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Supervisory framework for measuring and controlling large exposures 测量和控制大额风险暴露监管框架 A. Rationale and objectives of a large exposures framework 1. One of the key lessons from the financial crisis was that banks did not always consistently measure, aggregate and control exposures to single counterparties or to groups of connected counterparties across their books and operations. Throughout history there have been instances of banks failing due to concentrated exposures to individual counterparties (eg Johnson Matthey Bankers in the United Kingdom in 1984, the Korean banking crisis in the late 1990s). Large exposures regulation has been developed as a tool for limiting the maximum loss a bank could face in the event of a sudden counterparty failure to a level that does not endanger the bank’s solvency. 1.金融危机的一个重要教训是，银行并不总是一致地计量、汇总和控制对单个交易对手或有关联的一组交易对手方银行账簿和交易账簿的风险暴露。历史就有一些银行因为风险暴露集中于个别交易对手而倒闭（比如1984年英国的Johnson Matthey银行，20世纪90年代末的韩国银行业危机）。大额风险暴露监管已经发展为一种工具，可以用来限制银行在交易对手突然破产时可能面临的最大损失，确保这一水平不会危及银行的清偿能力。
2. The need for banks to measure and limit the size of large exposures in relation to their capital has long been recognised by the Basel Committee on Banking Supervision (the Committee). In particular, in 1991, the Committee reviewed supervisory practices and issued supervisory guidance on large exposures. In a similar vein, the Core Principles for Effective Banking Supervision (Core Principle 19) require that local laws and bank regulations set prudent limits on large exposures to a single borrower or a closely related group of borrowers. But neither the 1991 guidance nor the Core Principles set out how banks should measure and aggregate their exposures to a single counterparty, nor do they explain which factors should be taken into account when considering whether separate legal entities form a group of connected counterparties. This has resulted in a considerable variation of practice across the globe. A stocktake of Committee member countries’ regulations of large exposures showed considerable homogeneity in general (consistent with Core Principle 19) but revealed material differences in important aspects such as: scope of application; the value of large exposure limits; the definition of capital on which limits were based; methods for calculating exposure values; treatment of credit risk mitigation techniques; and whether certain types of exposures were subject to more lenient treatments. 2.长期以来，巴塞尔银行监管委员会（以下简称委员会）已经认识到，银行需要计量和限制需要消耗资本的大额风险暴露的规模。特别是在1991年，委员会审查了监管实践，并发布了关于大额风险暴露的监管指导。与此类似，有效银行监管的核心原则（核心原则19）要求地方法律和银行监管规定应当对单一借款人或与之密切关联的借款人的大额风险暴露设定审慎的限制。但是，无论是1991年的监管指导还是核心原则19，都没有说明银行应该如何计量和汇总它们对单一交易对手的风险暴露，也没有解释在考虑独立的法律实体是否构成一组相互关联的交易对手时，应该考虑哪些因素。这导致了全球不同地区的实践差异很大。总体上，委员会成员国对大额风险暴露的监管规定均具有相当的同质性（与核心原则19相一致），但也在一些重要方面存在实质性差异，如：规定的应用范围；大额风险暴露的上限；用以计算风险暴露上限的资本之定义；计算风险暴露的方法；信用风险缓释条款；以及某些特定类型的风险暴露能否获得更宽松的处理。
