Το πλαίσιο της κεφαλαιακής επάρκειας των τραπεζών

3.
Meleti Kalfaoglou:
09-05-12
13:44
47

*

1

,

,
1 ,

BlackRock2
PSI3.
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(negative externalities),4

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(financial safety net),
,

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1
3864/2010
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2 BlackRock
.
3 PSI Private Sector Involvement

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4
(. Brunnermeir et al., 2009): (1) ,

, (2) , (3)
, (4)
(liquidity spiral),
, (5) ,
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(1) ,
(2) (3)
.
.
36

2012
47
3.Meleti Kalfaoglou:
09-05-12
13:44
48
ital buffer)
.

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48
36

2012
5 : () (off-balance sheet leverage),

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.
09-05-12
13:44
49
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3.1

80

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(Basel Committee on Banking
Supervision BCBS),

(Bank of International
Settlements). ,
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1988

(Basel Capital
Accord, 1988),
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(risk weighting)

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8%
36

2012
49
09-05-12
13:44
50
.6 1996
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(regulatory arbitrage).
.

. , 1999,
: (A New
Capital Adequacy Framework ),
2004

2008.
,

(one size fits
all),

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2007-08.
50
36

2012
2007 ,

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(shadow banking),
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6 8%
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09-05-12
13:44
51
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( ESRB
Dodd-Frank
),

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(lagging indicators).
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2019.

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3.2
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:

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(stakeholders).
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36

2012
51
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13:44
52
,

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) (held to
maturity HTM)
) (loans and receivables L&R)
) (fair value through profit and loss
FVTPL)
) (available for sale
AFS).

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HTM, ,
.. L&R.
,

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() .7
3.3

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(), , , .

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52
36

2012
7 ,

(impairment test),
(incurred losses). ,

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(.. / 2442/1998, )

(. 1).
(expected
loss) (. 4.1).

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.
09-05-12
13:44
53

(FVTPL) ,

(held for trading HFT) , , .8
.
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(AFS)

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3.4

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(available capital) (required
capital).

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(permanence),

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8
(in an arms length
transaction).
(market value) (model value).
,
.
9

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AFS .
, AFS
HTM, .
. (PSI) ,

.
(
. ESMA, Public Statement, Sovereign Debt
in IFRS Statements, 25 2011, ESMA/211/397).
10 (subordination)
. .
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36

2012
53
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13:44
54
.

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( l os s
absorption),
(going concern)
(gone concern).
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, (Tier 1),
(Tier 2)
(Tier
3).
(upper) (lower) . 1
.
)

, .11
, -
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36

2012
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. 3723/2008
,
( ) 10%.
09-05-12
13:44
55
1 1
(Tier 1)
-
-
-
-
(Tier 2)
- 50%

- 50%

,
10%

- 50%

- 50%

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10%

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20%

(Tier 3)
1 .
/ 2610/29.10.2010.
,

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15%
. 2007-08
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0,6% .
(IRB)
(. 1),
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36

2012
55
09-05-12
13:44
56
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56
36

2012
, 50%
50% .
(double gearing), , ,

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20% .
)

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50%
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(cliff-effect), ,

50%, ( )
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1 3
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regulatory filters)
(unrealised losses) .
1 4 ,
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09-05-12
13:44
57
)

(CAR) :
CAR =
AC
! 8%
Credit risk + Market risk + Operational risk
!
:
.
, (risk weighting) (RW)
(RWA)16 :
CAR: ( )
,
C: ()
(available capital),
!
:
C: ,
Credit risk: ,
RWA: ,
Market risk: ,
A: ,
Operational risk:
.
RW: .
CAR 8%, ,15

,

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:
Tier 1 capital
Tier 1 ratio =
! 4%
, 4%.

