Page 31 - CCFA Journal - 11th Issue
P. 31

加中金融                                            金融监管 Regulation


    The curvature risk associated with Group 2(a) cryptoassets cannot be diversified across buckets. Therefore, the total curvature risk
    capital requirement for the entire portfolio is the sum of the individual bucket capital requirements: ∑b Kb.

    It's important to note that Group 2(a) cryptoassets are not subject to the Default Risk Charge (DRC) capital requirement.

    In the case of a stablecoin included in Group 2(a), the risks associated with the default of the redeemer and the risks arising when
    intermediaries perform the redemption function should be treated in line with the minimum risk-based capital requirements for the
    credit risk (CRE) section. This ensures that the appropriate capital is allocated to address the specific credit risks associated with
    stablecoins.

    By considering the curvature risk capital requirements on a bucket-by-bucket basis and addressing the credit risks associated with
    stablecoins separately, the capital requirements for Group 2(a) cryptoassets can be accurately determined in accordance with the
    applicable risk-based capital framework.

    与 Group 2(a)加密资产相关的曲率风险无法在桶之间进行分散。因此,整个投资组合的曲率风险资本要求是各个桶的资本
    要求之和:∑b Kb。
    需要注意的是,Group 2(a)加密资产不需要遵守违约风险资本要求(DRC)。


    对于包含在 Group 2(a)的稳定币,应根据信用风险(CRE)部分的最低风险资本要求,处理与赎回者违约以及中介机构执
    行赎回功能相关的风险。这确保了适当的资本分配用于应对与稳定币相关的具体信用风险。

    通过逐个桶地考虑曲率风险资本要求,并单独处理与稳定币相关的信用风险,可以根据适用的风险资本框架准确确定
    Group 2(a)加密资产的资本要求。

    For  Group  2(b)  cryptoassets,  neither  the  Standardized  Approach  (SA)  nor  the  Internal  Model  Approach  (IMA)  can  be  used  to
    calculate the capital requirement for market risk. Instead, a new framework is introduced in the BCBS standard to address both
    market and credit risk capital.

    Under this new framework, for each separate Group 2(b) cryptoasset, banks must apply a risk weight of 1250% to the greater of the
    absolute value of the aggregate long positions and the absolute value of the aggregate short positions in the cryptoasset. This
    ensures that the capital requirement adequately accounts for the potential risks associated with these cryptoassets.

    The Risk-Weighted Assets (RWA) for each separate cryptoasset to which the bank is exposed are calculated as follows:

    对于 Group 2(b)加密资产,无法使用标准化方法(SA)或内部模型方法(IMA)来计算市场风险的资本要求。相反,BCBS
    标准引入了一种新的框架,以解决市场风险和信用风险资本的问题。

    根据这一新框架,对于每个单独的 Group 2(b)加密资产,银行必须将风险权重设为 1250%,该权重取决于该加密资产的多
    头头寸绝对值和空头头寸绝对值中的较大者。这确保了资本要求充分考虑了这些加密资产可能的风险。
    银行暴露于每个单独加密资产的风险加权资产(RWA)的计算如下:




    For each cryptoasset derivative that has a Group 2(b) cryptoasset as the underlying asset, the exposure value used in the formula
    mentioned above is the value of the underlying cryptoassets.

    In the case of leveraged derivatives, where the derivative returns a multiple of the value of the underlying asset, the exposure value
    of the underlying position needs to be adjusted upward to account for the leverage. This adjustment ensures that the potential risk
    associated with the leverage is appropriately considered.

    It's important to note that the exposure value calculated according to this adjustment can be capped at the maximum possible loss
    on the cryptoasset derivative. This cap limits the exposure value to the potential loss that can occur on the derivative contract,
    providing a reasonable estimation of the risk involved.
    对于每个以 Group 2(b)加密资产作为基础资产的加密资产衍生品,上述公式中使用的敞口价值是基础加密资产的价值。


    在杠杆衍生品的情况下,即衍生品返回基础资产价值的倍数时,需要将基础头寸的敞口价值向上调整,以考虑杠杆的影响。
    这种调整确保了适当考虑了杠杆所涉及的潜在风险。

    需要注意的是,根据这种调整计算的敞口价值可以设定在加密资产衍生品的最大可能亏损上限。这个上限将敞口价值限制
    在可能在衍生合约上发生的潜在损失范围内,提供了对所涉风险的合理估计。

    The application of the 1250% risk weight to Group 2b cryptoasset exposures ensures that banks are required to hold a minimum
    risk-based capital that is at least equal in value to their exposures to these cryptoassets. This risk weight serves as a safeguard to
    ensure that banks have adequate capital to cover the potential risks associated with Group 2b cryptoassets.
    For simplicity and prudential reasons, the formula applies the 1250% risk weight to both long and short positions. This approach
    acknowledges that certain types of exposures, including short positions, can potentially result in unlimited losses. By applying the
    risk weight to both long and short positions, banks are required to hold sufficient capital to address these potential losses.

                                             CCFA JOURNAL OF FINANCE   July 2023                        Page 31     第31页
   26   27   28   29   30   31   32   33   34   35   36