Page 26 - CCFA Journal - 8th Issue

风险控制 Risk Management 加中金融

3. Prudent Valuation of Properties Requiring 3. 审慎估值因经济下行需要调整的物业
Adjustment for Economic Downturns
为了在标准化方法下计算贷款与价值比率，巴塞尔 II 只需
To calculate loan to value ratio under the standardized 要贷款发起时的财产价值。然而，根据加拿大版巴塞尔协
approach, the property value at loan origination is simply 议 IV，CAR 指南规定（财产价值）“……必须进行调整，
required under Basel II. However, under the Canadian version 以考虑到当前市场价格显着高于贷款期限内可持续价值的
10
of Basel IV, the CAR guidelines stipulates (property value) 可能性.此外，为了计算 LTV，机构应酌情评估和调整房产
“…must be adjusted to take into account the potential for the 的价值，考虑到相关的风险因素，这些风险因素使标的房
current market price to be significantly above the value that 产更容易受到房价大幅调整或可能显着影响房产的适销性。
would be sustainable over the life of the loan. In addition,
institutions should assess and adjust, as appropriate, the 如果能够确定市场价值，则估值不应高于市场价值。”根
value of the property for the purposes of calculating the LTV 据不同的解释，银行需要设计一种更审慎的估值方法，而
by considering relevant risk factors that make the underlying 不是简单地以市场价值来解释房地产价值的潜在下跌。
property more vulnerable to a significant house price 4. 使用模型方法资本要求增加
correction or that may significantly affect the marketability of
the property. If a market value can be determined, the 目前，加拿大银行有两种方法可供选择来计算承担信用风
valuation should not be higher than the market value.” 险的产品的风险加权资产，即基于内部评级（IRB）的方
Depending on the interpretation, banks are required to devise 法或标准化方法（SA）。要使用 IRB 方法，银行需要向
a more prudent valuation method than simply taking the OSFI 提交申请并获得批准。大多数大型银行选择了这种方
market value to account for the potential downfall in 法，因为它允许银行根据自己的损失数据估计模型参数，
property values. 这通常会导致 RWA 比使用标准化方法低得多。加拿大实

4. Increased Capital under Modelled Approach in the 施巴塞尔协议 IV 通过增加基于内部评级的方法的相关参数
Canadian version of Basel IV （从 0.15 到 0.22），提高了用于创收目的的抵押贷款的建
模方法资本要求，以及不符合 OSFI 围绕 B-20 指南预期的
Currently, Canadian banks have two approaches to choose 抵押贷款的资本要求。这偏离了 BCBS 最初的巴塞尔 IV 框
from to calculate the RWA for products bearing credit risk, 架，预计将显着增加银行向激进投资者和过度杠杆个人贷
the Internal Rating Based (IRB) approach or the Standardized
Approach (SA). To use the IRB approach, banks are required 款的资本成本。
to submit an application to OSFI and obtain an approval. Most
large banks chose this approach as it allows banks to estimate
model parameters based on their own loss data, which
normally results in much lower RWA than that using the
Standardized approach. The Canadian implementation of
Basel IV increased the modelled approach capital
requirements for mortgages for income-producing purposes
and those that do not meet OSFI expectations around B-20
guidelines by increasing the correlation parameter for the
internal rating-based approach (from 0.15 to 0.22). This is a
deviation from BCBS original Basel IV framework and
expected to increase banks’ capital costs significantly for
lending to aggressive investors and over-levered individuals.

10 Capital Adequacy Requirements (CAR) Chapter 4 – Credit Risk –
Standardized Approach (osfi-bsif.gc.ca)
CCFA JOURNAL OF FINANCE August 2022
Page 26 第26页