8. 5, 6 7
CAR =
AC
=
AC
AC
=
! 8%
RWAcredit + RWAmarket + RWAoperational RWA
!
,

. , CAR 8%,

15 , CAR .
Dexia,

94 . ,
, (. De Groen,
W.P, A closer look at Dexia: The case of misleading capital
ratios, 19 2011, CEPS Cmmentary).
16 ,
, () 12,5.
8% ( 1/0,08=12,5).
36

2012
57
09-05-12
13:44
58
.
.
RC (required capital) :
, 100 .
RW=50%, :
= 100 50% 8% =
4 . .
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) ( RW). ,

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(ROE).17
4
4.1

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36

2012
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(PDF)

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(tail risk), .
Perotti et al. (2011).
09-05-12
13:44
59

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(expected loss),

(unexpected loss),
(stressed loss).

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(fat tails).
, (stress testing) ,18 .

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18 . (2011).
36

2012
59
09-05-12
13:44
60
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4.2

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I.

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II.

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III.

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60
36

2012
,

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:
1:

.
(concentration risk), (country risk), (residual
risk) (securitisation risk).
2:

09-05-12
13:44
61
.
(interest rate risk on
banking book), (liquidity risk), (business risk) (strategic risk).
3:

.
, (systemic risk).
4:
.
(.
E 3).
(SRP),

(ICAAP) (SREP).
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5
5.1

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, 36

2012
61
09-05-12
13:44
62

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(default
risk), (exposure risk)
(recovery risk).

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(Probability of Default, PD),

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.
62
36

2012
(Loss Given Default, LGD),

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(Exposure
at Default, EAD),

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(default models)
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(migration models)
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,

! EL p = ! EL = ! (EADi " PDi " LGDi )

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,
LGD, :
#
UL p = %
%$
09-05-12
13:44
63
1/ 2
" " ! UL UL
ij
&
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!UL = EL(LGD ! EL)
5.2
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(RW).

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(complete markets) ex ante

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(credit mitigation). , .
( standardised approach)
(.. Moodys, S&P ..).

( IRB).
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1
2 .
(STANDARDISED APPROACH)
, (.. Moodys, S&P ..). 36

2012
63
09-05-12
13:44
64
0%
20%
50%
100%
100%
150%
100%
20%
50%
100%
100%
150%
150%
100%
75%
35%
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64
36

2012
09-05-12
13:44
65
(IRB APPROACH)

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LGD=45%.1 . , (A-IRB),
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(experience test).

-
1 LGD . ,
(cash flow lending), LGD=45%
, (collateral lending) . ,
LGD 45%
(. S&P, 2004).
36

2012
65
09-05-12
13:44
66
. ,

(use test).
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(lagging indicators) .
(forward looking),

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1) . ,

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2007-08,
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66
36

2012

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(SEC)
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(ESM)

2011.
09-05-12
13:44
67

.

.
)
) Dodd-Frank

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150% 100% (. 1).
Dodd-Frank,22
, ,
(Section
939A).

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23
.
)

(delegated monitoring),

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.

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,
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. -
)
(sovereign risk)

.

21 . Saunders and Allen (2010).
22 . Tobias, A. (2011), Dodd-Frank One Year On: Implications
for Shadow Banking, Federal Reserve Bank of New York Staff
Reports 533.
23
(Advance Notice of Proposed Rulemaking - ANPR)

(.
http://www.occ.gov/news-issuances/bulletins/2010/bulletin-201032.html).
: (1)
G-20, IMF, (2) (1) , (3)
(4) .
36

2012
67
09-05-12
13:44
68
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5.3
4.1
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1,
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(second
68
36

2012
best), . , ,
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.

(model risk),
,

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,
Asymptotic
Single Risk Factor (ASRF)
VaR .
,
,
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,
2 4

. (IRB)

(low default
portfolios) .
0% . .

25%
( ).
2 5 . CGFS Papers (2011).

too-big-to-fail,
too-important-to-fail toomany-to-fail.
2 6
, (incremental risk charge). ,
(. 8.4),
,

.
09-05-12
13:44
69
. ,
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(.. CreditMetrix).27 ,

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(concentration risk),
.
,

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(portfolio invariant).28

,
-. ,

(rating-based),
(PD, LGD EAD)
. ,

.
29

99,9%, :
CaR: Capital at Risk (

),
VaR(99,9%): 99,9%,
PDA: ,
adj: ,30
PD LGD , PDA, .31 PDA
Vasicek, ( 3
):
!
PD:
,
: ,
G: ,
27 ASRF
CAPM . .
28 . BCBS (2005) Gordy (2003).
29 .

