슬라이드 1 - Daum

우리은행의 필라 2 준비 현황

2006. 5. 2

ឧ ⤦

1.

⒎᧶⓿┓ḯ デࣾ ᤍ ৾ᚪ ㈂ᕚḶᾢ

1.1

⒎᧶⓿┓ḯ デࣾ ᤍ ৾ᚪ ㈂ᕚḶᾢ च⎒

1.2

⒎᧶⓿┓ḯ デࣾ ᤍ ৾ᚪ ᶿḶ ㈂ᕚḶᾢ

1.3

चᧂ ᚪᾢ⵪ デࣾ

1.4

ᚪᾢ⵪ ⺳㉧

1.5

⒎᧶⓿┓ḯ デࣾ

1.6

ᶪ⋃ূ㎋ ᤍ ⌆⬟

1.7

⒎᧶ূ㎋ ᤍ ৾ᚪ

2.

⒎᧶⓿┓ḯ ᩾ᠶ ◺⎒ ⋃ᠲ ⛂㊇ ඲⋫

2.1

⛂㊇ ᶪ㉫

2.2 Pillar II

⎒੪ᶪ㉫

,

⪒⛂ᶪ㉫

,

ম৺

2.3

ᾢ⾶ᔆᾢ ⹊ᾢ⾶

2.4

῞⎧ザ☏ ᚪᾢ⵪

2.5

ᶪ⋃ ᚪᾢ⵪

3.

ମⶾ ᚪᾢ⵪ ৾ᚪ ᤍ ㊣㏂ ৺┚

3.1

ମⶾᚪᾢ⵪ ৾ᚪ

3.2

㊣㏂ ৺┚

1.1 ⒎᧶⓿┓ḯ デࣾ ᤍ ৾ᚪ ㈂ᕚḶᾢ च⎒

1.2 ⒎᧶⓿┓ḯ デࣾ ᤍ ৾ᚪ ᶿḶ ㈂ᕚḶᾢ 1.3 चᧂ ᚪᾢ⵪ デࣾ

1.4 ᚪᾢ⵪ ⺳㉧

1.5 ⒎᧶⓿┓ḯ デࣾ

1.6 ᶪ⋃ূ㎋ ᤍ ⌆⬟

1.7 ⒎᧶ূ㎋ ᤍ ৾ᚪ

1. 1. ⒎᧶⓿┓ḯ ⒎᧶⓿┓ḯ デࣾ デࣾ ᤍ ᤍ ৾ᚪ ৾ᚪ ㈂ᕚḶᾢ ㈂ᕚḶᾢ

1.1 ⒎᧶⓿┓ḯ (Capital Adequacy) ৾ᚪ ㈂ᕚḶᾢ च⎒

⒎᧶⓿┓ḯ ৾ᚪ ㈂ᕚḶᾢྒ ⒎᧶⓿┓ḯ デࣾ Ὶ ৞ᔢᄖྒ चᧂ ᚪᾢ⵪⋎ ࿾㉚ デࣾ

,

चᧂ ᚪᾢ⵪ デࣾম৺⑖ ⦲ূ⓿⑶ ⺳㉧

,

ࣾ⎧⒎᧶৺⑖

ᭂ੎ᙺ ⺳㉚ ⒎᧶⓿┓ḯ デࣾ

,

᣶ᒖ⑖ ᶪ⋃ূ㎋⑂ ৞ᔢ㉚ ⒎᧶⓿┓ḯ ⌆⬟ ᤍ ⒎᧶৾ᚪূ㎋␺ᕚ ੪ḯᄦ

चᧂ ᚪᾢ⵪ デࣾ

Stand alone Risk Assessment

⺳㉧ ᚪᾢ⵪ デࣾ

Integrated Risk Assessment

⒎᧶⓿┓ḯ デࣾ

Capital Adequacy Assessment

ᶪ⋃ূ㎋ ᤍ ⌆⬟

Business Planning / Forecasting

⒎᧶ূ㎋ ᤍ ৾ᚪ

Capital Planning /

Management 1

2

3

4

5

ƒ ⒎᧶⓿┓ḯ デࣾ Ὶ ৞ᔢᄖྒ चᧂ ᚪᾢ⵪⋎ ࿾㉚ デࣾ

ƒ リ㉦ᄖྒ ᚪᾢ⵪⑖ ▃ᙖ, デࣾ ᤧᦓ, Ẋ⎒⒎᧶ ᶮ⪚ ⋪᩾ ᇯ ┓⑖

ƒ चᧂ ᚪᾢ⵪ ᧂ デࣾম৺ᙺ ⨛ Ẋ⎒⒎᧶␺ᕚ ⋮ূ

ƒ ૚┚ឧ⓿(ÆBuilding block approach)৺ ඲᩾ឧ⓿(Æ᪂ᶮ㎦৺ ৞ᔢ)⋎ ሮᑺ ⓿㉧

㉚ ᤧᦓ ⓿⎧

ƒ ⨛ Ẋ⎒⒎᧶৺ ࣾ⎧⒎᧶⑖ ᭂ੎ᙺ ⺳㉲ ⒎᧶⓿┓ḯ デࣾ

ƒ ឧㅚ ⒎᧶἖◾ Ḣ┓ ᤍ ৾ᚪᙺ ⺳㉲ ⚾ẋ⓿␺ᕚ ⒎᧶⓿┓ḯ⑲ ␞⚾ᄖჂᕛ ৾ᚪ

ƒ ᣶ᒖ⚾㊣⓿⑶ ⒎᧶⓿┓ḯ ৾ᚪᙺ ␂㉲ ᶪ⋃ূ㎋ ᤍ ㊣㏂ ঻ମ│ᛛ ᇯ⑂ ৞ᔢ

ƒ Ẋ⎒⒎᧶ ⌆⬟৺ ࣾ⎧⒎᧶ ⌆⬟⑖ ᅎ ᩾᪂␺ᕚ ੪ḯ

ƒ⒎᧶⓿┓ḯ デࣾ ᤍ ᶪ⋃ূ㎋⑂ ৞ᔢ㉚ ⒎᧶⓿┓ḯ ⌆⬟ ম৺⋎ ሮᑺ ⒎᧶৾ᚪূ㎋ ἖ᚻ

ƒ⒎᧶৾ᚪূ㎋␾ ⒎᧶㍓⪧ ૚ឦ, ἖࿦, Ὶମ ᇯ⑂ ឃῚ⓿␺ᕚ ৞ᔢ

1.2 ⒎᧶⓿┓ḯ (Capital Adequacy) ৾ᚪ ᶿḶ ㈂ᕚḶᾢ

Available Capital

PD LGD EAD

Basel II Model EC Model

ρ

Market Operation Business

Stress (Pro- cyclicalit

y) Interest

Rate Concentr

ation Regulatory

Capital Economic

Capital Book

Capital Regulatory

Available Capital

Economic Available

Capital Capital

Adequacy Capital

Adequacy Book

Capital Forecasting Regulatory

Available Capital Forecasting

Economic Available Capital Forecasting Regulatory

Capital Forecasting

Economic Capital Forecasting Capital

Adequacy Forecasting

Capital Adequacy Forecasting Business Planning

Stand alone Risk Assessment Integrated

Risk Assessment

Capital Adequacy Assessment Business Planning / Forecasting Capital Planning / Manageme

nt

Capital Target (Risk Appetite)

Capital

Planning Capital

Allocation RAPM

ƒAsset Mix

ƒAsset Increase ƒAsset Mix

ƒAsset Increase

ƒNet Income

ƒDividend, … Capital

Adequacy Assessment

Capital Adequacy Assessment

Risk Mgt.

Unit Cap.

Mgt.

