金融学专业外文翻译(中英对照、翻译专业修改好了的)

论文题目：关于巴塞尔II：新巴塞尔资本协议的影响

学院名称：财经学院专业班级：金融0814班学生姓名：王庆贺

外文题目：Dealing with Basel II: the impact of the New Basel Capital Accord 出处：Balance Sheet,2003,Vol.11(No.4)

作者：Thomas Garside and Jens Bech

译文：

关于巴塞尔II：新巴塞尔资本协议的影响

托马斯·加赛德和杰尼斯·伯克

摘要：国际监管机构在2003年完成新资本协议，银行决定在2006年底执行这个协议。巴塞尔协议是对全球银行业改革的监管。在本文中，我们回顾新巴塞尔资本协议内容以及一些我们所期望对欧洲银行业发生的重要影响。正如在第一届巴塞尔协议修正案（Basel I）中，我们得出结论，新巴塞尔协议不仅对持有资本额的数量做了规定，还对银行业的战略格局进行展望。

关键词：银行，流动性，监管，风险管理

新巴塞尔资本协议的新规则

巴塞尔委员会虽然只是公布了三分之一，但这很可能是协商的最后新资本协议（Basel II）文件。这项建议如获通过，将会深刻地改变银行的偿付能力的方式，监管机构监管银行风险管理实施过程和银行必须对市场参与者公布的风险信息量，经过讨论会，巴塞尔委员会预计将在2003年底发布的新资本协议的最后草案。

目前的巴塞尔资本协议（Basel I）对达到加强国际金融体系的稳定的既定目标已经有了显著成效，通过在不同国家持续应用本协议的同时，增加了资本水平，创造了一个更公平的竞争领域。总的来说，目前的全球一级资本的平均水平从1993年的约6%升至8%，此外，巴塞尔资本协议已经应用于100多个国家，远远超过最初的预期。

尽管实现其最初目标的成效很明显，很显然，对于巴塞尔我有一些意想不到的不

良后果，这是因为目前决定的最低资本要求方式相对粗略。根据目前的做法，银行必须持有合格股东权益账面价值(一级和二级资本)的百分之八风险加权资产（RWAs）。在识别了潜在的有限信贷风险之后，大部分资产被完全加权。

对公司债券发行人或者经济合作与发展组织的银行和政府发行的高风险贷款的完全风险加权资产或零风险加权的资产而言，目前的协议条款缺乏足够的风险灵活性，这也意味着许多银行已经偏离了具有吸引力的价格定位。巴塞尔的另一个不良影响表现为监管机构在限制负债资产增长的同时，监管机构也在追逐更大的套利回报（例如，凭借364天的循环贷款和风险加权资产驱动的证券化计划）。

现行做法的再一个缺陷就是只考虑信贷风险和市场风险，却忽视操作风险。这也意味着，如咨询服务，资产管理，保管及吸收存款等现行的业务路线逐渐被认为是“毫无风险的”。

图1已经简明扼要的总结了关于新巴塞尔协议设法解决与它前身相关问题的途径，如图1所示。可以看出，新巴塞尔协议围绕三个涵盖最低资本充足率，监督审查和市场准则等核心问题。

核心1的规定是为了防范银行信贷风险在最低资本充足率（在巴塞尔协议的基础之上有了大幅度地修改和提高），市场风险（1997年巴塞尔修正案的基础，未作修改）和操作风险（新巴塞尔中的新增项目）上暴露的风险。

关于信贷风险，银行可以选择核心1中的三种途径作为参考：标准化的方法很大程度上依赖于外部评级和监管水平。另一种方法是以内部评级（IRB）作为基础的的方法，其允许银行使用内部模型来计算资本充足率。这两种方法在依赖于银行实际投资行为的程度上有着相对复杂的不同：简单的内部评级基本方法都众所周知，复杂的就是先进的内部评级方法，因此，不同于巴塞尔协议的做法，个别银行采取不同的最低资本充足率取决于其内部信贷风险管理能力的复杂性和各自借贷要求的风险特征，如图2中描述。

1.设定最低可接

受的资本水平

2.强化信用风险

评定

-

公共评级

-内部评级

-减缓

3.明确的操作风

险应对措施

4.市场风险结构,

资本定义/

比例保持不变 1.银行必须评估应对风险偿付能力2.监督审查银行核算和资本策略3.严格控制最低资本水平超额限度4.监管机构的早期干预能够阻止资本水平的恶化 1.改善上市公司资本结构的披露2.改善风险尺度及管理措施的披露3.改善风险轮廓的披露 4.改善资本充足率的披露核心1