,

.
30 Vasicek (. 3)
.

. , :
31 ! LGD
, LGD (downturn LGD).
36

2012
69
09-05-12
13:44
70
R: ,
PDA: .
R

( )

(beta) CAPM
. , R
,
PD
12% 24%. :
R
PD

,
.
VASICEK
Vasicek Merton. Merton (call option) (.. Black-Scholes)
(distance to default). ,
100 , 80
20 , (DD) DD=(100-80)/10=2 , 95% 2,5%. (-1 G) DD. , .
Saunders and Allen (2010), 4.
, Vasicek (. Vasicek, 2002),
y
e . w1,
w2 , :
!
y ,
.
!
,
70
36

2012
09-05-12
13:44
71
PD ,
, 99,9%,
!, R,
w1 = R w2 = 1R , PDA :
6
6.1

,
, , (
) .

,
(trading)

(hedging). ,
, , ,
.

:
(position risk)
(specific position risk),

,
.
(general position
risk),
,
.

(foreign exchange risk)
.

(counterparty
risk)

.
/
(settlement risk)

36

2012
71
09-05-12
13:44
72

.

(DVP transactions). (incomplete transactions risk)

(non-DVP
transactions).
(MXA)
(large exposures from trading positions)

.
6.2
, ,
:
= VaR + SR,
:
= VaR + SR + sVaR
+IRC.

.
)
,

.

(
72
36

2012
standardised approach)
( internal model
approach).

. ,

(VaR model, .
2), Ct
k ( min k=3,
- backtesting) :
!
(VaR)

. .
10 , 99%
250 .

,

.
VaR, , .
, VaR
Stressed Value-at-Risk (sVaR)
09-05-12
13:44
73

. sVaR
(10 , 99,9%)
12 . C t
:
risk) (migration risk).

To IRC

99,9%,
.
#
1
C t = max % VaRt (10) , k1
60
$
60
" VaR
i=1
(10)
t!i
&
( + max
'
#
1
(10)
% sVaRt , k 2 60
$
60
" sVaR
i=1
(10)
t!i
&
(
'

VaR

.

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, ,
.
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, (model risk).
)
,

. (SR)

( standardised
approach)
VaR (
internal model approach).
VaR

.

(Incremental Risk
Charge, IRC)
(default
, .

,
(OTC)
(SFTs).
, ,
,
, ,
. ,

(potential future exposure).

, .
.

2007-08 .
. :
wrong-way risk
Wrong-way risk
36

2012
73
09-05-12
13:44
74
(PD EAD
). ,
, .
Credit Valuation Adjustment (CVA)
To CVA
(spread risk).

.

.
6.3
(non-trading book, )

.
, . .
:
74

(basis risk).

(yield curve risk).
(trading risk).

.

(repricing gap)
(duration gap).
(RGAP-repricing gap)
(RSA) (RSL) ()
:
RGAP = RSA ! RSL

NII = RGAP " #r
r: .
(DGAP duration gap)

(DA)
(DL)
() :
!DGAP = DA ! "DL
#E = DGAP $ A $
#r
1+ r
: ,

(repricing risk).
: .
36

2012
7
7.1
09-05-12
13:44
75

(cost of doing business), ex post
ex ante .
,
,
, .

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.
, , .

.
,
,
.
, , . .

. (1)
, (2) ,
(3)
, (4) ,
, (5)
, (6)

(7) ,
.
, :
(high frequency, low impact)
(low frequency, high impact).

,

.
, , , ,
,

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,
,
,
, , , (KRIs)
,

.
36

2012
75
09-05-12
13:44
76
7.2

.
:
(Basic
Indicator Approach),
(Standardised
Approach),
(Advanced Measurement Approach).

,
.

.
4.

(15%) (
alpha factor) . , , .
. ( beta factor) . :
(Corporate Finance)
18%
(Trading and Sales)
18%
(Retail Banking)
12%
(Commercial Banking)
15%
(Payment & Settlement)
18%
(Agency Services)
15%
(Asset Management)
12%
(Retail Brokerage)
12%
,

-
76
36

2012
.
( 4 key elements):
09-05-12
13:44
77
.
.
.

