Page 22 - CCFA Journal - 8th Issue

风险控制 Risk Management 加中金融

The Timelines of Basel 巴塞尔时间表

Basel I (1988): International convergence of capital 巴塞尔协议 I（1988）：资本计量和资本标准的国际趋同
measurement and capital standards
为了克服简单资本充足率措施的弱点，由许多发达国家
To overcome the weakness of simple capital adequacy 的中央银行和监管机构组成的巴塞尔银行监管委员会
measure, the Basel Committee on Banking supervision （BCBS）宣布了巴塞尔协议，即巴塞尔协议 I，对银行实
(BCBS), comprised of central banks and supervisory 施基于风险的资本比率。 1996 年的修正案纳入了市场风
authorities of many developed nations, announced the Basel 险措施，允许采用模型方法。
Accord known as Basel I that imposed risk-based capital
ratios on banks. The 1996 amendment incorporated market 巴塞尔协议 II（2004）：资本计量和资本标准的国际趋同：
risk measures allowing for a modelled approach. 修订后的框架

Basel II (2004): International Convergence of Capital 《巴塞尔协议 II》在提高风险敏感性方面做了很大的努力，
Measurement and Capital Standards: a Revised Framework 包括允许在标准化方法下对风险权重进行外部信用评级，
Basel II went a great length in terms of increasing the risk 以及银行对借款人的信用状况和潜在违约损失进行内部
sensitivities, including allowing external credit rating for risk 估计。它还引入了三个支柱框架：最低要求、监督和市
weighting under standardized approach and banks internal 场披露。 2006 年，BCBS 发布了一个综合版本，整合了
estimates for borrowers’ creditworthiness and potential loss 2004 年巴塞尔和之前没有更新的部分，这是加拿大当前
at default. It also introduced the three-pillar framework: 资本充足率要求所依据的版本。
namely, minimum requirement, supervisory oversight, and
disclosure to the market. In 2006, BCBS issued a 巴塞尔协议 III（2010）：更具弹性的银行和银行系统的
comprehensive version consolidating the 2004 Basel and 全球监管框架
previous segments there were not updated, which is the 在 BCBS (2009) 中，2007 年金融危机在很大程度上归因于
version that Canada’s current capital adequacy requirements 银行风险管理模型的不足，包括预测严重市场冲击的压
are based on.
力测试。巴塞尔协议 III (2010) 的推出旨在进一步加强银
Basel III (2010): A global regulatory framework for more 行的资本、流动性和杠杆头寸。
resilient banks and banking systems
巴塞尔协议 IV (2017)：巴塞尔协议 III 完成危机后改革
In BCBS (2009), the 2007 financial crisis was heavily
attributed to the inadequacy of banks’ risk management 在巴塞尔协议 III 的基础上，引入了市场风险交易基本面
models including stress tests in predicting severe market 审查（FRTB）账簿、新的 CVA 标准化方法以及一般信用
shocks. Basel III (2010) was introduced to further strengthen 风险和操作风险。此外，它还规定了基于标准化方法计
a bank’s capital, liquidity and leverage positions. 算的资本产出下限，限制了 RWA 储蓄银行使用内部模型
方法可能拥有的资本产出下限。
Basel IV (2017): Basel III Finalizing Post-Crisis Reforms

On the basis of Basel III, it introduced Fundamental Review
of Trading (FRTB) book for market risk, new standardized
approach for CVA and general credit risk and operational risk.

In addition, it imposed a capital output floor calculated
based on standardized approach limiting the RWA savings
banks could have using an internal model approach.

CCFA JOURNAL OF FINANCE August 2022
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