3. A large exposures framework complements the Committee’s risk-based capital standard because the latter is not designed specifically to protect banks from large losses resulting from the sudden default of a single counterparty. In particular, the minimum capital requirements (Pillar 1) of the Basel risk-based capital framework implicitly assume that a bank holds infinitely granular portfolios, ie no form of concentration risk is considered in calculating capital requirements. Contrary to this assumption, idiosyncratic risk due to large exposures to individual counterparties may be present in banks’ portfolios. Although a supervisory review process (Pillar 2) concentration risk adjustment could be made to mitigate this risk, these adjustments are neither harmonised across jurisdictions, nor designed to protect a bank against very large losses from a single counterparty default. For this reason, the Committee has concluded that the existing risk-based capital framework is not sufficient to fully mitigate the microprudential risk from exposures that are large compared to a bank’s capital resources. That framework needs to be supplemented with a simple large exposures framework that protects banks from traumatic losses caused by the sudden default of an individual counterparty or group of connected counterparties. To serve as a backstop to risk-based capital requirements, the large exposures framework should be designed so that the maximum possible loss a bank could incur if a single counterparty or group of connected counterparties were to suddenly fail would not endanger the bank’s survival as a going concern. 3.基于风险的资本标准并没有在保护银行免受单一对手突然违约所造成的巨额损失方面的特别设计，而大额风险暴露框架则对此进行了补充。巴塞尔风险资本框架的最低资本要求（第一支柱）的隐含假设之一就是银行持的投资组合是极度分散的，即在计算资本金要求时不考虑任何形式的集中度风险。与这种假设相反，由于存在对单个交易对手的大额风险暴露，银行实际的投资组合中往往潜藏着非系统性风险。尽管可以通过监督审查程序（第二支柱）集中度风险调整来降低这种风险，但这些调整在不同的监管辖区并不统一，也无法保护一家银行免受单一对手违约的巨大损失。基于上述原因，委员会得出结论认为，消耗银行资本比例较大的风险暴露所带来的宏观审慎风险，是现有的基于风险的资本框架不足以完全缓释的。该框架需要通过一个独立的大额风险暴露框架进行补充，以保护银行免受单一交易对手或关联交易对手方突然违约所造成的重大损失。为使现有基于风险的资本框架更完善，应当设计一个大额风险暴露框架：在这个框架下，如果一个单一交易对手或一组关联交易对手突然倒闭，银行可能蒙受的最大损失不会危及该行的持续经营。
4. The treatment of large exposures could also contribute to the stability of the financial system in a number of other ways, a consideration that the Committee believes should be reflected in the design of the large exposures framework. 4. 委员会认为，对大额风险暴露的处理也可能在许多其他方面促进金融系统的稳定，这应反映在大额风险暴露框架的设计中。
5. A separate key lesson from the crisis is that material losses in one systemically important financial institution (SIFI) can trigger concerns about the solvency of other SIFIs, with potentially catastrophic consequences for global financial stability. There are at least two important channels for this contagion. First, investors may be concerned that other SIFIs might have exposures similar to those of the failing institution. For example, in 2008, in response to the announcement of material losses on exposures to some asset-backed securities (ABS) and collateralised debt obligations (CDOs) incurred by a number of large banks, investors withdrew funds from other banks believed to have similar exposures, threatening their liquidity and solvency. Second, and more directly, investors may be concerned that other SIFIs have direct large exposures to the failing SIFI, in the form of either loans or credit guarantees. For example, one of the key concerns regarding AIG in September 2008 was that a number of SIFIs were believed to have bought large amounts of credit protection from AIG. The Committee is of the view that the large exposures framework is a useful tool to mitigate the risk of contagion between global systemically important banks, thus supporting global financial stability. Consequently, a relatively tighter limit on exposures between G-SIBs is included in the framework. 