/
.

,
.
, VaR,

(Loss Distribution Approach LDA). ,

. (Monte
Carlo simulations Copulas).
LDA
,

.
8 :

8.1

. , 2007-08

, .
,

.
,

.

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.
,

,

.
,

,
.
, Bayes

,
. ,

.
36

2012
77
09-05-12
13:44
78

B
(Common Equity Tier 1 ratio)

(Tier 1 ratio)
4,5%
6%
8,0%

(conservation buffer)
2,5%
7,0%
8,5%
10,5%

(counter-cyclical buffer)
0 2,5%

. ,

, .
, ,
.
( 12,5
)
.
,
,

.
2
,
12.9.2010.32

,

(core Tier 1)
4,5%. , (Tier 1 ratio) 6%,
(CAR)
8%. ,
(conservation
buffer) 2,5%
(counter-cycli-
78
36

2012
cal buffer) 0%-2,5%,

. o 5%
33
. ,

1.1.2019. 2.
8.2

,
,
,

3 2 . BSBC, Group of Governors and Head of Supervision
announces higher global minimum standards, Press release,
12/9/2010.
3 3
. ,
2007:Q32009:Q4 5,4% , 3,2% . (.. 20002002, 1988-1993 ..)
4%-5%
,
1%-2%. , (survivorship bias)
, 2,5%-5% (. BCBS, 2010).
09-05-12
13:44
79
,
. , .
Tier 1/RWA

(Tier 1 + Tier 2)/RWA.
, Tier 1

,
,
.

:
(common equity
Tier 1),
(additional
Tier 1)
(Tier 2).
,
(Tier 3),

.
. ( ), :
(i)
(. 2),
(ii) ( ),34
-

,
(iii) .

(going concern)
(gone concern).
,
. ,
,

15% . ,
,
.

.

, () 35 (CoCos Con34
, . , .
35 Lloyds
Bank 2009, 7,5 .
Tier 1
5%. Rabobank
2 .
300%
Tier 1 8%. ,
1.300 .
Tier 1 5%
.
36

2012
79
09-05-12
13:44
80
tingent Convertible Bonds),

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) ,
(lagging indicator of risk)

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80
36

2012
)
.
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,
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8.3
2,

,
(capital buffer)
(. 5).
, ,
,
(procyclicality)37

.
38
.
,
.
3 6 catastrophe bonds (cat
bonds) .
(.. , ) , ,
,
.
3 7 procyclicality - -. InterActive
Terminology for Europe - - ( pro- )
, (. http://iate.europa.eu,
procyclicality).
3 8 . ,
, 2009,
.
09-05-12
13:44
81

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,
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(bottom of the cycle calibration),
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2,5% ,

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0%-2,5% .

, ,40
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,
.

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39 . CEBS (2009).
40 GAP=(CREDIT/GDP)x100 TREND,
TREND HodrickPrescott. GAP<2,
GAP>10, 2,5% .
GAP [(0,25 GAP 0,5)/100 ] x RWA.
36

2012
81
09-05-12
13:44
82
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4 1 (core Tier 1) 4,5%-5,125%,
100% (. Basel III,
http://www.bis.org/publ/bcbs189.pdf).
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i,
.
.

(safety first), , h (tolerable threshold). Pr(K<h)<c, h c.
82
36

2012
09-05-12
13:44
83
Pr(K<h)<c, Tchebyshev.
KN(,2), Pr(K<h)<c
, k=.
!
h=k
!

h .
8.4

How the banks played the leverage game,42

. 2007-08, ,
,

, ...

, ,

. ,
:
=
3%

,

, ,
3%. , ,
1.1.2018 1.

, (model risk)
. ,
,
. ,

.

.
, , , .
,

42 . Acharya and Richardson (2009), Chapter 2.
36

2012
83
09-05-12
13:44
84
.
.

.43
, .
, . 15

. ,
.
9

, .

.

,
,
2007-08. : )
, , ..
,

(..
), )
84
36

2012
, ,

.
,

(first best solution),

.

.
4 3
.

