetheeffectiveimplementationofallaspectsoftheAccord.3ThefirstPillar:minimumcapitalrequirementThefirstpillarsetsoutminimumcapitalrequirements.Thenewframeworkmaintainsboththecurrentdefinitionofcapitalandtheminimumrequirementof8%ofcapitaltorisk-weightedassets.Toensurethatriskswithintheentirebankinggroupareconsidered,therevisedAccordwillbeextendedonaconsolidatedbasistoholdingcompaniesofbankinggroups.Therevisionfocusesonimprovementsinthemeasurementofrisks,i.e.,thecalculationofthedenominatorofthecapitalratio.ThecreditriskmeasurementmethodsaremoreelaboratethanthoseinthecurrentAccord.Thenewframeworkproposesforthefirsttimeameasureforoperationalrisk,whilethemarketriskmeasureremainsunchanged.Forthemeasurementofcreditrisk,twoprincipaloptionsarebeingproposed.Thefirstisthestandardisedapproach,andthesecondtheinternalratingbase