最低资本充足率

核心2资本充足率的监督审查核心3市场准则

新巴塞尔协议条款

图1 新巴塞尔资本协议的框架

图2 核心1中信贷风险的三种途径

以上是三种识别操作风险的可行途径。两个常用的包括基本的和标准的方法，针对操作风险要求列举总收入(或者，特殊情况下的资产)的百分比。也是最复杂的、最先

进的衡量方法(AMA)，它推动了操作风险量化的前沿，但其资本影响尚未确定。

新巴塞尔协议的核心2要求监管机构评估银行风险管理流程的合理性和维系较高偿付能力目标水平的资本地位。新巴塞尔协议中明确指出：期望银行能够继续持有通过核心1下计算的超过最低水平资本的部分。他的评价是要在对该机构进行彻底审查企业范围内的风险管理能力为基础，某种程度上，这种的内部风险测量工具已经被个别银行运用到日常业务中了。如果风险或资本管理流程被认为不令人满意，监管机构必须介入进行干预。

最后，核心3是为了培育增强个别传统市场纪律和历史不透明的银行风险和资本管理。通过要求加强披露的深度和广度，将首次从根本上打破银行财务报告，敏感风险参数和银行风险承担强制报告的形式。巴塞尔委员会也与国际会计标准(IAS)组织一道参与，以确保报告要求的一致性。因此，我们希望这些新的要求，将为未来全球金融服务机构的报告设定标准。

赢家和输家

建立更加灵活性的风险框架意味着资本充足率将改变贯穿业务，银行和地区等限制。反过来，这意味着巴塞尔II资本要求的条款下将有赢家和输家。为了确定赢家和输家，我们分析了新巴塞尔协议对组成信贷和操作风险的最低资本充足率各种因素的影响。我们的分析完善了由巴塞尔委员会公布了2003年5月最终定量影响研究(QIS3) 的结果。我们的分析结果和QIS3的区别关键在于，我们的目标是, 评估新巴塞尔协议的最终影响。而QIS3反映了目前的现状，举例来说，只有相对成熟的银行有能力使用内部评级方法来评估信贷资本充足率。

我们的估计表明，在内部评级方法的基础之上，银行业总体的最低资本充足率作为一个整体将大概不会变化。随标准化方法增加和随内部评级方法减少，符合新巴塞尔协议(和QIS3)提出维持现有总体资产水平的目标，并全面激励改进风险管理。

如图3所示，在欧洲，有效风险加权资产量随着产品类型的不同而不断变化(包含信贷和操作风险) 。

法人风险加权资产的变化严重依赖评级。毕竟尺度是公司违约风险(PD)的一个主导因素，非零售企业的风险加权资产增长的，反之，大型企业的持有总额将削减。最大的削减就是抵押贷款。正常情况下，其他零售产品也是“大赢家”，尽管这其中包括使资本充足率下的个人贷款和内部评级中所需的逐渐增加的信用卡，但这两者之间存在潜在的重大差异。目前大部分零加权的主权国家很大可能相应最大程度地增加最低所需资本。

同样的，西欧国家有效风险加权资产的不同主要基于他们在总体投资组合的分散性和风险参数方面的差异。在风险相对较低和银行零售贷款业务高度集中的北欧地区，内部评级中的风险加权资产可能会遭受的大幅的下降。假设对比意大利和德国目前的趋势，德国会出现更大的增幅。

图3 欧洲不同产品的风险加权资产期望值

总之，资本充足率的调整作为目前业务组合的功能。风险管理的形势和复杂性，以及内部评级中大部分银行的监管资本可能出现缩减，有些银行的这些资本则会增加。随之而来的事实就是当银行偏向内部评级时，更大比例的银行投资组合将被限定，有可能进一步推动了信用风险转换工具的使用，如信用衍生工具、资产证券化和二级债务资本市场的交易。

采用新巴塞尔协议对改善经营业绩有着显著的影响发展至今的银行业整体实现进化只有逐渐以节约为主的股东价值管理为导向。由于其广泛的影响，新巴塞尔协议这种应加快这一趋势。较之于渐渐推广的“最佳做法”，巴塞尔的要求将影响欧洲所有的银行(包括占相当比例的北美银行资产)，促使“落后者”加快了速度。

另外，资本手段促进经济资本的实施和规避风险后的回报率的关键障碍往往就是

缺乏一个可靠的定量的内部评级体系。遵循新的内部评级方法，并在信贷业务的精细水平上兑现这些措施，它将提供所需的大部分参数。此外，对操作风险而言，新资本协议为其提供了归属于非信用经济资本或市场风险的密集行为的基础（虽然目前并不完善），如资产管理、处理和资产证券化。

随着新巴塞尔协议的指标在其业务体系尚未整合风险调整措施的银行中的实施，那些已经作出这种转变，并走在队伍前列的银行的经验将是一面镜子，可以预期的重要战略措施包括：

风险定价

总所周知，对信贷市场而言，风险定价是无效。虽然这部分是由于银行使用信用卡出售非信贷业务的首要损失，这也反映了许多银行无法准确地量化使其维持在足够精细的水平的信用风险。内部评级标准评价工具将为量化风险提供一个坚实的基础，并通过渗入更有效的风险定价机制，使之走的更远。