Unit

Use on Mgt

1 2 3 4 5

Buffer

1.3 चᧂ ᚪᾢ⵪ デࣾ (Stand alone Risk Assessment)

Credit

Stand alone Risk Assessment 1

Stress (Pro- cyclicality) General

Concentrati on

Market

General Stress OP

Interest Rate

General Stress Business Liquidity Other

risks

Regulatory Capital

♦

^{ƒƒ඲᩾ᇯଇᦓ}Risk Factor (PD, EAD, LGD, M)^{(ମ᧶ ጎྒ ৞ଇ)} ᙺ Basel ㉦἖⋎ ⓿⎧

◺1)

ƒ╮ॲ᩾ │⑲㊇ᔪ⑂ ⑲⎧㉚Mild Recession㉖⑖ ⪒ࣾ Ẋ⎒⒎᧶ ⬟┓ᤧᦓ

◊

ƒ⤦◺ ⛏☏: ᪂ᶮ㍒ ┓Ⴢ ૺᶪ⭖ ূᶮᤧᦓ

ƒূ⋲/࿲᧲ ⛏☏: ῞⎧ザ☏ ᾢ⾶ᔆᾢ ⹊ᾢ〃

ƒ඲᩾ឦ㌓ᦓ (ଆऎ⏎ ᾷ⑶῞⦫ ☏) – VaR

ƒᚪᾢ⵪Factor (◺Ί/ଆᚪ/⍶㍖)ᧂ ␂ମᶿ

㍧ ᪂ḛ

ƒ৞ଇ⬟┓ᦓ(ଆऎ⏎ ᾷ⑶ ⋪᩾⋎ ሮᑺ ࿪ᑺ

⛆ ἖ ⒆⑊)

ƒଆᚪVaR

ƒReference Yield Curve ᦾთ Ὶඖᚪ⌢

⋎ ሮᙶ ␂ମᶿ㍧᪂ḛ

ƒ⋿⋃⑲⑳⑖ ᦾთḯ ⬟┓ᤧᦓ

ƒ␞თḯ ᚪᾢ⵪ ৾ᚪ ㎦␦㍒ ᤍ ⪧᪂㉚ ⒎ମ

⒎᧶ ᧲␞/ ࿾⍶ ῞ᖮ␞⚾ᕚ ࿾ᭂ

◊

♦

♦

◊

◊

Economic Capital

ƒRisk Factor (PD, EAD, LGD, M)⌾ ᶿ

৾ূ἖ᙺ Ὶᢪᔆ⑲Ṗ ឦ㌓⋎ ⓿⎧

ƒn/a

ƒn/a

ƒ▊ თ

ƒ▊ თ

ƒ▊ თ

ƒ▊ თ

ƒ▊ თ

ƒ▊ თ

ƒ▊ თ

♦

♦

♦

♦

♦

♦

◺1) ^{: RC ጎྒEC ੪ḯ㉫ឧ}

◊

: Capital Buffer ੪ḯ㉫ឧ : ৾ᚪ⬟ᝲ⋎Ḛ⑖ ৞ᔢ

1.4 ᚪᾢ⵪ ⺳㉧ (Integrated Risk Assessment)

Integrated Risk Assessment

2 Regulatory Capital

ƒ૚┚⒎᧶␾ चᧂ ᚪᾢ⵪ᧂᕚ ᶮ⪚ᄚ Ẋ⎒⒎᧶⑂ ࿦Ἒ ㉧ᶮ㉖ྒ ੪ḯ⎒Ẋ ┏ૺᤧᦓ (Building Block Approach)⑂ ⑲⎧㉖⋪ ⺳㉧

ƒ῞ BIS㌏≻⋎ḚPillar I⑖ ᚪᾢ⵪ Ẋ⎒⒎᧶(῞⎧/Ὶ⒣/⎲⋿)⑂ ࿦Ἒ ㉧ᶮ ⦖ᚪ㉖ྒ ๺ᚪ⌾ ⑺৾ḯ⑂ ␞⚾

ଆᚪᚪᾢ⵪

(

ᾢ⾶ᔆᾢ

঻ମἚ⑏ḯ)

ᶪ⋃ᚪᾢ⵪

⎲⋿ᚪᾢ⵪

Ὶ⒣ᚪᾢ⵪

῞⎧ᚪᾢ⵪

῞⎧ザ☏ᚪᾢ⵪

Ẋ⎒⒎᧶

ƒ Pillar II Buffer = ଆᚪ Ẋ⎒⒎᧶+ ᶪ⋃ Ẋ⎒⒎᧶+

῞⎧ザ☏ Ẋ⎒⒎᧶ + ᾢ⾶ᔆᾢ Ẋ⎒⒎᧶

Pillar II Buffer

ƒ Pillar I Ẋ⎒⒎᧶= ῞⎧ Ẋ⎒⒎᧶+ Ὶ⒣ Ẋ⎒⒎᧶+

⎲⋿ Ẋ⎒⒎᧶

Pillar I

⩚Ẋ⎒੪

⒎᧶

1.4 ᚪᾢ⵪ ⺳㉧ (Integrated Risk Assessment) - ূẋ

Integrated Risk Assessment

2 Economic Capital

ƒ঻┚⓿ ⒎᧶␾ चᧂ ᚪᾢ⵪ᧂᕚ ᶮ⪚ᄚ Ẋ⎒⒎᧶⑂ ᚪᾢ⵪ ▃ᙖᧂ ᶿ৾৾ূᙺ ৞ᔢ㉖⋪ ⺳㉧

ƒचᧂ ᚪᾢ⵪ं ᶿ৾৾ূᙺ ឦᅎ1ᕚ ࣾ┓㉖ྒ ঁ(࿦Ἒ ㉧ᶮ)␾ ⚾ඖ⭖ঊ ᧲἖⓿⑲ᑺྒ ๺ᚪ⋎ ૺ८

ƒ⺳㉧ Ẋ⎒⒎᧶␾ ᪂ᶮ㎦৺ᕚ ⑶㉲ चᧂ ᚪᾢ⵪ Ẋ⎒⒎᧶⑖ ࿦Ἒ ㉧ᶮ᧲࿢ ⒏ঊ ᶮ⪚

ᶪ⋃ᚪᾢ⵪

ଆᚪᚪᾢ⵪

⎲⋿ᚪᾢ⵪

Ὶ⒣ᚪᾢ⵪

῞⎧ᚪᾢ⵪

᪂ᶮ㎦৺

ƒ঻┚⓿ ⒎᧶ =

῞⎧ Ẋ⎒⒎᧶

+ Ὶ⒣ Ẋ⎒⒎᧶

+ ⎲⋿ Ẋ⎒⒎᧶

+ ଆᚪ Ẋ⎒⒎᧶

+ ᶪ⋃ Ẋ⎒⒎᧶

- ᪂ᶮ㎦৺

c : ῞⎧, m : Ὶ⒣, o : ⎲⋿, i : ଆᚪ, b : ᶪ⋃ Ẋ⎒⒎᧶

ρ ^{: ᶿ৾ূ἖}(⌆, ρ_cm: ῞⎧৺ Ὶ⒣⑖ ᶿ৾ূ἖)

[ ]

^)1/2

1 1 1 1 1

(

⎥⎥

⎥⎥

⎥⎥

⎦

⎤

⎢⎢

⎢⎢

⎢⎢

⎣

⎡

⎥⎥

⎥⎥

⎥⎥

⎦

⎤

⎢⎢

⎢⎢

⎢⎢

⎣

⎡

b i o m c b

i o m c

bo bo bm bc

ob io

im ic

ob oi om

oc

mb mi mo mc

cb ci co cm

ρ ρ ρ ρ

ρ ρ

ρ ρ

ρ ρ ρ

ρ

ρ ρ ρ ρ

ρ ρ ρ ρ

঻┚⓿ ⒎᧶=

ƒ᪂ᶮ㎦৺ᙺ ऎ≆㉚ ঻┚⓿ ⒎᧶ ᶮ⪚(⺳㉧) ᤧᦓ

Æचᧂ ᚪᾢ⵪ᧂ Ẋ⎒⒎᧶ ㊇ᔪ৺ ᶿ৾ূ἖ ㊇ᔪ⑖ ৯␺ᕚ ᶮ⪚

ƒᚪᾢ⵪ ▃ᙖं ᶿ৾ূ἖

◺) ଆ␳ऎჃ⏎ ઊ৞ ᤍ ⶾ㊇ ᶪᔾᙺ ৞ᔢ㉖⋪

ম┓

῞⎧ Ὶ⒣ ⎲⋿ ଆᚪ ᶪ⋃

῞⎧ 1 … … … …

Ὶ⒣ … 1 … … …

⎲⋿ … … 1 … …

ଆᚪ … … … 1 …

ᶪ⋃ … … … … 1

1.5 ⒎᧶⓿┓ḯ デࣾ (Capital Adequacy Assessment)

