Risk Based Capital by Thanachart Life Assurance

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Risk Based Capitalby Thanachart Life Assurance
Risk Management Department November 2006
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????????????????????????????????
?????????????????
???????????????????
?????????? gt Max(50??????? , 2(?????????))
?. 27 ???.??????????? ?.?. 2535
???????????????
???????????????????
?. 27 ???.?????????????? ?.?. 2535
?????????? gt Max (30???????,10
(????????????????????????????????
????????????????????????????))
3
IAIS
IAIS ????????
International Association of Insurance
Supervisors
???????????????
??????????? BIS ?????????? (Basle)
????????????????????
???????????
IAIS ??? ?????????????????????????? BIS
??????????????????????????????????????????????????
??????? ??????????? Solvency II
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???????????????????????????????????????????
??????????
???????????????????
????????? ???? ??????
Liquidity Risk ??? Operational Risk
???????????? Guidance
???????????????????????????????????????????????
??????? ????????????????????????????? AAA ???
1.5 ???? ????????? ????????????????????????
????? BBB ??? 1.2 ???? ???????
????????????????????????????? BB ??? 1.0 ????
5
??????????????????????
6
?????????????????????????? Market Risk
Market Risk Price risk Reserve risk
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Credit Risk
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????????????? Basel II
????????? BIS
BIS ????????
Bank for International Settlements
???????????????????????????????????
???????????
?? ?.?. 1930 (?.?. 2473)
??????????
??????????????????????? G-10
???????????????
?????????? (Basle) ????????????????????
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????????????? Basel II
1988
Basel I (Credit Risk)
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??????????????????????????????????????????
11
???????????? Basel I
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???????????? Basel I

• ?????????????????????????????????????????????????
  ??????????????????
• gt ????????????????????????????
• ???????????????????????????????????????
  ??????????????????????????????????????????????????
  ????

???????????????????????????? (BIS Ratio)
??????????
???????????????
????????????????? 1
????????????????? 2
?????????
???? ??????
13
???????????? Basel I
??????????
14
???????????? Basel I
???????????????
15
???????????? Basel I

• ?????????????????
• BIS ???????????????????????????????????????????
  ?????????????????????? 4 ?????

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???????????? Basel I

• ??????????? (Credit Conversion Factor)

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?????????? Basel I

• Basel I ?????????????????????????????????????????
  ???????????????????????
• ????????????????????????????
• ???????????? ?????????????????????????????

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???????????? Basel II
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????????????????????????? Basel II
?????????? 3 ??????? ???

• ?????????? 1 ????????????????????????
• (Pillar 1 Minimum Capital Requirement)
• ?????????? 2 ?????????????????????
• (Pillar 2 Supervisory Review Process)
• ?????????? 3 ????????????????????????????
• (Pillar 3 Market Discipline)

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Pillar I Minimum Capital Requirement
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Minimum capital requirements
Credit Risk
Operational Risk
Market Risk (Trading Book)
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Minimum capital requirements
Credit Risk
Operational Risk
Market Risk (Trading Book)
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?????????????????????????????????
Credit Risk
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?????????????????????????????????
Credit Risk
Internal Ratings Based Approach (IRB)
Securitisation Framework
Standardised Approach (SA)
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Credit Risk Standardised Approach (SA)
???????????????????????
x
??????????????
?????????????
???????????????
???????????????
?????????????????????
Performing Assets
- Specific Provision
- Credit Risk Mitigation
Non-performing Assets
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Credit Risk Standardised Approach (SA)
?????????????????
???????????????
???????????????

• 1. ??????????????????????????
• 2. ??????????????????????????????????
• ???????????
• 3. ?????????????????????????????????
• ??????
• 4. ????????????????????
• 5. ???????????????????????
• 6. ????????????
• 7. ??????????????
• 8. ?????????????????????????
• 9. ?????????????
• 10. ??????????????????

• ?????????????
• (Performing Assets)
• ???????????????????
• (Non-performing Assets)

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Credit Risk Standardised Approach (SA)
???????????????????????????????????
?????????????????????
???????????? Foreign currency rating ??? SP
BBB ??? Local currency
rating ??? SP A
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Credit Risk Standardised Approach (SA)
???????????????????????????????????
?????????????????????
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Credit Risk Standardised Approach (SA)
????? Rating Grade Long term assessment
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Credit Risk Standardised Approach (SA)
????? Rating Grade Long term assessment
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Credit Risk Standardised Approach (SA)
?????????????????? ?????????????????????????????
??????????? 75
?????????????????????

• 1. Orientation criterion
• ????????????????? ????? ?????????? ????
  ??????????????
• 2. Product criterion
• ??????????????? (Revolving credit)
• ?????????????? (Line of credit)
• ?????????????
• ????????????????
• ?????????/?????????? ????????? ??????????????

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Credit Risk Standardised Approach (SA)
?????????????????? ?????????????????????????????
??????????? 75
?????????????????????

• 3. Granularity criterion
• ????????????????????????????????????????????????
  
• ????????????????????????????????????????????????
  ????????????????????????? lt 0.2?????????????????
  ??????????????????????????????????????????????????
  ????
• 4. Low value of individual exposure
• ????????????????????????????????????????????????
  ????????????????????????? lt 50 ???????