重新制定对企业和中小企业的投资组合的信用审核

内部评级标准的评价工具，也可以作为一种调整工具，在信贷审批过程中为限额设定，贷款服务和监测进程等风险资源提供最佳指南。通过利用新评价工具的信息内容，银行可以重新设计信贷成本流程，使他们达到“更快，更好，更省”的效果。

改进操作风险

巴塞尔协议提出的资本支出必将引导改进操作风险绩效，即使只存在着微妙的联系，重点在于操作风险识别、风险损失报告、风险监控和风险控制。

积极的投资组合管理

实施更好的风险和收益的措施将促进积极的投资组合管理，即投资组合经理需寻求优化的贷款，以确定资产负债表中风险收益组合的配置，哪些该保值，哪些该被抛售到二级市场。

顾客价值管理和关系经理绩效

使用内部评级标准的风险测量工具宜允许银行对个别客户和客户关系经理的经济附加价值进行评估，为优化客户分类和奖励客户关系经理创造价值的能力提供更好的机会。

新巴塞尔协议标准工具的潜在杠杆作用足以弥补大多数企业的平均合理花费。

最佳实务风险和资本管理是关键

新巴塞尔协议代表了风险和资本管理的新纪元，并在银行战略定位中发挥着日益核心的功能，因此，这是风险和资产负债管理中的一种进步，它的潜在成功也给后巴

塞尔世界释放了明确的信号。

实现最佳实务方法包括:

?遵循新巴塞尔协议，信贷风险将维持在接近于内部评级的先进水平，否则它毫不具有重要战略意义。

?加快建立信贷投资组合模型和（正在进行的）经济效率的风险转移措施的论证，并已被证实。

?实现趋向一体化的资本管理跨越：

优化资本总额和一级/ 二级资本市场的结合，包括监管机构、评级机构、债权人及股东关注的资本和资本成本。

对内部资本资源进行有效的经济配置。

加强风险评估和资本经营之间的组织联系。

建立为以价值导向的业务规划提供支持的资本预测。

?增加风险和资产负债结构的披露方面的透明度，同时积极主动地加强主要风险、资

本指标和外部客户战略方面的沟通。

随着市场调整适应新的披露机制和监管机构发挥的日益强大的作用，金融服务的竞争环境将会相应的转移，除了对银行内部的风险和资本管理水平有明显提升作用之外，还需对银行的业务模式进行重新评估，并且需要更清楚地对股东价值的交割目标进行沟通。

现在是不得不作出战略和战术决定的时候了，以应对新巴塞尔世界的到来。为银行业制定的新规则已经起草并准备实施，监管政策很大程度上的变化也将随之而来。

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Dealing with Basel II: the impact of theNew Basel Capital Accord

ThomasGarsideandJensBech

Abstract International regulators are due to finalize the New Basel Capital Accord by the end of 2003,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 summarize 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 the new accord have an impact on the amount of book capital that banks are required to hold,but also on the strategic landscape of the banking industry.

Keywords Banking,Liquidity,Regulation,Risk management

The new rules of the game

The Base Committee released a third,and likely to be final,consultative paper for a New Capital Accord(BaselII).The 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 information 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 in 2003.

The current Basel Capital 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 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 countries,far more than was initially expected.

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 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 are fully-weighted,with very limited recognition of underlying credit risk.

The lack of risk-sensitivity of the current accord has meant that many banks have migrated away from attractively priced,fully 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 regulatory arbitrage aimed at growing returns while limiting regulatory balance sheet growth(e.g.via364-day revolving loans and RWA-driven securitizations).Another deficiency of the current approach is that it only considers credit and market risk,ignoring operational risk for example.This has meant that certain business lines such as advisory services,asset management,custody and deposit taking have come to be thought of as“risk-free”.

The way in which Basel II seeks to address 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 discipline.

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) and operational risk(new in Basel II).

For credit risk,banks can choose from three approaches under Pillar I:The standa rdized approach relies largely on external ratings and regulatory benchmarks.The other approaches are both internal ratings-based(IRB)approaches,that allow banks to use th eir internal models to calculate capital requirements.The two approaches differ in thei r relative sophistication and the degree to which a bank is allowed to rely on its act ual portfolio behavior:the simpler is known as the IRB foundation approach,the more complex as the IRB advanced approach.Consequently,unlike the Basel I approach,ind ividual banks will have different minimum capital requirements depending upon the s ophistication of their internal credit risk management capabilities and the risk characte ristics of their respective lending books,as described in Figure 2.