Capital Adequacy Assessment

3 Regulatory Capital

࿦ ূ ⎒ ॲ ৾ᚪ ᤧᦓ

ᶪ⋃ূ㎋⑖ ৞ᔢ Pillar II (ᾢ⾶ᔆᾢ ⍶)

Pillar II (ᾢ⾶ᔆᾢ–

঻ମἚ⑏ḯ) Pillar I Step 1

Step 2

Step 3

4

ƒ ⓿ধ ૚┚⒎᧶ (eligible regulatory capital) > Pillar I Ẋ

⎒⒎᧶(῞⎧ Ẋ⎒⒎᧶+ Ὶ⒣ Ẋ⎒⒎᧶ + ⎲⋿ Ẋ⎒⒎᧶) =

ƒ ⓿ধ ૚┚⒎᧶ / (῞⎧+ Ὶ⒣+ ⎲⋿) RWA > 8%

ƒ ⓿ধ ૚┚⒎᧶ > Pillar I Ẋ⎒⒎᧶+ ᾢ⾶ᔆᾢ Ẋ⎒⒎᧶

ƒ ⓿ধ ૚┚⒎᧶ > Pillar I Ẋ⎒⒎᧶+ ᾢ⾶ᔆᾢ Ẋ⎒⒎᧶ + ᾢ⾶ᔆᾢ ⍶ Pillar II Ẋ⎒⒎᧶ (ଆᚪ + ᶪ⋃ + ῞⎧ザ☏)

ƒ ␾㊇⑖ ᶪ⋃ূ㎋ (⒎ᶮḯ⒣, ⑲⑳/᤮࿷)⑂ ৞ᔢ㉖⋪ ⒎᧶⓿┓

ḯ⑲ ␞⚾ᄞ ἖ ⒆Ⴢᕛ ⒎᧶৾ᚪূ㎋ ἖ᚻ

ƒ Pillar II ᚪᾢ⵪⋎ ࿾㉚ Ẋ⎒⒎᧶

୊⚾Cover㉞ ἖ ⒆Ⴢᕛ ⩚Ẋ ⒎ ମ⒎᧶ ᭂ␦⑂ ⪧᪂㒆 ᶿ㎊㉖ྒ ឧ ㅚ⒎ମ⒎᧶ ᭂ␦⑂ Ḣ┓㉖৞ ◺ମ

⓿␺ᕚ ឧㅚ ࿪ḯ৾ᚪ

ƒ ⌆>

Pillar I Ẋ⎒⒎᧶ : 5╮

Pillar II Ẋ⎒⒎᧶ : 1╮ ⑶ ঻⎮

Pillar II Ẋ⎒⒎᧶⑲Pillar I Ẋ⎒

⒎᧶⑖20% ⑲ᢾᕚ

⒎ମ⒎᧶ ᭂ␦⑲ 9.6% (= 8% * 120%) ⑲ᶿ⑲ ᄖ⊲≺ Pillar II Ẋ⎒⒎᧶୊⚾Cover㉞ ἖ ⒆⑊

ሮᑺḚ, ឧㅚ⒎ମ⒎᧶ ᭂ␦ Ḣ┓

ῚPillar II Ẋ⎒⒎᧶⑂ ৞ᔢ㉖⋪

9.6%⑲ᶿ (⌆, 10%)␺ᕚ Ḣ┓㉖

৞ ␞⚾㉖⋪≺ ㉦

1.5 ⒎᧶⓿┓ḯ デࣾ (Capital Adequacy Assessment) - ূẋ

ᶪ⋃ূ㎋⑖ ৞ᔢ Capital Adequacy

Assessment

3 Economic Capital

ឧㅚମ◾

⩚Ẋମ◾

Step 1

Step 2

4

ƒ ࣾ⎧⒎᧶^◺1) (Available Capital) > ঻┚⓿ ⒎᧶= ῞⎧ Ẋ

⎒⒎᧶+ Ὶ⒣ Ẋ⎒⒎᧶+ ⎲⋿ Ẋ⎒⒎᧶+ ଆᚪ Ẋ⎒⒎᧶+ ᶪ⋃ Ẋ⎒⒎᧶ -᪂ᶮ㎦৺

ƒ ࣾ⎧⒎᧶ (Available Capital) * Risk Appetite > ঻┚⓿

⒎᧶ = ῞⎧ Ẋ⎒⒎᧶+ Ὶ⒣ Ẋ⎒⒎᧶+ ⎲⋿ Ẋ⎒⒎᧶+ ଆᚪ Ẋ⎒⒎᧶ + ᶪ⋃ Ẋ⎒⒎᧶–᪂ᶮ㎦৺

ƒ Risk Appetite^◺2): ঻┚⓿ ⒎᧶ ࿾ᭂ ࣾ⎧⒎᧶ ឧㅚ ᭂ␦

ƒ ␾㊇⑖ ᶪ⋃ূ㎋ (⒎ᶮḯ⒣, ⑲⑳/᤮࿷)⑂ ৞ᔢ㉖⋪ ⒎᧶⓿┓

ḯ⑲ ␞⚾ᄞ ἖ ⒆Ⴢᕛ ⒎᧶৾ᚪূ㎋ ἖ᚻ

࿦ ূ ⎒ ॲ

ƒ 100% ⑲඲⋎Ḛ Risk Appetite

⑂ Ḣ┓㉖৞ ৾ᚪ

ƒ ඲᩾ ঻┚⓿ ⒎᧶␾ ㉖␂ ᶪ⋃᩾ᕚ

᤮᪂㉖৞ ㉚Ⴢᙺ Ḣ┓㉖⋪, ㉖␂

ᶪ⋃᩾⑖ ᚪᾢ⵪ࣾ ᤮᪂ᄚ ঻┚⓿

⒎᧶ ㉚Ⴢᙺ ⨆৺㉖ྒ⚾ ⋪᩾ᙺ ⚾ ẋ⓿␺ᕚ ឦ࿆⸮ᚿ

৾ᚪ ᤧᦓ

◺1) ඲᩾ ঻┚⓿ ⒎᧶৾ᚪᙺ ␂㉚ ࣾ⎧⒎᧶⑖ ┓⑖ྒBIS ମ◾⑖

⓿ধ ૚┚⒎᧶৺ ࿢ᙺ ἖ ⒆␺ᝮ ⑺ᤖ⓿␺ᕚBIS ମ◾᧲࿢

⋂ধ㉖ঊ ⓿⎧. ⎮ᚪ␾㊇␾ B/S ᶿ ⒎ମ⒎᧶␺ᕚ ┓⑖

◺2) ㌂⒪ ঻┚⓿ ⒎᧶ ࿾ᭂ ࣾ⎧⒎᧶ ᭂ␦, ᶪ⋃ূ㎋, ঻ମ⪒⑲ ᤍ │ᛛ ᇯ⑂ ৞ᔢ㉖⋪100% ⑲඲⋎Ḛ Ḣ┓. 2004โ ◺⎒

␾㊇⑖ ঻┚⓿ ⒎᧶ ࿾ᭂTier 1 ⒎᧶⑖ ᭂ␦(ᶪ⋃᧲৞Ḛ)␾

⌢ᙶ➻ ㅚ⌾ ग⑊(5च ␾㊇ デ૞: 62.98%)

Bank Year EC Tier 1 EC / Tier 1

JP Morgan (USD) 2004 Y/E 34,900 52,200 13,201 8,317 14,900

68,621 50.86%

Citigroup (USD) 2004 Y/E 74,415 70.15%

Deutsche (Euro) 2004 Y/E 18,721 70.51%

HVB (Euro) 2004 Y/E 15,721 52.90%

ING (USD) 2004 Y/E 21,139 70.49%

(࿦␂: Million)

1.6 ᶪ⋃ূ㎋ ᤍ ⌆⬟ (Business Planning / Forecasting)