5.从此次危机中得到的另一个重要教训是，一个具有系统重要性的金融机构（SIFI）的重大损失，可能引发人们对其它金融机构清偿能力的担忧，并可能对全球金融稳定造成灾难性后果。这种传染至少有两个重要的渠道。首先，投资者可能担心其他SIFI可能会有类似于破产机构的风险暴露。例如，在2008年，由于一些大型银行宣称其重大损失是源于持有的部分资产支持证券（ABS）和债务抵押债券（CDOs）的风险暴露，投资者们就纷纷从他们认为可能有类似风险暴露的银行撤出资金，从而威胁到后者的流动性和清偿能力。其次，更直接的是，投资者可能会担心其他的SIFI会拥有对倒闭SIFI的大额风险暴露，如贷款或信用担保。例如在2008年9月市场对AIG主要担忧之一，就是据称许多SIFI从AIG那里购买了大量的信用保护。委员会认为，大额风险暴露框架是一种有用的工具，可以缓释全球系统重要性银行之间的传染风险，从而加强全球金融稳定。因此，框架中针对G-SIBs间的风险暴露设置了相对更严格的限制。
6. This framework is also seen as a useful tool to contribute to strengthening the oversight and regulation of the shadow banking system in relation to large exposures.4 In particular, this is the case for the proposals for the treatment of exposures to funds, securitisation structures and collective investment undertakings (CIU). The framework thus includes a requirement for banks to apply a look-through approach (LTA) when appropriate, and to assess possible additional risks that do not relate to the structure’s underlying assets, but rather to the structure’s specific features and to any third parties linked to the structure. Once these risks are identified, a new exposure must be recognised, where appropriate, which is subject to the large exposure limit. 6.这一框架也被认为可以加强对（与大额风险暴露相关的）影子银行系统的监督与管理。特别是对于基金、证券化结构产品和集合投资项目（CIU）的风险暴露的处理建议。因此，该框架加入了银行应视情况采用穿透方法（LTA）的要求，并应当评估可能的附加风险：该附加风险并非与基础资产直接相关，而应与产品的具体特征及关联的第三方相关。一旦识别了这些风险，就根据情况确认新的风险暴露，并应当符合大额风险暴露的限制要求。
7. As part of the Committee’s broader efforts to avoid adding unnecessary complexity in the Basel standards, the framework follows, where practicable, existing standards in the Basel framework and departs from them only if this is necessary for the purpose of achieving the objectives of the large exposures framework. Accordingly, this document includes a number of references to the Basel riskbased capital framework. 7.为了避免给巴塞尔标准增加不必要的复杂性，该框架在可行的范畴内会尽量遵循巴塞尔框架中现有的标准，而只有在达成大额风险暴露框架目的必须的前提下，才会选择偏离现有标准。因此，本文件会包含一些对巴塞尔风险资本框架的参考。
B. Other types of concentration risk 8. The Committee recognises that the risk from large exposures to single counterparties or groups of connected counterparties is not the only type of concentration risk that could undermine a bank’s resilience. Other types include both sectoral and geographical concentrations of asset exposures; reliance on concentrated funding sources; and also a significant net short position in securities, because the bank may incur severe losses if the price of these securities increases. The Committee has decided to focus this framework on losses incurred due to default of a single counterparty or a group of connected counterparties and not to take into account any other type of concentration risk. 8.委员会也认识到了，对单一交易对手或一组关联交易对手的大额风险暴露，并不是唯一可能破坏银行稳健性的集中度风险。其他还包括资产风险暴露的行业和地域集中度过高；对高集中度资金来源的依赖；以及持有较高净空头头寸的证券，因为如果这些证券价格上涨，银行可能会遭受严重损失。委员会已经决定将这一框架的重点放在因一个单一交易对手或一组关联交易对手违约而可能引起的损失上，而并不考虑其他类型的集中度风险。
9. Similarly, intragroup exposures have not been included in the scope of this framework, although they could be considered as another source of concentration risk that might potentially endanger banks’ survival. 9.同样，在该框架的范围内，也没有将内部风险暴露纳入其中，尽管它们可能被视为可能危及银行生存的集中度风险的另一个来源。
