市场风险的最低资本要求

本标准的修订版于 2019 年 1 月发布。 https: / / www. bis. org / bcbs / publ / d457. pdf巴塞尔委员会论银行监管标准市场风险的最低资本要求2016 年 1 月 本标准的修订版于 2019 年 1 月发布。 https: / / www. bis. org / bcbs / publ / d457. pdf该出版物可在国际清算银行网站 (www. bis. org) 上查阅。© Bank for International Settlements 2015. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated.ISBN 978 - 92 - 9197 - 399 - 6 (打印)ISBN 978 - 92 - 9197 - 416 - 0 (online) 本标准的修订版于 2019 年 1 月发布。 https: / / www. bis. org / bcbs / publ / d457. pdf市场风险的最低资本要求ContentsPreamble ..................................................................................................................................................................................................5市场风险的最低资本要求 .......................................................................................................................................................................5A.交易账簿与银行账簿的界限及市场风险最低资本要求的适用范围...........................................................................................51.适用范围及市场风险计量方法 .............................................................................................................................................52.交易账簿的定义 ....................................................................................................................................................................63.交易账簿工具的风险管理政策 .............................................................................................................................................74.交易台的定义 ........................................................................................................................................................................95.在监管账簿之间移动票据的限制 ......................................................................................................................................106.内部风险转移的处理 ..........................................................................................................................................................117.交易账簿中交易对手信用风险的处理...............................................................................................................................138.过渡安排..............................................................................................................................................................................13B.市场风险 - 标准化方法 ...............................................................................................................................................................131.一般规定..............................................................................................................................................................................132.标准化方法的结构 ..............................................................................................................................................................14(i)标准化方法的结构概述 .............................................................................................................................................14(ii)基于灵敏度的方法 ： 主要定义 ...............................................................................................................................14(iii)基于灵敏度的方法 ： 受 delta 、 vega 和曲率风险影响的仪器...........................................................................15(iv)基于灵敏度的方法 ： delta 和 vega........................................................................................................................15(v)基于灵敏度的方法 ： 曲率 .......................................................................................................................................16(vi)基于敏感性的方法 ： 关联情景和风险费用汇总....................................................................................................18(vii)违约风险费用.............................................................................................................................................................18(viii)剩余风险附加项.........................................................................................................................................................193.基于敏感度的方法 ： 风险因子和敏感度定义.................................................................................................................20(i)风险因素定义.............................................................................................................................................................20(ii)灵敏度定义.................................................................................................................................................................25(iii)指数工具和多标的期权的处理 .................................................................................................................................27(iv)灵敏度计算要求.........................................................................................................................................................284.基于敏感性的方法 ： 增量风险权重和相关性................................................................................................................