Business Planning / Forecasting

4 Ẋ⎒⒎᧶⑖ ⌆⬟

Ὶඖᚪ⌢⑖ Ḣ┓ ᤍ Ẋ⎒⒎᧶⑖ ⌆⬟

ᶪ⋃ূ㎋৺ リ⾶ヲᚪ⌢

⌾⑖ ᛢ㉏ リ⾶ヲᚪ⌢

᪂ᙖ ᧂ Ẋ⎒⒎᧶ ূᶮ Step 1

Step 2

Step 3

ƒ ᶪ⋃ূ㎋ ᶿ⑖ ⒎ᶮ⚛ࣾᙺ ⓿⎧㉖ମ ⎧⑲㉖Ⴢᕛ

◺⎒ リ⾶ヲᚪ⌢ᕚ ᪂ᙖ

ƒ ◺⎒ リ⾶ヲᚪ⌢ྒ ␂㋖⾷ḯ⑲ ⤦ᧂ㍒ᄖᝮ ⓿⎧

(ᶪ⋃ূ㎋৺⑖ ᛢ㉏)⑲ ⎧⑲㉖Ⴢᕛ ੪᪂

ƒ ◺⎒ リ⾶ヲᚪ⌢ ᧂ Ẋ⎒⒎᧶ ᭂ␦ ূᶮ

࿦ ূ ⎒ ॲ ⌆ Ὶ

ƒ Sovereign / Bank

ƒ Corporate

ƒ SME

ƒ Mortgage

ƒ …

ƒ High

ƒ Medium

ƒ Low

リ⾶ヲᚪ⌢ ᪂ᙖ(1⤦) ῞⎧ᇯଇ ᪂ᙖ(2⤦)

ƒ リ⾶ヲᚪ⌢ ᪂ᙖ⌾ ᶪ⋃ূ㎋ ᶿ⑖ ⒎ᶮ੪ḯ (⚛

ࣾ)৺ ᛢ㉏

ƒ リ⾶ヲᚪ⌢ ᧂ ⒎ᶮ⚛ࣾ ૚ឦ ম┓

ƒ ⋿⋃㍖঻, ঻ମ│ᛛ ᇯ⑂ ৞ᔢ㉖⋪ ࣾྣ㉚ Ὶඖ ᚪ⌢ Ḣ┓ (῞૚ ⒎ᶮ⑖ ⛆⋎ ࿾㉚ Ὶඖᚪ⌢)

ƒ リ⾶ヲᚪ⌢ ᧂ ⒎ᶮ ⚛ࣾଆ≟৺ Ẋ⎒⒎᧶ ᭂ␦

⑂ ⓿⎧㉖⋪ Ὶඖᚪ⌢ ᧂ Ẋ⎒⒎᧶ ⌆⬟

ƒ Sovereign / Bank

ƒ Corporate

ƒ SME

100 ↑ 200 ↑ 400 ↑

ƒ H : 10%

ƒ M : 25%

ƒ L : 65%

⒎ᶮ⚛ࣾ ૚ឦ

῞૚ ⒎ᶮ⑖ ੪ḯ

5.6%

8.8%

10.4%

Ẋ⎒ ⒎᧶ᭂ␦

1.1 4.4 13.5

⪒ࣾẊ⎒⒎᧶

19.0

㉧ূ

1.6 ᶪ⋃ূ㎋ ᤍ ⌆⬟ (Business Planning / Forecasting) - ূẋ

Business Planning / Forecasting

4 ࣾ⎧⒎᧶ ᤍ ⒎᧶⓿┓ḯ ⌆⬟

࿦ ূ ⎒ ॲ ⌆ Ὶ

⒎᧶ূ㎋

⒎᧶⓿┓ḯ ⌆⬟

ࣾ⎧⒎᧶⑖ ⌆⬟

㌂⒪ Ὶ┎⑖

ࣾ⎧⒎᧶ ূᶮ Step 1

Step 2

Step 3

ƒ ࣾ⎧⒎᧶⑖ ┓⑖⋎ ሮᑺ ㌂⒪ Ὶ┎⋎Ḛ⑖ ࣾ⎧

⒎᧶ ূᶮ

ƒ ࣾ⎧⒎᧶ ⚛ࣾ ㉫ឧ : ࿷ମἚ⑲⑳, ⚛⒎, ㏂Ἒ␂

⥂ ⤦㍖ ᤍ ῞૚ ᤚ㊇

ƒ ࣾ⎧⒎᧶ ऎẊ ㉫ឧ : ࿷ମἚẎῢ, ㏂Ἒ␂⥂ ᛊ ମᶿ㍖, ᤮࿷

ƒ ⌆⬟ Ẋ⎒⒎᧶৺ ⌆⬟ ࣾ⎧⒎᧶⑖ ᭂ੎ᙺ ⺳㉲

᣶ᒖ⑖ ⒎᧶⓿┓ḯ ⌆⬟

ƒ Ẋ⎒⒎᧶ ᤍ ࣾ⎧⒎᧶⑖ ⌆⬟␾ ⩚Ẋ ⋮ 1㎊ ⑲ ᶿ, ᪂ମ࿦␂ᕚ ἖㊇

5 ƒ ⒎᧶⓿┓ḯ ⌆⬟ ম৺⌾ ឧㅚ ⒎᧶἖◾⑂ ᭂ੎

㉖⋪ ⒎᧶ূ㎋ ἖ᚻ

ƒ ㌂⒪ ࣾ⎧⒎᧶

ƒ ㌂⒪ Ẋ⎒⒎᧶ (RWA)

ƒ ㌂⒪ ⒎᧶ᭂ␦

ƒ ࣾ⎧⒎᧶ ⚛ࣾ

- ⌆ᶿ ࿷ମἚ⑲⑳

ƒ ࣾ⎧⒎᧶ ऎẊ - ⌆ᶿ ᤮࿷

ƒ ⌆⬟ ࣾ⎧⒎᧶

ƒ ⌆⬟ Ẋ⎒⒎᧶ (RWA)

ƒ ⌆⬟ ⒎᧶ᭂ␦

8.0╮

80.0╮ 10%

1.2╮

0.6╮

8.6╮ 90╮ 9.6%

1.7 ⒎᧶ূ㎋ ᤍ ৾ᚪ

Capital Planning / Management

5 ⒎᧶ূ㎋/ ৾ᚪ

⒎᧶㍓⪧

⒎᧶㍓⪧ ূ㎋⑖ ἖ᚻ

⒎᧶㍓⪧ ἖࿦ ম┓

⒎᧶㍓⪧ ૚ឦ/Ὶମ 《≃

Step 1

Step 2

Step 3

࿦ ূ

5

⎒ ॲ

ƒ ⒎᧶⓿┓ḯ ⌆⬟ ম৺⌾ ឧㅚ ⒎᧶἖◾⑂ ᭂ੎㉖⋪ ⒎᧶㍓⪧⑲ ㉂⎒㉚ ૚ឦ,

⒎᧶⑖ ੪ḯ (Tier 1, ⨛ ⒎᧶) ᤍ Ὶମ 《≃

ƒ ৞ᔢ ࣾྣ㉚ ⒎᧶㍓⪧ ἖࿦

- ᤮࿷ ⪓Ẋ - ⚛⒎

- ㏂Ἒ␂⥂ ᤚ㊇

- ᤮࿷ ⚛ࣾ

- ⒎ମ◺Ί ⫦ᇛ ᇯ ἖࿦ ⑲⎧

(⒎᧶ ⒇⋪ࣾ ᤚᷛ㉖ྒ ঻⎮)