, 2013.
,
.

( 20%),

.
09-05-12
13:44
85
2,
:

,

.

, ,

, .
,
.

,
.

(PIT point-in-time)

(TTC throughthe-cycle). PIT

,

. , TTC .
-
.
(credit rating) (credit scoring) ,
, . :
(application scoring),

,

(behavioural scoring),

.

(judgmental), (quantitative) .*

,
.
,
.
,

. (1)
* de Larosire (. The de Larosire Group (25.2.2009),
High level group on financial supervision in EU)
2007/08,
,
.
Fed, Alan Greenspan,
.
,
(. Alan Greenspan, We will never have a perfect
model of risk, Financial Times, 16.3.2008).
36

2012
85
09-05-12
13:44
86
(discriminant analysis),
,

, (2)
(logistic regression),

.
(structural models),

Merton
, (intensity-based models),

.
PDt =
(t-1) (t)
(t-1)
:
(t-1) (t):

(t-1):
,

.

(low default portfolios).

,

.
,
(shadow rating system),
(obligor mapping) (grade mapping).

.

.

, -
,

-

(Probability of Default, PD),
(Loss Given Default,
LGD)
(Exposure at Default, EAD).
)

:
86
. (PD)
(EDF)

. , :
36

2012
09-05-12
13:44
87
. ,
(logit model),
X1 , X2 , XN,

!Z = a 0 + a1 X1 + a 2 X 2 + ... + a n X n ,

F(z) =
1
1 + e !Z
)

(LGD)
, .

. LGD
:
!LGD = 1 ! d
d= .

. LGD
, . :
Pt ! C t
LGD = 1 !
" (1 + r)
EAD
!
P:
( , ),
C:
r: .

LGD
PD,
.
PD
LGD ( )
PD LGD ( ). LGD
PD.
,
LGD ( ), ,
.
) (EAD)
(EAD)

.

(credit conversion factor), , .

.
.

.
.
,

.
36

2012
87
09-05-12
13:44
88
,

. :
EAD = x
EPE = expected positive exposure ( )
. ,

()
(
).
=1,4.
(validation)
.

.

. ,
(backtesting)
(benchmarking).
,

.
) (calibration):

PD, LGD
EAD, .

.

. , ,

(noise) . ,
,
PD PD . L1
(L1-optimisation),
() .
88
36

2012
Gini

,
.
CAP Cumulative Accuracy Profile
( 3)
( 3).

( 3), ( ). O
(accuracy ratio) Gini
AR= ,
=
=
. AR1,
09-05-12
13:44
89
.

(backtesting) ()
().
, (mean
).
squared error), MSE=E (

,
.

(benchmarking).
36

2012
89
09-05-12
13:44
90
2

(VaR)
W t = ! Ai pi,t
i=1

.

. ,

VaR=60.000 95%
, 95%, 60.000 .
5%
60.000 .
10
10 x 60.000
= 189.736,66 95%.

99%,

2,33 / 1,65 x 60.000 = 84.727,27 .
10
10 x 84.727,27 =
267.931,15 .
! i

.
, ,
, ,

(, ).
VaRzero = E(Wt+1) W* = WtR*
. t+1 (
)
,
:
n
W t +1 = ! Ai pi,t +1 " #W = ! Ai #pi

i=1
i=1
!
,
R , , :
Wt+1 = Wt (1+R).
W* t+1. :
W* = Wt (1+R*).
VaR
,
VaRmean = E(Wt+1)W*= Wt (R*)
,
=0,
VaR W* . f(w) , c

w<W*, W* :
+$
Pr(w >W ! ) = c " 1# p =
% f (w)dw ,
w!

n , t (
) pi,t i=1,...n.
:
90
36

2012
w!
Pr(w >W ! ) = 1# c " p =
% f (w)dw
#$
! W*
f(w).
09-05-12
13:44
91

f(w) ()
~(0,1). W*, R*. R*
R*.

>0, :

.
,
.

:
= (R* )/
!