II. Overall design of a prudential framework for large exposures II.大额风险暴露审慎监管框架的整体设计 A. Scope and level of application 10. The large exposures framework is constructed to serve as a backstop and complement to the risk-based capital standards. As a consequence, it must apply at the same level as the risk-based capital requirements are required to be applied following paragraphs 21 and 22 of the Basel II text, ie at every tier within a banking group. 10.大额风险暴露框架是对基于风险的资本标准的支持和补充。因此，它应当在与基于风险的资本要求相同的水平上应用，按照巴塞尔协议II的第21和第22段，即在银行集团内的每一层级都必须使用。
11. The large exposures framework is applicable to all internationally active banks. As with all other standards issued by the Committee, member jurisdictions have the option to set more stringent standards. They also have the option to extend the application to a wider range of banks, with the possibility – if they deem it necessary – to develop a different approach for banks that usually fall outside the scope of the Basel framework. 11.大额风险暴露框架适用于所有国际活跃银行。与委员会发布的所有其他标准一样，各成员辖区有权制定更严格的标准。他们还可以选择将适用范围扩展到更多银行，如果他们认为有必要的话，可以为巴塞尔协议框架范围之外的银行开发一种不同的方法。
12. The application of the large exposures framework at the consolidated level implies that a bank must consider all exposures to third parties across the relevant regulatory consolidation group and compare the aggregate of those exposures with the group’s eligible capital base. 12．大额风险暴露框架在并表层面的应用意味着，一家银行应当考虑对相关监管规定的并表集团下第三方的所有风险暴露，并将这些风险暴露与该集团的合格资本进行比较。
B. Scope of counterparties and exemptions 13. A bank must consider exposures to any counterparty. The only counterparties that are exempted from the framework are sovereigns as defined in paragraph 61. Section IV sets out the types of counterparties that are exempted from the large exposure limit or for which another specific treatment is necessary. 13.银行应当考虑对任何交易对手的风险暴露。唯一被豁免的交易对手是第61段中定义的主权国家。第四节规定了被豁免大额风险暴露限制或适用其他特殊处理的交易对手类型。
C. Definition of a large exposure and regulatory reporting 14. The sum of all exposure values of a bank to a counterparty or to a group of connected counterparties, as defined in Section II part E below, must be defined as a large exposure if it is equal to or above 10% of the bank’s eligible capital base. The exposure values must be measured as specified in Sections III and IV. 14.如下面第二部分所定义的，如果银行对单一交易对手或一组关联交易对手的所有风险暴露之和等于或高于该银行合格资本的10%，就应被定义为大额风险暴露。风险暴露应按照第三节和第四节的规定来计量。
15. Banks must report to the supervisor the exposure values before and after application of the credit risk mitigation techniques. Banks must report to the supervisor: all exposures with values measured as specified in Sections III and IV equal to or above 10% of the bank’s eligible capital (ie meeting the definition of a large exposure); all other exposures with values measured as specified in Sections III and IV without the effect of credit risk mitigation being taken into account equal to or above 10% of the bank’s eligible capital; all the exempted exposures with values equal to or above 10% of the bank’s eligible capital; their largest 20 exposures to counterparties measured as specified in Sections III and IV and included in the scope of application, irrespective of the values of these exposures relative to the bank’s eligible capital base.