ƒ ⒎᧶⓿┓ḯ⑂ ⚾ẋ⓿␺ᕚ ␞⚾㉖ମ ␂㉚ ⒎᧶㍓⪧ ূ㎋⑖ ἖ᚻ –࿢⑊⑖ ඲

⎧ ឃῚ

- ⒎᧶㍓⪧ ૚ឦ - ⒎᧶㍓⪧ ἖࿦

- ⒎᧶㍓⪧ Ὶମ

ƒ ἖ᚻᄚ ⒎᧶㍓⪧ ূ㎋⋎ ሮᑺ ⒎᧶㍓⪧ ㍚თ ἖㊇

2.1 ⛂㊇ ᶪ㉫ ⎒≻

2.2 Pillar II ⎒੪ᶪ㉫ , ⪒⛂ᶪ㉫ , ম৺ ⎒≻

2.3 ᾢ⾶ᔆᾢ ⹊ᾢ⾶

2.4 ῞⎧ザ☏ ᚪᾢ⵪

2.5 ᶪ⋃ ᚪᾢ⵪

2. 2. ⒎᧶⓿┓ḯ ⒎᧶⓿┓ḯ ᩾ᠶ ᩾ᠶ ◺⎒ ◺⎒ ⛂㊇ ⛂㊇ ඲⋫ ඲⋫

2.1 ⛂㊇ ᶪ㉫ ⎒≻

Pillar II ⑖ ◺⎒ ᚪᾢ⵪ ☏ ূᓇᚪᾢ⵪ ( ῞⎧ザ☏ , ᶪ⋃ᚪᾢ⵪ ) ᤍ ᾢ⾶ᔆᾢ ⹊ᾢ⾶⋎ ࿾㉚ ⬟┓ᤧᦓ ᤍ Ẋ⎒⒎᧶ ⋮ূᤧ≆ ,

঻┚⓿ ⒎᧶ ឦ㌓ चḞ⋎ ࿾㉚ ⒏⋃ ⍂ᗊ

⪒⛂ᤧ㊣ Ḣূ ၮ⑲⸮ ἖⛏ ᤍ ᪂ḛ Ὶඖᚪ⌢ ┓⑖ ᤍ

⒎᧶ ⋿㊣ ᪂ḛ

2005 2006

8 9 10 11 12 1 2

Gap᪂ḛ

ᾢ⾶ᔆᾢ

⹊ᾢ⾶

῞⎧ザ☏

ᚪᾢ⵪

ᶪ⋃

ᚪᾢ⵪

ମⶾ Pillar II

ᚪᾢ⵪

◺⎒ ⋃ᠲ

῞⎧ザ☏ ⏎⦚

┓⑖ ῞⎧ザ☏ ⬟┓ऐ ┓⑖ Ẋ⎒⒎᧶

⋿㊣᪂ḛ Gap ᪂ḛ

⪒⛂ᤧ㊣ Ḣূ ၮ⑲⸮ ἖⛏ ᤍ ᶮ⪚≆ Ὶᢪᔆ⑲Ṗ

Ẋ⎒⒎᧶

⋿㊣᪂ḛ

Pillar II ⦲ূ

(㈂ᕚḶᾢ, ঻┚

⓿ ⒎᧶ ឦ㌓)

2.2 Pillar II ⎒੪ᶪ㉫ , ⪒⛂ᶪ㉫ , ম৺ ⎒≻

Pillar II ྒ Pillar I ⋎Ḛ ৞ᔢ㉖⚾ ឹ㉚ ◺⎒ ᚪᾢ⵪ᙺ リ㉦㉖⋪ ⒎ମ⒎᧶⑖ ⓿┓ḯ⑲ ␞⚾ᄖྒ⚾ᙺ デࣾ㉖Ⴢᕛ ⎒੪㉖৞

⒆⑊ . ㈂ᕚ┛⾶⑖ ম৺ Pillar II ᚪᾢ⵪ᕚ ⑶㉲ ≻ xxxx bp ⑖ ⪒ࣾ ⒎ମ⒎᧶⑲ Ẋ⎒ᄞ ঁ␺ᕚ ⌆ᶿᄦ .

㊣㏂ xxxx bp ⑲ᶿ⑖ ⋪␞⒎᧶ (Buffer) ⑂ ␞⚾㉞ ㉂⎒ࣾ ⒆⑂ ঁ␺ᕚ ⌆ᶿᄦ .

^◺

Pillar II

⎒੪ᶪ㉫ ㈂ᕚ┛⾶ ◺⎒ ⪒⛂ᶪ㉫

Pillar II

Ẋ⎒⒎᧶ ᪂ḛ ম৺

঻ମἚ⑏ḯ⋎ ࿾ᭂ㉖ମ ␂㉚ Ẋ⎒⒎᧶ ⬟┓ ⦲ূ ੪⪓

ଆᚪᚪᾢ⵪

(

ᾢ⾶ᔆᾢ

঻ମἚ⑏ḯ)

ମⶾᚪᾢ⵪

Ὶ⒣ᚪᾢ⵪

⎲⋿ᚪᾢ⵪

῞⎧ᚪᾢ⵪

῞⎧ザ☏ᚪᾢ⵪

Ẋ⎒⒎᧶

݄ ݄

bp

ᾢ⾶ᔆᾢ

:

݄ ݄ ⊳

Pillar II

Buffer

݄ ݄ ⊳

݄ ݄⊳

⤦◺ ザ☏

-

☏⎒

: (ମⶾ ザ☏-⪒ࣾ :

݄ ݄

bp

݄ ݄bp)

῞⎧ ザ☏␂㋖⑖ ⬟┓ ᤍ Ẋ⎒

⒎ମ⒎᧶৺⑖ ⋮ূ

ମⶾ␂㋖ ⬟┓

/

Ẋ⎒⒎᧶

⋮ূ ᤧ≆ ᛆᔦ ᶪ⋃

:

݄ ݄ ⊳ ݄ ݄

bp

Pillar I

⩚Ẋ⎒੪

⒎᧶

ଆᚪᚪᾢ⵪ྒ

Gap

⋄⑊

(2006โ ㉚Ⴢ ◾⎧)

ଆᚪ

:

݄ ݄ ⊳ ݄ ݄

bp

Pillar II

ূ

:

݄ ݄ ⊳

Pillar II

ূ

:

(

ମⶾ ザ☏ リ㉦

)

݄ ݄ ⊳

݄ ݄

bp

݄ ݄

bp

◺) ㌂⒪୊⚾ ⓿┓㉚Buffer⑖ ἖◾⋎ ࿾㉚Practiceྒ ┓ᚻᄚ ᤒ ⋄␺ඖ ␞ᓻ⋎Ḛྒ150 ~ 200bp┓Ⴢ⑖Buffer ἖◾⑲Industry⋎Ḛ ๺⑖ᄖ৞ ⒆⑊

2.3 ᾢ⾶ᔆᾢ ⹊ᾢ⾶ – ឦ㌓੪╮

῞⎧ᚪᾢ⵪ ␂ମᶿ㍧᪂ḛ␾ ᜺⓾ ␂ମᶿ㍧⑂ ┓⑖㉚ ᆢ ⑲ᙺ PD, LGD ㌷␾ ८Ὶᦾ἖ඖ Credit Cycle Index ᕚ ㅚ㌂㉖৞

⑲ ऐ⑂ ૚┚⒎᧶ឦ㌓⋎ ⓿⎧㉦␺ᕚ⁦ ঻ମ⭦⦲ ᶿ㍧⑖ ⒎᧶ᓇ⑂ ᶮ⪚㉖⋪ ⒎᧶⓿┓ḯ デࣾ⋎ ㍚⎧㉖ྒ ┆⤦ᕚ ⑲ᗦ⊲⛎ .

঻ମ⭦⦲ ᶿ㍧⑖ ८Ὶᦾ἖

⚾ࣾᦾთᙞ

: -0.2%

◺ࣾᦾთᙞ

: -30%

῞⎧ᾢ㈂ᔆᇚ

: 1.99

঻ମ⭦⦲ ᶿ㍧⑖ ᇯଇ᪂リ ᶮ⪚

८Ὶ঻┚ ᦾ㍒

⋎ ሮᙶ ╮ॲ᩾

│⑲ ㊇ᔪ ᶮ⪚

Credit Model (ᤒ┢ ㉦἖)

Credit Model (

ᤒ┢ ㉦἖

)

Stressed Credit Capital Stressed Credit Capital

঻ମ ⭦⦲ ᶿ㍧⑖

⌆ᶿ ᇯଇ᪂リ

঻ମ⭦⦲ ᶿ㍧⑖ ឦ἖ ऐ

PD X 1.3 LGD X 1.1

Credit Credit Cycle Index Cycle Index

Z Z ^**

঻ମ⭦⦲ ᶿ㍧⑖ ⒎᧶ᓇ ᶮ⪚

Ex.