Figure 1 Framework of the Basel II Accord

Figure 2 The three approaches to credit risk under Pillar I

There are also three possible approaches for operational risk.The two simplest,the basic and standardized approaches,require a percentage of gross income(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 yet been finalized.

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.Basel 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 institution's firm-wide risk management capabilities and degree to which such internal risk measurement tools are used by individual banks inconducting day-to-day business.

Regulators are required to intervene if risk or capital management processes are deemed unsatisfactory.

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

fundamentally 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'exposures.The Basel Committee has worked with the International Accounting Standard(IAS) Board to ensure consistency between overlapping reporting requirements.Hence,we expect these new requirements to set the standard for future reporting by financial service institutions globally.

Winners and losers

Moving to a more risk-sensitive framework means that 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 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(QIS3),which was published by the Basel Committee on 5 May 2003.The key difference between our results and QIS3 is that we aim to assess the ultimate impact of Basel II,whereas QIS3 refects the current status quo where,for example,only the relatively sophisticated banks are capable of estimating the credit capital requirements using the IRB approaches.

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 standardized 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.

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.

Changes 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 corporations will drop.The biggest reductions are in mortgages.Other retail products are also “large gainers” on average,though this includes potentially significant differences between personalloans,where capital requirements decrease,and credit cards,where increases may occur under the IRB approaches.Sovereigns,which are mostly zero-weighted at the moment,are likely to see the

biggest relative increases in minimum required capital.

Similarly the effective RWAs applied to Western European countries are likely to vary based on differences in their aggregate portfolio splits and 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 trends,Germany-are likely to see the biggest increases.

In summary,changes to regulatory capital requirements will be a function of existing business

mix,geography and sophistication 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 proportion 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 secondary debt capital markets.

Using Basel II to improve business performance

The banking industry overall has so far evolved only slowly toward economically-based shareholder value management.Basel II should accelerate this trend because of its widespread

impact.In contrast with the gradual diffus ion of“bestpractice”,the Basel requirements will

affect all banks in Europe(and a significant proportion of the banking assets held in North

America),speeding up the“slowest ship in the convoy”.

Moreover,the key stumbling block to effective implementation of economic capital and risk-

adjusted return on capital techniques has often been the lack of acredible quantitative-based

internal rating https://www.360docs.net/doc/1817539702.html,pliance with the new IRB approaches will provide most of the parameters needed to deliver these measures at a granular level in credit businesses.In addition,the new capital requirement for operational risk will provide a basis(albeit currently

imperfect) for attributing economic capital to non-credit or market-risk intensive activities,such as asset management,custody or securities processing.

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 of leading banks which have already made this transition.Some of the key tactical improvements that can be expected include:

Pricing for risk:Credit markets are not oriously ineffective in pricing for 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 compliant rating tools will provide a strong basis for quantifying risk,and should go a long way toward instilling more effective risk-pricing discipline.

Credit process redesign for corporate and SME portfolios: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 the new rating tools,banks can redesign expensive credit processes,making

them“faster,better,and cheaper”.

Operational risk improvement:The new focus on operational risk identification,loss reporting,monitoring,and controls-even if only tenuously linked to Basel II's proposed capital charges-will inevitably lead to improved operational risk performance.

Active portfolio management:The implementation 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 hold on balance sheet,which to hedge,and which to sell off into the secondary market.

Customer value management and relationship manager performance:Theuse of IRB-compliant risk measurement tools should 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 to create value.

Leveraging the potential of Basel II compliant tools should more than compensate for the average compliance spent in most businesses.

Best practice risk and capital management is key

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 and balance sheet management are a clear signal of potential success in the post-Basel world.

Best practices to look for include:

Basel II compliance at close-to IRB advanced level for credit risk,unless this is clearly not strategically important.

Proven capability in credit portfolio modeling and (where undertaken) demonstration of economic efficiency of risk-transfer initiatives.

Moves towards integrated capital management,spanning:

1. optimization of total capital and Tier 1/Tier 2 mix while accounting for regulator,rating agency,creditor and shareholder concerns and costs of capital;

2. efficient economic allocation of internal capital resources；

3. closer organizational link between risk measurement and capital management；and

4.capital forecasting supporting value-based business planning.

Increased transparency with respect to disclosures of risk and balance sheet structure,

and proactive communication of key risk and capital metrics and strategies to external constituencies

As markets adjust to new disclosures and regulators take on increasingly powerful roles,the

competitive environment in financial services will shift accordingly.Apart from the obvious

upgrading of the roles of risk and capital management within banks,business models will need to bere-evaluated and goals for the delivery of shareholder value will need to be more clearly communicated.

Now is the time to make the strategic and tactical decisions required to address the post-Basel II world.The forthcoming regulatory changes largely have been drafted and made ready for implementation-it is now up to the banking industry to respond to the new rules of the game.