15.银行应当向监管报告信用风险缓解前及缓释后的风险暴露。银行应当向监管报告： 按照第三节和第四节的规定计算后，等于或超过该银行合格资本的10%（即满足大额风险暴露定义）的所有风险暴露； 按照第三节和第四节的规定计算，不考虑风险缓释作用时等于或超过该银行合格资本的10%的所有风险暴露； 所有等于或超过该银行合格资本的10%的被豁免之风险暴露； 根据第三节和第四节的规定，在适用范围内前20大交易对手风险暴露，无论这些风险暴露占银行的合格资本多大比例。
D. Minimum requirement – the large exposure limit 16. The sum of all the exposure values of a bank to a single counterparty or to a group of connected counterparties must not be higher than 25% of the bank’s available eligible capital base at all times. However, as explained in Section V, this figure is set at 15% for a G-SIB’s exposures to another G-SIB. 16.银行对单一交易对手或一组关联交易对手的所有暴露价值的总和，不得高于该银行所有可用的合格资本的25%。然而，正如第五节所解释的，在限制 G-SIB对另一个G-SIB的风险暴露时，该限值被设定为15%。
17. The exposures must be measured as specified in Sections III and IV. The eligible capital base is the effective amount of Tier 1 capital fulfilling the criteria defined in Part 1 of the Basel III framework. 17.这些风险暴露应当按照第三节和第四节的规定来计量，合格资本是指满足巴塞尔协议III框架第1部分中定义的合格一级资本的有效金额。
18. Breaches of the limit, which must remain the exception, must be communicated immediately to the supervisor and must be rapidly rectified. 18.应当立即向监管通报违反限额的行为，并应当迅速予以纠正。
E. Definition of connected counterparties 19. In some cases, a bank may have exposures to a group of counterparties with specific relationships or dependencies such that, were one of the counterparties to fail, all of the counterparties would very likely fail. A group of this sort, referred to in this framework as a group of connected counterparties, must be treated as a single counterparty. In this case, the sum of the bank’s exposures to all the individual entities included within a group of connected counterparties is subject to the large exposure limit and to the regulatory reporting requirements as specified above. 19.在某些情况下，银行可能会对一组具有特定关系或依赖关系的交易对手有风险暴露，即如果其中一个交易对手违约，所有的交易对手都很可能会违约。在本框架下，这种类型的集团作为一组关联交易对手，应当被视为一个单一的交易对手。在这种情况下，银行对这个集团中所有单个实体的风险暴露的总和，必须符合大额风险暴露限制和前述的监管报告要求。
20. Two or more natural or legal persons shall be deemed a group of connected counterparties if at least one of the following criteria is satisfied. (a) Control relationship: one of the counterparties, directly or indirectly, has control over the other(s). (b) Economic interdependence: if one of the counterparties were to experience financial problems, in particular funding or repayment difficulties, the other(s), as a result, would also be likely to encounter funding or repayment difficulties. 20.两个及以上的自然人或法人，且符合下列条件之一的，将被视为一组关联交易对手。 （a）控制关系：一方直接或间接地控制另一方（另几方）。
（b）经济上的相互依赖：如果其中一方遇到财务问题，特别是融资或还款困难，另一方（另几方）也可能会发生融资或还款困难。
21. Banks must assess the relationship amongst counterparties with reference to (a) and (b) above in order to establish the existence of a group of connected counterparties. 21.银行应当按照上述（a）和（b）的标准来确定的交易对手之间的关系，以确定一组关联交易对手的存在。
22. In assessing whether there is a control relationship between counterparties, banks must automatically consider that criterion (a) is satisfied if one entity owns more than 50% of the voting rights of the other entity. 22.在判断交易对手之间是否存在控制关系时，银行理当认为，如果一个实体拥有另一个实体超过一半的投票权，那么该标准（a）就会得到满足。
23. In addition, banks must assess connectedness between counterparties based on control using the following criteria: Voting agreements (eg control of a majority of voting rights pursuant to an agreement with other shareholders); Significant influence on the appointment or dismissal of an entity’s administrative, management or supervisory body, such as the right to appoint or remove a majority of members in those bodies, or the fact that a majority of members have been appointed solely as a result of the exercise of an individual entity’s voting rights; Significant influence on senior management, eg an entity has the power, pursuant to a contract or otherwise, to exercise a controlling influence over the management or policies of another entity (eg through consent rights over key decisions).