Ex.

⒎᧶ ⓿┓ḯ デࣾ

ƒ

⍂ᛊ㉚ ঻ମ⭦⦲

Ὶඖᚪ⌢ ┓⑖

঻ମ⭦⦲ ᶿ㍧ ┓⑖

1

2

3

4 2’’

2’

* Credit Cycle Index Zྒ ঻ମᶿ㍧⑂ ඖⶾ඲ྒ

⚾ㅚᕚ ⊲⑊᩾Ⴢ␦ᕚ᩾⸮ Ⴢ⪚ᄖᝮ0᧲࿢ ⒏␺ᝲ

঻ମთ㊇⚾἖ , ঻┚ḯ⒣ᙞ ᤍ ⋫ᶪ⓿ ᶪॲ ᪂ḛ⑂ ⺳㉲ “ ⍂ᛊ㉚ ঻ମ⭦⦲ ” Ὶඖᚪ⌢ᙺ ┓⑖㉖⋪ ᪂ḛ㉚ ম৺ ঻ମ⭦⦲

ᶿ㍧⋎Ḛ ⒎ମ⒎᧶ ᭂ␦⑲ ⩚࿾ xx % ┓Ⴢ ㉖ᑻ㉞ ঁ⑲ᑺྒ ম৺ᙺ ⊹⋆␺ᝮ ⑲ྒ ┓ᶿ ᶿ㍧⋎Ḛ⌾ ग␾ ⒎ମ⒎᧶⑂

␞⚾㉖ᔢᝲ xxx ⊳ ⑲ᶿ⑖ ⪒ࣾ⒎᧶⑲ ㉂⎒㉦⑂ ⑖᣶㉦ .

঻ମ⭦⦲ ᶿ㍧⑖ ឦ἖ ऐ

঻ମ⭦⦲ ᶿ㍧⑖ ८Ὶᦾ἖

঻ମ⭦⦲ ᶿ㍧⑖ ᇯଇ᪂リ

ƒ ঻ମთ㊇⚾἖ᕚ ᧶ ঻ମ ⭦⦲ ମं თ≆ ⊲⑊᩾Ⴢ␦⑲ デ૞

࿾ᭂ

xxx

᤮ ⚛ࣾ㉚ ঁ␺ᕚ ᪂ḛ

ƒ ঻ମ⭦⦲ମ⋎ ᇯଇᧂ

PD

ࣾ

xxx

᤮ ⚛ࣾ Ὶඖᚪ⌢ ┓⑖

ƒ⒎ମ⒎᧶ ᭂ␦ ݄ %

㉖ᑻ ⌆ᶿ

ƒẊ⎒⒎᧶ :

݄ ݄ ⊳

ƒ⒎ମ⒎᧶ ᭂ␦ ݄ %

㉖ᑻ ⌆ᶿ

ƒẊ⎒⒎᧶ :

݄ ݄ ⊳

ƒ⒎ମ⒎᧶ ᭂ␦ ݄%

㉖ᑻ ⌆ᶿ

ƒẊ⎒⒎᧶ :

݄ ݄ ⊳

ƒ

G10

੫ࣾ⑖ ঻┚ḯ⒣ᙞ

0%

ྒ ≻

13%

┓Ⴢ⑖ ㍓ᙞᕚ ᤚᷛ

ࣾྣ㉚ ᶪॲ

ƒ

13%

┓Ⴢ⑖ ㍓ᙞᕚ ঻ମᶿ㍧⑲ ≆ ▉␾

Z

ऐ

( -1.12)

⑂ Ὶඖᚪ⌢ᕚ ┓⑖

ÆTM

≃㍒

( )^{Φ−1(13.1%)= −1.12}

90 100 110

ƒ ੫඲ ঻ମ⋎ ≃⋿㊣⑂ ᣶⭚ ঁ␺ᕚ 『࿦ᄖྒ ᶪॲᇢ

(1997

โ ⍶㍖␂ମᶪⷚ

, 1998

โ ᓪῚ≂

᩾Ⴢ

, 2001

โ

9/11, 2003

โ ⑲ᑺ⵪ │Ⓙ

)

⑲ ᤚᷛ㊆ၖ Ὶ┎⑖ ८Ὶᦾ἖ᙺ Ὶඖᚪ⌢ᕚ ┓⑖

ƒ

1998

โ ᓪῚ≂ ᩾Ⴢ ᶪⷚࣾ ⍂ᛊ㉚ ঻ମ⭦⦲⋎ ࣾ୊⎲ ঁ␺ᕚ 『࿦

.

2.3 ᾢ⾶ᔆᾢ ⹊ᾢ⾶ – Ὶඖᚪ⌢ ᤍ ᪂ḛম৺

2.4 ῞⎧ザ☏ ᚪᾢ⵪ – ᤮঻ ᤍ ㉂⎒ᶪ㉫

῞ BIS ㌏≻␾ ␾㊇⑲ ῞⎧ザ☏ ᚪᾢ⵪ᙺ ◺ମ⓿␺ᕚ ឦ࿆⸮ᚿ㉖৞ ⒎᧶⓿┓ḯ デࣾ Ὶ ⑲ᙺ ৞ᔢ㉖Ⴢᕛ ⎒੪㉖৞ ⒆⑊ .

㈂ᕚ┛⾶ᙺ ⺳㉲ ῞⎧ザ☏ ᚪᾢ⵪ᙺ ⬟┓㉞ ἖ ⒆ྒ ⚾ㅚ⌾ Ẋ⎒⒎᧶⑂ ᶮ⪚㉞ ἖ ⒆ྒ ᤧ≆⑂ ┓⑖㉖⋾⑊ .

EL

Ẋ⎒⒎᧶1

Ẋ⎒⒎᧶2

῞⎧ザ☏ ᚪᾢ⵪ᕚ ⑶㉚ Ẋ⎒⒎᧶ ⚛ࣾ ㎦৺

1

2

◺⎒ ザ☏⏎⦚⋎ ࿾㉚ Ẋ⎒⒎᧶ ᶮ⪚

…

⤦◺ ザ☏

…

ମⶾ ザ☏

ƒ

ূ⋲ ザ☏

ƒ

࿲᧲ ザ☏

῞⎧ ザ☏ᚪᾢ⵪ᙺ ⬟┓㉞ ἖ ⒆ྒ ⓿┆㉚ ⚾ㅚ Ḟ┓ ᤍ ឦ࿆⸮ᚿ

ƒ ザ☏Ⴢ(CR) : ᶿ␂ ⤦◺/ূ⋲⑲ │⦲ ⑳ᾢリ┶⋎Ḛ ⤦⚾㉖ྒ ᭂ☏

ƒ ㋆㈾࿪ ⚾἖: ࣾᶿ⑖ ⍂│᪂ᶮ リ⾶ヲᚪ⌢⌾⑖ ⤦⑲ᙺ ඖⶾ඲ྒ ⚾ㅚ (⍂

│᪂ᶮ⑖ ঻⎮ ⚾἖ = 0␺ᕚ ᶮ⪚)