1c.
w#
1! c =
! R#
!a
$ f (w)dw = $ f (r)dr = $ %(& )d&

!"
!"
!!
2=
!"
!
2=
VaR
R*.
2=
R*= +
:
VaRmean=E(Wt+1)W*=Wt(R*)=Wt t
VaRzero=E(Wt+1)W*=WtR*=Wt( tt)
!! !
!
i:
Ri:
i:
i,j: i j.
36

2012
91
09-05-12
13:44
92
Acharya, V. and M. Richardson (2009), Restoring financial stability: How to repair a failed system, John Wiley and Sons Inc.
Acharya, V., H. Mehran, T. Schuermann and A. Thakor (2011), Robust Capital Regulation,
Federal Reserve Bank of New York, Staff Report o. 490.
Admati, A, P. DeMarzo, M. Hellwig, and P. Pfleiderer (2010), Fallacies, Irrelevant Facts, and
Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Expensive, Stanford
University Working Paper No. 86.
Akerlof, G. and R. J. Shiller (2009), Animal Spirits: How Human Psychology Drives the Economy, and Why It Matters for Global Capitalism, Princeton University Press.
BCBS (2005), An Explanatory Note on the Basel II IRB Risk Weight Functions.
BCBS (2010), Calibrating regulatory minimum capital requirements and capital buffers: a topdown approach.
Blundell-Wignall, A. and P. Atkinson (2010), Thinking beyond Basel III: Necessary solutions
for capital and liquidity, OECD Journal: Financial Market Trends, Vol. 2010/1.
Bolton, P. and O. Jeanne (2011), Sovereign default risk and bank fragility in financially integrated economies, NBER Working Papers, No 16899, March.
Brunnermeier, M., A. Crockett, C. Goodhart, A.D. Persaud and H. Shin (2009), The Fundamental Principles of Financial Regulation, ICMB and CEPR.
X., (2011), : H
, . . (.),
, , .
CEBS (2009), Position paper on a countercyclical capital buffer.
CGFS Papers (2011), The impact of sovereign credit risk on bank funding conditions, No. 43.
De Weert, F. (2011), Bank and Insurance Capital Management, Wiley Finance.
Drehmann M., C. Borio and K. Tsatsaronis (2011), Anchoring countercyclical capital buffers:
the role of credit aggregates, BIS Working Papers, No. 355.
Engelmann, B. and R. Rauhmeier (2011), The Basel II Risk Parameters: Estimation, Validation
and Stress Testing, Springer.
European Parliament, Directorate General for Internal Policies, Policy Department, Economic
and Monetary Affairs (2010), The interaction between sovereign debt and risk weighting under
the Capital Requirements Directive (CRD) as an incentive to limit government exposures.
Gordy, M.B. (2003), A risk-factor model foundation for ratings-based bank capital rules, Journal of Financial Intermediation, 12, 199-232.
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Finance.
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in Basel II, Journal of Banking Regulation, 6, 274-289.
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, , 47, .
, . (2011),
(stress tests) , , , 35, .
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Kashyap, A. K. and J. Stein (2004), Cyclical Implications of the Basel II Capital Standards.,
Federal Reserve Bank of Chicago, Economic Perspectives, vol. 28, Q1, 18-31.
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John Wiley & Sons.
Miles, D., J. Yang and G. Marcheggiano (2011), Optimal bank capital, Bank of England Discussion Paper No. 31.
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Journal of Central Banking, December.
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New Approaches to Value at Risk and Other Paradigms, Third Edition, John Wiley & Sons,
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3.

5 : () (off-balance sheet leverage),

CAR 8%, ,15

(Loss Given Default, LGD),

! EL p = ! EL = ! (EADi " PDi " LGDi )

!UL = EL(LGD ! EL)

CaR: Capital at Risk (

risk) (migration risk).

RGAP = RSA ! RSL

(Advanced Measurement Approach).

(Trading and Sales)

(Payment & Settlement)

cal buffer) 0%-2,5%,

tingent Convertible Bonds),

VaRzero = E(Wt+1) W* = WtR*

W t +1 = ! Ai pi,t +1 " #W = ! Ai #pi

Pr(w >W ! ) = c " 1# p =

Pr(w >W ! ) = 1# c " p =

$ f (w)dw = $ f (r)dr = $ %(& )d&

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