23.此外，银行应当根据以下标准评估交易对手方之间的联系： 投票协议（如根据与其他股东达成的协议而产生的对多数表决权的控制）； 对一个实体的行政、管理或监督机构的任免权产生的重大影响，如有权任命或免职相关机构中的主要成员，或仅仅单个实体的表决权的行使就可以确定其中主要成员的任命； 对高级管理层的重大影响，例如，依据合同或其他方式，一个实体有权对另一个实体的管理或政策施加控制影响（例如，通过对关键决策的同意权）。
24. Banks are also expected to refer to criteria specified in appropriate internationally recognised accounting standards for further qualitative guidance when determining control. 24. 在确定是否存在控制时，银行还将可以参考国际公认会计准则中的标准作为进一步定性的指导。
25. Where control has been established based on any of these criteria, a bank may still demonstrate to its supervisor in exceptional cases, eg due to the existence of specific circumstances and corporate governance safeguards, that such control does not necessarily result in the entities concerned constituting a group of connected counterparties. 25.如果控制是基于前述这些标准确定的，银行仍可以向监管证明在特殊情况下（如由于特殊环境和公司治理保障的存在），这样的控制并不一定会导致有关实体构成一组关联交易对手。
26. In establishing connectedness based on economic interdependence, banks must consider, at a minimum, the following qualitative criteria: Where 50% or more of one counterparty's gross receipts or gross expenditures (on an annual basis) is derived from transactions with the other counterparty (eg the owner of a residential/commercial property and the tenant who pays a significant part of the rent); Where one counterparty has fully or partly guaranteed the exposure of the other counterparty, or is liable by other means, and the exposure is so significant that the guarantor is likely to default if a claim occurs; Where a significant part of one counterparty’s production/output is sold to another counterparty, which cannot easily be replaced by other customers; When the expected source of funds to repay each loan one counterparty makes to another is the same and the counterparty does not have another source of income from which the loan may be fully repaid; Where it is likely that the financial problems of one counterparty would cause difficulties for the other counterparties in terms of full and timely repayment of liabilities; Where the insolvency or default of one counterparty is likely to be associated with the insolvency or default of the other(s); When two or more counterparties rely on the same source for the majority of their funding and, in the event of the common provider’s default, an alternative provider cannot be found -in this case, the funding problems of one counterparty are likely to spread to another due to a oneway or two-way dependence on the same main funding source.
在确定存在经济依存关系时，银行至少应当考虑以下定性标准： 一个交易对手的总收入或总开支（按年计算）的50%或以上源于与另一交易对手的交易（如：拥有住宅/商业地产的所有者，和支付相当一部分租金的租户）； 一个交易对手对另一方的风险暴露进行完全或部分担保，或以其他方式承担该责任时，并且风险暴露的规模达到可能导致保证人履行担保义务时，自身发生违约； 一个交易对手大部分的制造/产出是销售给另一个对手方，且难以找到替代的购买方； 一个交易对手与另一个交易对手偿还贷款的主要来源相同，且双方均没有其他收入来源可以足额归还贷款； 一个交易对手的财务问题可能会使其他交易对手的足额和及时偿还债务发生困难； 一个交易对手的破产或违约可能会导致与另一（多）个交易对手的破产或违约； 两个或两个以上的交易对手主要依赖共同的、难以替代的融资来源获得大部分资金，当共同的资金提供方违约时，无法找到替代的资金提供方——在这种情况下，一个交易对手的融资问题很可能扩展到另一个交易对手，因为他们都对同一融资来源存在单向或双向的依赖。