ƒ ⋒⾶ᕚ㈺ ⚾἖: Ὶ⒣ リ⾶ヲᚪ⌢ ࿾ᭂ ᶿ࿾⓿⑶ ザ☏Ⴢᙺ ඖⶾ඲ྒ ⚾ㅚ

῞⎧ザ☏ ᚪᾢ⵪⑖ ⬟┓ ᤍ Ẋ⎒⒎᧶

᪂ᶮ㍒ ┓Ⴢ⋎ ⑖㉚ ૺᶪ⭖ ূᶮ

ᤧᦓ

῞⎧ザ☏ ⏎⦚ᧂ ᾢ⾶ᔆᾢ ⹊ᾢ⾶

῞⎧ザ☏ ᚪᾢ⵪ᙺ ◺ମ⓿␺ᕚ ឦ࿆⸮ᚿ

῞⎧ザ☏ ᚪᾢ⵪ᕚ ⑶㉚ Ẋ⎒⒎᧶ ᶮ⪚

1 ザ☏⑲ ⋄ྒ リ⾶ヲᚪ⌢ ঻⎮

2 ザ☏⑲ ⒆ྒ リ⾶ヲᚪ⌢ ঻⎮

῞BIS㌏≻⋎Ḛ ῞⎧ リ⾶ヲᚪ⌢⑖ Ẋ⎒⒎᧶⑂ ⬟┓

㉖ମ ␂㉲ ⑲⎧㉖ྒ ㉦἖ྒ ‘चᧂ ⑳ᾢリ┶ྒ ⪧᪂㒆

⒏␾ ૚ឦ⑲ᝮ ⒖ ᪂ᶮᄖ⊲ ⒆࿢’ྒ ࣾ┓ ㉖⋎ ମ⨆

㉖⋪ चᤚᄖ⋆⑊. ⚇, ῞ BIS㌏≻␾ ␂ 1৺ ग␾ リ

2.4 ῞⎧ ザ☏ᚪᾢ⵪ – Ẋ⎒⒎᧶ ᶮ⪚

῞ BIS ㌏≻⋎Ḛ ࣾ⒣ ☏⎒㉖ঊ ࿢ᗦ৞ ⒆ྒ ⤦◺ ザ☏⋎ ࿾㉚ ᪂ḛম৺ ≻ xxx ⊳⏎⑖ ⪒ࣾ ⒎ମ⒎᧶⑲ Ẋ⎒ᄞ ঁ␺ᕚ

⪒┓ᄖᝮ , ⪒ࣾ⓿␺ᕚ ূ⋲ / ࿲᧲ ᇯ ମⶾ ザ☏⋎ ࿾㉚ ᪂ḛম৺ ⩚࿾ ≻ xxx ⊳⏎⑖ ⪒ࣾ ⒎ମ⒎᧶⑲ Ẋ⎒ᄞ ঁ␺ᕚ ⪒┓ᄦ .

ῢ┚リ⾶ヲᚪ⌢

ザ☏ ⚾ㅚ ূᶮ (␞㎦ ㋆㈾࿪ ⚾἖=

YY)

␞㎦

㋆㈾࿪

⚾἖

⪒ࣾ Ẋ⎒⒎᧶

XX AA

YY BB

ZZ CC

⪒ࣾ Ẋ⎒⒎᧶

= BB

リ⾶ヲᚪ⌢

ザ☏⑲ ᤚᷛ㉖ྒ

⑳ᾢリ┶ Ίᧂ 1

ᾢ⾶ᔆᾢ Ὶඖᚪ⌢ ⒏ḯ 2

- ࿲᧲ࣾ⭖ x %㉖ᑻ -ূ⋲ Ẋẋମ⋃ ᇯଇ㉖ᑻ ᇯ

⪒ࣾ Ẋ⎒⒎᧶ ⬟┓

3

- RWA ⚛ࣾ

-ࣾ⎧⒎᧶ ऎẊ -⒎ମ⒎᧶ ᭂ␦ ऎẊ

ମ⋃ ⤦◺ ἖ xxxxx

␞㎦ ㋆㈾࿪ ⚾἖ xxxxx

␞㎦ ⤦◺ ἖ xxxxx

⪒ࣾ Ẋ⎒⒎᧶(᤯ᛊ⏎) xxxxx

⪒ࣾ Ẋ⎒⒎᧶ ᭂ␦ xxxxx

ザ☏ ⏎⦚ ূ⋲ ザ☏ ࿲᧲ ザ☏

Ὶඖᚪ⌢ ূ⋲Ẋẋ ମ⋃ ᇯଇ㉖ᑻ (1ᇯଇ, 2ᇯଇ)

5࿾ ূ⋲

xxxxx xxxxx ᪂ḛ࿾ᶿ

࿲᧲ࣾ⭖ ㉖ᑻ (5%, 10%)

◺ⷛ࿲᧲࿾⪚

xxxxx

⪒ࣾ Ẋ⎒⒎᧶(᤯ᛊ⏎)

⪒ࣾ Ẋ⎒⒎᧶ ᭂ␦ xxxxx

< ᪂ᶮ㍒ ┓Ⴢ(granularity)⋎ ⑖㉚ ૺᶪ⭖(Approximation) ূᶮ ᤧᦓ> < ᾢ⾶ᔆᾢ ⹊ᾢ⾶⋎ ⑖㉚ Ẋ⎒⒎᧶ ⬟┓ ᤧᦓ>

< च ๎>

< ၮ⑲⸮ ᪂ḛ ম৺>

< च ๎>

< ၮ⑲⸮ ᪂ḛ ম৺>

2.5 ᶪ⋃ ᚪᾢ⵪ – Ẋ⎒⒎᧶ ᶮ⪚

ᶪ⋃ ( ᭂ⚆࿆ᾢ ) ᚪᾢ⵪ྒ ⋿⋃㍖঻ , ঻┚⎒⑶⑖ ᦾ㍒ᕚ ⑶㉚ ἖⑳⑖ ᦾთ ( ऎẊ ) ␺ᕚ ⑶㉲ ἖⑳⑲ ⋿⋃ᭂ⎧⑂ ⪧࿷㉖⚾

ឹ㉖⋪ Ẏῢ⑲ ᤚᷛ㉞ ␂㋖⑂ ⑖᣶㉖ᝮ ῞⎧ , Ὶ⒣ , ⎲⋿ , ଆᚪ␂㋖ ⎒⑶ ⍶⋎ ᤚᷛ㉖ྒ ␂㋖⑖ ⒪ᠲ⓿⑶ ㎦৺ᙺ リਂ㉦ .

