加拿大代写:信贷分配

07 12月 加拿大代写:信贷分配

加拿大代写:信贷分配

通过使用风险的定量模型来确定信贷分配,对银行机构有若干业务影响。有关市场风险的监管问题尤其存在于需要通过MRA解决这些问题的方式方面。这里的关键问题在于洞察与信贷相关的监管问题和银行中的其他风险(Crouhy et al, 2000)。MRA设计和实现中的一个重要元素是定性和定量标准的开发。这些标准需要令人满意,以便考虑将银行模型用于资本的监管目的。这些银行风险管理质量标准包括独立的风险控制单元,包括外部审计模式和内部审计模式。

加拿大代写:信贷分配
这些标准还负责通过压力测试和反向测试,将定量性质的模型集成和方法纳入管理过程,并审查模型。基于MRA的银行还包括定量规范,如依赖于VaR估计的资本需求,以及通过反向测试方法与性能建模的显式关系(Crouhy et al., 2000)。对于与资本需求的总体原理相关的内部模型方法,要求是根据特定机构面临的实际风险调整所需的资本。通过将监管与基于风险的银行具体措施相结合的资本需求,要求具有创造与实际风险暴露更接近的资本需求的能力。

加拿大代写:信贷分配

There are several operational implications with regard to a banking institute through use of quantitative models of risk for determining the credit allocation. Regulatory issues on risk of market exist especially with regard to the way in which they need being addressed through the MRA. The key issue here lies in having an insight into the credit related regulatory concerns and other risks in the bank (Crouhy et al, 2000). An essential element in the MRA design and implementation was the qualitative and quantitative standards development. These standard need to have satisfaction so as to consider banking models to be utilized for regulatory purposes of capital. These bank risk management qualitative standards are inclusive of independent units of risk control inclusive of external as well as internal auditing modes.

加拿大代写:信贷分配
Such standards are also responsible for covering the models integration and methods of quantitative nature into the process of management along with reviews of model by exercising either stress testing and back-testing. The bank based MRA also included quantitative specification such as capital needs depending upon estimates of VaR and explicit relationships to performance modelling through the method of back testing (Crouhy et al., 2000). For an internal models approach related with overarching rationale to capital needs, the requirement lies in tailoring the needed capital to the real risks faced through particular institutes. Through capital needs connecting regulation with risk based bank specific measures, it is required to have the ability of creating capital needs conforming in a closer manner to the actual exposures of risk.