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Credit Risk Standardised Approach (SA)
????????????????? ???????????????????????????
??????????????????? ??????? ??????????????????????
??????? ????? ?????????? ??????
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Credit Risk Standardised Approach (SA)
???????????????????????
??????????????
?????????????
?????????????????????
- Specific Provision
- Credit Risk Mitigation
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Credit Risk Mitigation CRM
????????????????????????????? (Credit Risk
Mitigation) ??????????????????????????????????????
3 ????
CRM
Collateral
On-balance sheet netting
Guarantee and Credit derivatives
????????????????????
????????????????????
?????????????????????????????????
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??????????????????????? Collateral
Collateral
Simple Approach
Comprehensive Approach
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?????? Collateral

• ?????? ????????????? ???? ??????????????????????.?
  ????????, Credit linked notes ?????????
  ??.????????? ?????????????????????????
• ?????
• ?????????????????????????????? rating grade
  ??????
• ?????????????????? External Rating ???
• ?????????? ??.
• ????????????????????????????????????????????
• ??????????????????
• ?????????????????? ???.?????
  
• ????????? ????????????????????????????????? main
  index
• ??????????????????????????????????????????????????
  ?????????? ??? ?????????????????????

??????? Comprehensive Approach

• ?????????????????????????? Simple Approach

???????????? Rating grade
??????.?????

• ????????? ?????? ???????????????????????????
  main index ???????????????????????????????????????
  ?????

• ????????????????????????????? ??????
  ??????????????????????

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??????????????????????? Collateral
???? Comprehensive Approach
??????????????????? ????????????????????
???????????????? ????????????????????

• ???????????????????????
• (?????????????? haircut ????)

• ??????? ???????????????????
• ??????????????????????????

• RW ????????????????????
• ????????

• RW 0

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Comprehensive Approach ??????????? Haircut
??? Haircut
???. ????? (Standard Supervisory Haircuts)
??. ???????? (Own Estimates for Haircuts)
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Comprehensive Approach ??? Haircut ???????????
???.

• ??????????????????????????????????????????????
  ?????????? ???????????????????????????????????????
  ???????? ??????????????
• ???????????????????????????????????(remargining)
  ??????
• ???????????????????????????? 10 ????????

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Credit Risk Mitigation CRM
CRM
Collateral
On-balance sheet netting
Guarantee and Credit derivatives
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??????????????????????????????????? ??? Credit
deviratives
Guarantee and Credit derivatives

• ??????????????????????????????? Credit
  derivatives
• ?????? ????????????????????????????????
  ????????????????
• ???????? ??????????? ??. ??? ??.
  ??????????????????????????????????
• ??????????????????????????????????????? A-
  ?????? ?????????
• ????????? ?????????????????????????????????????
  ???????????????
• ????????????

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??????????????????????? Credit derivatives
Credit Default Swap
Loan A
Swap premium
Protection Buyer
Protection Seller
Contingent payment (if credit event occurs)
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Credit Risk Mitigation CRM
??????????????????????????????????? Standardised
Approach
???????????????????????????????????
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Market Risk
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?????????????????????????? Market Risk
Market Risk Price risk Reserve risk
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????????????????????????????????????????????

• ???????? ?????????????? ???. ???
• ???.???. (21) ?.2738/2546 (??? ???? Basel II)
• ??????????????????????????????

????? ???????????? Risk-Based Supervision
?????????????????????????????????????????????????
??????????? ??.????? ?????????
48
?????????????????????????????

• ????????????????????????? 8 ????????????
• ?????????????????????????????????????????
• ???????????????????????????????????????????????
• ?????????????????????????????????????????????
• ?????????????????????????????????????????
• ??????????????????????????????????????????
• ???????????????????????????????????????????
• ??????????????????????????????????????
• ???????????????????????????????????????

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?????????????????????????????
????????????????????
??????????????????? (Banking Book)
???????????????? (Trading Book)
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?????????????????????????????

• ???????????????? (Trading Book)
• ?????????????????????????????????????????????????
  ????????????
• ??????????????
• ???????????
• ???????????????????????????????????????
• ??????????????????????????????????????????
• (arbitrage)

• ?????????????????????????????????????????????????
  (Threshold) ??????? 3,000 ???????

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?????????????????????????????

• ??????????????????????????????????
• ??????????????????????????? (Interest Rate Risk)
• ??????????????????????????? (Equity Price Risk)
• ????????????????????????????? (Foreign Exchange
  Rate Risk)
• ???????????????????????????????? (Commodity
  Price Risk)

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?????????????????????????????
Market Risk
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?????????????????????????????????
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??????????????????????????????
?????????????????? ?????????????????? SR
????????? 2.00
????? ???????????? Risk-Based Supervision
?????????????????????????????????????????????????
??????????? ??.????? ?????????
55
??????????????????????????????????
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????????????????????????????????. Specific Risk
??????? ???. 2546
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????????????????????????????????. Specific Risk
??????? ???. ???? Basel II 2548
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????????????????????????????????. General Market
Risk (Maturity Method)
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????????????????????????????????. General Market
Risk (Maturity Method)
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????????????????????????????? GMR
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Question Answer