ମ࿾

⋿⋃⑲⑳

⋿⋃⑲⑳⑖

⩚࿾ ᦾთḯ

৞┓ᭂ

⩚Ẋ

⋿⋃⑲⑳

⋿⋃⑲⑳⑲ ⩚Ẋࣾ

ᄖ⋆⑂ ঻⎮ ⋿⋃⑲

⑳␺ᕚ ⪧࿷ᄖ⚾ ឹ

㉖ྒ ৞┓ᭂ

ALM risk capital

business risk capital

< Business risk capital

ᶮ⪚ च๎Ⴢ

(

⋿⋃⑲⑳⑖ ᦾთḯ ᤧᦓᕞ

) >

⤶╮ - ␂㋖⒎᧶ ᤮᪂ ᤍ ㉚ჂḢ┓ ㈂ᕚḶᾢ

‰⋿⋃│ᒳ ἖ᚻ

‰⒎ᶮ⎲⋿ ূ㎋ ἖ᚻ

‰⒪ᠲ(⑲⑳)ূ㎋

‰⋿⋃│ᒳ ἖ᚻ

‰⒎ᶮ⎲⋿ ূ㎋ ἖ᚻ

‰⒪ᠲ(⑲⑳)ূ㎋

ࣿ ᶪ⋃᧶᩾

ࣿ ᶪ⋃᧶᩾

< 1⤦ ূ㎋ ἖ᚻ>

‰ࣾ⎧⒎᧶ ম┓

‰⨛ ␂㋖⒎᧶ ম┓

< 1⤦ ূ㎋ ἖ᚻ>

‰ࣾ⎧⒎᧶ ম┓

‰⨛ ␂㋖⒎᧶ ম┓

ᚪᾢ⵪⨛ਂ⿾

ᚪᾢ⵪⨛ਂ⿾

‰│㊇ ঻⋿ূ㎋^* ἖ᚻ

‰ḯ৺৾ᚪ ឧㅚ ᤮┓

‰│㊇ ঻⋿ূ㎋^* ἖ᚻ

‰ḯ৺৾ᚪ ឧㅚ ᤮┓

│ᒳ(⒪ᠲ)ମ㎋⿾

│ᒳ(⒪ᠲ)ମ㎋⿾

‰૶ᗷ ঻⋿ূ㎋^* ἖ᚻ

‰૶ᗷ ঻⋿ূ㎋^* ἖ᚻ

⒪ᠲମ㎋⿾

⒪ᠲମ㎋⿾

‰᤮᪂ ମ◾ ᛆᔦ

‰૶ᗷ ࣾ⎧⒎᧶ ম┓

‰૶ᗷ ⨛ ␂㋖⒎᧶

ম┓

‰᤮᪂ ମ◾ ᛆᔦ

‰૶ᗷ ࣾ⎧⒎᧶ ম┓

‰૶ᗷ ⨛ ␂㋖⒎᧶

ম┓

ᚪᾢ⵪৾ᚪ⿾

ᚪᾢ⵪৾ᚪ⿾

< 2⤦ ূ㎋ ἖ᚻ>

‰ᶪ⋃᧶᩾, ᶿㆆᧂ

␂㋖⒎᧶ ᤮᪂

‰␂㋖⒎᧶ ᤮᪂ ᤍ

㉚ჂḢ┓(≆) ᶿ┓

< 2⤦ ূ㎋ ἖ᚻ>

‰ᶪ⋃᧶᩾, ᶿㆆᧂ

␂㋖⒎᧶ ᤮᪂

‰␂㋖⒎᧶ ᤮᪂ ᤍ

㉚ჂḢ┓(≆) ᶿ┓

ᚪᾢ⵪৾ᚪ㌏⑖㎊

ᚪᾢ⵪৾ᚪ㌏⑖㎊

ᚪᾢ⵪৾ᚪ␂⏎㎊

ᚪᾢ⵪৾ᚪ␂⏎㎊

ᚪᾢ⵪৾ᚪ㌏⑖㎊

ᚪᾢ⵪৾ᚪ㌏⑖㎊

ᚪᾢ⵪৾ᚪ␂⏎㎊

ᚪᾢ⵪৾ᚪ␂⏎㎊

ښ ڙ

ڛ

ڢ

ڣ

ڡ

⎮ᚪ␾㊇ ⎮ᚪ␾㊇ ⚾◺㎊ᶪ ⚾◺㎊ᶪ

⑲ᶪ㎊⑲ᶪ㎊ ڜ ڝ ⑲ᶪ㎊⑲ᶪ㎊

ڞ

ڟ

ڠ

ڤ

⤶╮ - RAPM ( ␂㋖╮┓ ḯ৺デࣾ )

἖⑳/ᭂ⎧

἖⑳

/

ᭂ⎧

␂㋖ᓇ

␂㋖ᓇ

ƒ

࿷ମἚ⑲⑳

ƒ

⋿⋃⑲⑳

ƒ

␂㋖⒎᧶

(CaR)

῞⎧: UL x k(ᾷ἖) Ὶ⒣: 10day VaR x 3

␂㋖╮┓἖⑳ (RAR)

␂㋖╮┓἖⑳

(RAR)

␂㋖⒎᧶ (CaR)

␂㋖⒎᧶

(CaR)

ƒ৾ᚪ㎊ূ

-⒎ଆ⏎ࣾ(MOR) -㍚თ⏎ࣾ(ABC)

ƒ৾ᚪ㎊ূ

-⒎ଆ⏎ࣾ(MOR) -㍚თ⏎ࣾ(ABC)

リ⾶ヲᚪ⌢৾ᚪ

リ⾶ヲᚪ⌢৾ᚪ

⋪῞⑖ᶪম┓

⋪῞⑖ᶪম┓

⋿⋃┎ KPI

⋿⋃┎

KPI

ḯ৺デࣾ

ḯ৺デࣾ

঻⋿

/

⋿⋃ ㍚⎧

ƒ ῞⎧ ␂㋖ᓇ: UL

ƒ Ὶ⒣ ␂㋖ᓇ: VaR, EaR

ƒ ῞⎧ ␂㋖ᓇ : UL

ƒ Ὶ⒣ ␂㋖ᓇ : VaR, EaR

ƒ

⌆ᶿẎῢ

(EL)

RM KPI RM KPI

⑖ᶪম┓

⑖ᶪম┓

ᶪ⋃᧶᩾ KPI

ᶪ⋃᧶᩾

KPI

ƒ␂㋖╮┓἖⑳(RAR) = ἖⑳-ᭂ⎧-⌆ᶿẎῢ(EL)

ƒ␂㋖╮┓἖⑳ᙞ(RAROC) = (἖⑳-ᭂ⎧-⌆ᶿẎῢ(EL)) / ␂㋖⒎᧶(CaR)

ƒ◺◺᩾ࣾࣾ⭖≟(SVA) = ἖⑳- ᭂ⎧- ⌆ᶿẎῢ(EL) - (␂㋖⒎᧶ ֞ ឧㅚ἖⑳ᙞ)

ؾ MOR : Matched Opportunity Rate ABC : Activity - Based Cost RAR : Risk - Adjusted Return

3.1 ମⶾ ᚪᾢ⵪ ৾ᚪ 3.2 ㊣㏂ ৺┚

3. 3. ମⶾ ମⶾ ᚪᾢ⵪ ᚪᾢ⵪ ৾ᚪ ৾ᚪ ᤍ ᤍ ㊣㏂ ㊣㏂ ৺┚ ৺┚

3.1 ମⶾ ᚪᾢ⵪ ৾ᚪ

ମⶾ ᚪᾢ⵪⑖ ▃ᙖ

ƒ

│ᒳᚪᾢ⵪

ƒ

デ『ᚪᾢ⵪

ƒ

≂⏁Ẋ`ᚪᾢ⵪ ᇯ

৾ᚪ ㌂㍧

ᤍ ᤧ≆

ƒ

◺⎒ ᶪ≆⋎ ࿾㉚ ঻⋿㌏⑖㎊

,

ᚪᾢ⵪৾ᚪ␂⏎㎊

/

㌏⑖㎊⋎Ḛ⑖ ॾ⺞

,

඲᩾

૚┓

/

⚾⭦⋎ ⑖㉚ ⺳┚ ᇯ⑂ ⺳㉲Ḛ ῢ⛆⓿␺ᕚ ᚪᾢ⵪ ৾ᚪࣾ ⑲ᗦ⊲⚾৞

⒆␺ඖ

ƒ

ᶿମ ᚪᾢ⵪ᙺ ᧂჂ⑖ ᚪᾢ⵪ᕚḚ ⑶Ί㉖৞ ⺳┚㉖ྒ ㈂ᕚḶᾢᙺ ឃῚ㉖⋪

৾ᚪ㉖ྒ ⦲ূࣾ ࿢Ẋ ᣶㑟㉚ ᤒ

ƒ

⦲ূ⓿⑲৞ ᶿḶ㉖ঊ ឃῚᄚ ᠶḚ㍒ᙺ ⺳㉖⋪ თ ᚪᾢ⵪ᇢ⋎ ࿾㉚ ৾ᚪ┆⤦

ᙺ ओ㍒㉞ ূ㎋⒂

3.2 ㊣㏂ ৺┚

ᠶḚ㍒

ƒ

ମ╲ ૚┓ ᤍ ⚾⭦⑖ │ᤖ⓿⑶ ┓ᭂᙺ ⺳㉖⋪ ඲᩾ ⒎᧶⓿┓ḯ デࣾ ᤍ ৾ᚪ

৾ᔦ ⋃ᠲ⑖ ⦲ূ⓿⑶ ᠶḚ㍒

⺳┚ ੪╮

ƒ

࿦␂ᶪ⋃᩾ᠶ৺ ඲᩾ ⒎᧶⓿┓ḯ デࣾ ᤍ ৾ᚪ᩾ᠶ⑲ Ⴣᚻᄖ⊲ ⎲⋿ᄖ৞

⒆৞ ॾᶪ᩾Ḛ⋎ ⑖㉚ ᚪᾢ⵪ ৾ᚪῢⷚ ┎ॾ ᇯ⑲ ┓ମ⓿␺ᕚ ἖㊇ᄖ৞ ⒆␺ඖ

ƒ

⒎᧶⓿┓ḯ ৾ᔦ Ḷ᩾⚾⭦ ᶿ⑖ ⎒ॲ⑂ ⪧╯㉖ྒ Ⴣᚻ⓿⑶ ┚

3

⒎⋎ ⑖㉚ ┎ॾ

⦲ূᙺ ᧲⍂㉞ ㉂⎒