27. There may, however, be circumstances where some of these criteria do not automatically imply an economic dependence that results in two or more counterparties being connected. Provided that the bank can demonstrate to its supervisor that a counterparty which is economically closely related to another counterparty may overcome financial difficulties, or even the second counterparty’s default, by finding alternative business partners or funding sources within an appropriate time period, the bank does not need to combine these counterparties to form a group of connected counterparties. 27.然而，一些标准并非当然可以推得两个或更多的交易对手间经济的相互依赖。如果银行可以向监管证明一个交易对手虽然与另一交易对手经济上高度相关，但由于可以找到替代的业务合作伙伴或在适当时间内可以找到资金来源，因而可能可以克服财务困难，甚至无惧后者的违约，银行就不需要把这些交易对手视为一组关联交易对手。
28. There are cases where a thorough investigation of economic interdependencies will not be proportionate to the size of the exposures. Therefore, banks are expected to identify possible connected counterparties on the basis of economic interdependence in all cases where the sum of all exposures to one individual counterparty exceeds 5% of the eligible capital base. 28.有时，所涉风险暴露的规模可能不值得银行去针对其经济依存关系进行彻底调查。因此，只有在单个交易对手的风险暴露总和超过合格资本的5%的情况下，银行才需要确认其是否与其他交易对手存在经济依存关系。
一、信用风险的识别 （一）信用风险的概念 （二）资产五级分类 （三）贷款五级分类的监测 （四）不良贷款清收处置
二、大额风险暴露
（一）统一授信 （二）农金12号文
（三）大额风险暴露
三、信用风险的计量
（一）表内信用风险加权资产计量 （二）表外信用风险加权资产计量
（三）交易对手信用风险暴露计量
（四）资产证券化信用风险暴露
四、合格资本及其构成
（一）三类资本概述 （二）合格资本工具
（三）动态拨备理论及对资本的影响
一、风险及全面风险管理概论 （一）风险的定义——一般定义及定量定义 （二）全面风险管理架构——COSO ERM架构、BASEL架构、DXW全面风险管理架构
二、信用/信贷风险内部评级体系建设的意义 （一）监管要求 （二）同业实践 （三）自身需求
三、信用/信贷风险内部评级体系建设的挑战 （一）风险治理与政策挑战 （二）风险理念与文化挑战 （三）风险评估与计量挑战 （四）风险数据与IT挑战 （五）应对挑战之策
四、信用/信贷风险内部评级在前、中、后台的创新性全面应用 （一）现代银行运营模式的量化模型 （二）内部评级在客户选择、准入等方面的应用 （三）内部评级在授信在限额管理、审批、授权、授信等方面的应用 （四）内部评级在贷后管理、风险预警、风险偏好等方面的应用 （五）内部评级在新会计准则、经济资本管理、组合管理、绩效考核等方面的应用 （六）内部评级为基础的现代移动快贷技术
五、信用/信贷风险内部评级体系建设的一般路径 （一）同业实施实践的一般路径和示例 （二）中小银行实施路径建议和示例
六、信用/信贷风险内部评级体系建设之数据基础建设 （一）数据治理建设 （二）数据集市建设 （三）数据标准数据质量确保机制建设
七、信用/信贷风险内部评级体系建设之风险量化模型—非零售敞口 （一）非零售数据采集及清洗 （二）非零售模型开发技术 （三）非零售定量模型开发及示例 （四）非零售专家判断模型开发及示例 （五）非零售模型的验证
八、信用/信贷风险内部评级体系建设之风险量化模型—零售敞口 （一）零售数据采集及清洗 （二）零售模型开发技术 （三）零售定量模型开发及示例 （四）零售专家判断模型开发及示例 （五）零售模型的验证
九、信用/信贷风险内部评级体系的治理结构 （一）内部评级体系治理机构框架 （二）内部评级体系治理机构示例
一、中小银行资本监管与管理的关键问题 （一）我国资本监管的发展道路和特点 （二）我国商业银行实施资本管理办法的现状及存在问题 （三）明确合理安排三大风险之间的资本分配 （四）准备金制度和资本监管制度之间协调 （五）运用好帐面资本、监管资本和经济资本这三类口径的资本 （六）使用RAROC来配置信用风险的资本的重要作用 （七）尝试使用RAROC配置信用风险的资本 （八）建立风险偏好的基本要求
二、《巴塞尔Ⅲ：后危机改革的最终方案》背景、内容和实践 （一）2017年《最终方案》出台的大背景 （二）《最终方案》主要内容 （三）实施巴塞尔III的比配性原则与实践 （四）我国银行实施差异性资本监管的考虑
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