Page 40 - CCFA Journal - Third Issue

加中金融
风控大讲堂 Risk Management Forum
图 1：巴塞尔对交易账户规定的历史沿革
Figure 1: Basel Evolution for Trading Book
二．FRTB 的框架
交易账户根本审查的框架是一个概念性的架构，在许多方
面比目前的市场风险资本框架更健全和更稳健。它包含一
个强制性的标准化方法和一个需要监管机构批准的内部模
型法。
2.1 标准化方法（SA）
标准法包含以下三个方面：
 敏感性方法（SbM）敏感性方法（SbM）进一步囊
括了线性风险（一阶灵敏度 Delta 和 Vega）和非线性风险
(二价灵敏度 Curvature)的风险性测量，应用于不同的资产
类别，例如股票、利率、信贷、外汇和大宗商品。
 剩余风险附加 (RRAO) 考虑到敏感性方法未覆盖的
风险，剩余风险附加保证了充足的资本要求。它基于总名
义金额乘以一个风险权重（比如 0.10% 或 1%）。
 违约风险附加 (DRC) 违约风险附加的目的在于去捕
捉在违约分布尾部上的极端事件，这些极端事件没有被盯
市风险中的信用风险价差考虑到。违约风险的风险权重与
银行账户信用风险附加一致。
图 2：FRTB 标准化方法
Figure 2: FRTB Standardized Approach
CCFA JOURNAL OF FINANCE
Page 40
加中金融
1. FRTB Framework
FRTB framework represents a conceptual construct that is in
many ways sounder and more robust than current market risk
capital framework. It contains a standardized approach that is
mandatory and an internal model approach which requires
regulator’s approval.
2.1 Standardized Approach (SA)
Standardized approach consists of three components as
illustrated below
 Sensitivities-based method (SbM) SbM further includes
Delta, Vega and Curvature risk across different asset classes
such as equity, interest rate, credit, FX and commodity.
 Residual risk add-on (RRAO) Residual risk add-on
ensures a sufficient level of capital, while acknowledging the
limits of SbM. It is based on gross notional amounts multiplied
by a risk weight (i.e., 0.10% or 1%).
Default risk capital requirement (DRC) Default risk

charge intends to capture stress events in the tail of the default
distribution which are not captured by credit spread shocks in
mark-to-market risk. Its risk weight is aligned with banking book
credit charge.
MARCH 2021