Page 33 - CCFA Journal - Second Issue

加中金融

CCR 建模挑战 CCR Modeling Challenges

CCR 是一项评估起来很复杂的风险。它是信用和市场风险的混 It is difficult assessing CCR, as it is a hybrid between credit and
合体，受交易对手的信用度变化和潜在市场风险因素变动的影 market risk, and it depends on changes in both the counterparty’s
响。当交易对手违约时，如果交易对手对我们有多头敞口头 creditworthiness and movements in the underlying market risk
寸，我们需要重置这些合同的成本。这意味着当对手方将来将 factors. When the counterparty defaults with a positive exposure to
us, we need to replace the cost of those contracts. That means the
要违约时，需要对对手方的违约风险敞口（EAD）进行建模。 exposure at default (EAD) needs to be modeled when the
需要对所有投资组合的交易进行长期限的估值建模。需要模拟 counterparty is going to default in the future which requires: (1)
带有违约概率和回收率估计的预测，以帮助计算损失。此外， modeling the value of all portfolio transactions over a potentially
未来的建模还需要考虑抵押品安排，包括与 CSA 协议相关的 long time horizon; (2) forecasting an estimate of default
净额结算或非净额结算协议。此外，当我们与交易对手达成衍 probabilities and recovery rates that are required for loss calculation
生品交易，但此交易的标的产品与交易对手相关连的情况下， simulations. In addition, collateral arrangement also needs to be
这些交易可能带有错向风险，这会引入与 CCR 相关的不同风 taken into consideration of the modeling in the future, including
险。 netting or non-netting agreements that are associated with Credit
Support Annex (CSA) agreements. Furthermore, some trades may
上面列出的所有内容都会带来建模挑战，在合约期限内，系统 carry wrong way risk where we make a derivative deal with a
需要对不同的市场因素进行共同模拟测试，包括交易的产品， counterparty but the underlying of the deal is associated with the
交易的远期价值，回收率，交易对手违约的概率，相关的净额 counterparty, which introduces different risks associated with CCR.
结算协议。蒙特卡罗是一种模拟未来未知因素的简单方法。但 All above listed leading to model challenge as co-simulation of
是，上述因素的共同模拟不仅带来建模挑战，也给计算和硬件 different market factors including underlying of the deals, future
带来负担。 value of the deals, recovery rate, probability of default of the
counterparty, collateral and netting agreements are required in the
CCR 监管资本革命 system over the life of the contract. Monte-Carlo simulation is a
straightforward method to simulate unknown factors for the future.
巴塞尔协议 II：CCR 资本最初是由巴塞尔协议 II 引入的。它仅 But co-simulation of the above listed factors introduces not only the
考虑当交易对手违约时（假设产品是持有至到期），用以弥补 modeling challenge but also the burden to the computation and
损失的违约风险资本。 hardware.

巴塞尔协议 III：在 2008 年金融危机之后，监管机构，尤其是 CCR RISK CAPITAL REVOLUTION
巴塞尔委员会，为应对危机，在巴塞尔协议 III 中，大大加强 Basel II: CCR capital was first introduced by Basel II. It only
了其证券融资交易（SFTs）的交易对手方信用风险（CCR）， accounts for capital charge for default risk to cover losses in case
以及其场外交易（OTC）和中央清算衍生品的框架。CCR 资本 the counterparty defaults on its obligations (assuming the
不仅包括违约风险费用，还引入了资本要求，以弥补交易对手 instrument is held to maturity).
风险的市场价值变化所造成的损失。应当指出，在大金融危机
期间，CVA 风险是银行意外损失的主要来源。此外，《巴塞尔 Basel III: After 2008 financial crisis, regulators, especially Basel
Committee, a significant strengthened framework on CCR for SFTs
协议 III》的主要变化之一是（对于所有 OTC 衍生品）在 EAD and both OTC and centrally cleared derivatives in its Basel III
计算中包括了 CCP 和 CVA 调整。在对交易对手信用风险下 response to the crisis. CCR capital includes not only default risk
EAD 进行建模和计算时，银行可以使用以下任一方法: (1) 内部 charge but also a capital requirement to cover losses from changes
模型法（IMM）：银行开发的内部模型；(2) 标准法（CEM 或 in the market value of counterparty risk. It should be noted that
SA-CCR），当银行无法实施其自己的 IMM 方法时采用。与 CVA risk was a major source of unexpected losses for banks during
IMM 相比，此方法通常会产生更高的资本需求。 the Great Financial Crisis. Also, one of the main changes under
Basel III are the inclusion of CCPs and the CVA adjustment (for all
巴塞尔协议 IV：尝试解决巴塞尔协议 III 中的某些局限的 SA- OTC derivatives) in the EAD calculation. For the modelling and
CVA，最近已定稿。 calculation of EAD under counterparty credit risk, banks may use
either: 1) Internal Model Method (IMM): internal model developed
当前的巴赛尔协议 III 框架 by the bank; 2) Standardized Method (CEM or SA-CCR), which is
put in place when a bank cannot implement its own IMM approach.
内部模型法（IMM）. 如果银行想减少其资本需求并且不希望 This method usually gives higher capital charges than IMM.
使用标准化模型，则可以使用它。它计算违约风险资本和 CVA
资本。 Basel IV: SA-CVA, which tries to address some limitations in Basel
III, was finalized recently.
标准化方法，包括 CEM 即期敞口法（2014），SA-CCR
（2016），和标准化的 CVA 资本。 CURRENT BASEL III FRAMEWORK
Internal Model Method (IMM). Banks use this if they want to
金融危机之后，CSA 和抵押品被放入 CEM 框架中。由于 2014 reduce their capital charge and don’t want to use Standardized
年 CEM 无法捕捉到已清算的交易且保证金显著增长，因此它 Model. It calculates both default risk capital charge and CVA
仍然具有局限性。这就是后来引入 SA-CCR 的原因。CEM 和 capital charge.
SA-CCR 都侧重于两个部分：PFE 和重置成本。
Standardized Method, including Current Exposure Method (CEM)
(2014), SA-CCR (2016), and Standardized CVA Capital Charge.

After the financial crisis, CSA and collateral are put in the CEM
framework. It still has limitations as the 2014 CEM cannot capture
the trades that are being cleared with margins growing significantly.
That’s why SA-CCR was introduced later on. Both CEM and SA-
CCR are focused on two components: PFE and replacement cost.

CCFA JOURNAL OF FINANCE DECEMBER 2020
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