FRTB - Fundamental Review of Trading Book - Overview - Simplified Chinese version

交易账户根本审查
Fundamental Review of Trading Book (FRTB)

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内容
 FRTB监管概观
 监管背景
 交易帐簿与银行帐簿的分界
 修订后的监管计量
 FRTB监管计量架构
 内部模型法(IMA–Internal Model Approach)
 标准法(SA–Standardized Approach)
 最新监管概况
 附录
穆迪分析|交易账户根本审查（FRTB）启动会

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监管背景
在经历过2007-2008年金融危机后，暴露了对于交易业务资本架构的严重缺失，因此监管机构针
对先前巴塞尔资本协定中对于交易帐户的风险暴露及相关的资本计提进行了全面的审查。
于2012年开始，先后提出多次（D219、D265、D305、D325）征求意见稿，并于2016年1月制定了
最低市场风险资本的标准（D352：Minimum capital requirements for market risk）。
以下为目前交易业务资本架构的主要缺失以及于审查后提出的改善方案：
目前交易业务资本架构的主要缺失
定性 1）交易帐户与银行帐户的分界较为模糊。
定量
2）标准法缺乏实际市场风险的敏感度。
3）市场风险RWA计量方法的透明度及比较基础。
4）VaR风险值计量的缺失：
.缺乏一致性风险测度（Coherent Risk Measure
）中次可加性(subadditivity)的特性。
.缺乏对于尾部风险（Tail Risk）的计量。
5）未考虑交易账户内各资产的市场流通性风险。
监管审查后制定的改善方案
定性
1）对于交易帐户与银行帐户分界的要求更为客
观及严谨。
定量
2）重新制定标准法的计量，增加避险头寸计量
的复杂度，也将市场风险因子纳入标准法中。
3）对于内模法的合规要求更高，合规时也需以
desk-level进行审核；更新后的标准法对于复杂
产品的交易更具透明及比较的基础。
4）以Expected Shortfall (ES)取代了VaR的计
量：
.弥补VaR对于次可加性的缺失。
.强调尾部风险发生时预期损失的计量。
5）依据各资产在市场上的流通性，制定了
Liquidity Horizon，并加入于ES的计量中。
注解 –
1）次可加性公理意味着，用一致性风险测度度量出来的所有被监管对象的总体风险A，不能比各单个被监管对象的风险之和B大，
即
2）BIS对于交易帐户的信用风险CVA的审查及合规的框架仍然进行中。

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交易帐簿与银行帐簿的分界
目前的监管架构容易产生资本套利，因此新的监管要求将会以更严格的条件限制利用交易帐
簿与银行帐簿间的内部交易进行套利的活动；其中包含：
1) 以交易动机明确交易帐簿及银行帐簿的分界，并且订定交易及银行帐簿的合格性资产。
 交易帐簿：短线交易／套利交易／投机交易／上述三种交易活动的避险交易，其中包
含：
 上市股票的头寸
 做市
 承销
 银行帐簿中证券资产底层嵌入的金融衍生以产品
 银行帐簿：缺乏每日市场交易流通性的资产，其中包含：
 未上市股票的头寸
 基金投资；仅指无法作底层穿透及缺乏每日市场交易流通性的基金（例如：ETF）
 房地产
 零售及小微企业信用贷款
2) 如果帐簿间内部交易后，监管资本会减少，新的监管要求不允许进行一次性资本节约的
认列，必须分期进行资本节约的认列。

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修订后的监管计量
1) 重新制定标准法，将市场风险因子纳入计量标准中，增加计量的复杂度，使得标准法与
内模法的监管基础更为一致。
2) 对于内模法的合规要求更高，合规时也需以desk-level进行审核，资产证券化产品则限
制仅能采取标准法计量。
3) 相较于内模法，更新后的标准法对于复杂产品的交易更具监管透明及同业比较的基础。
因此新的监管要求在内模法监管审查达标前，将以标准法作为计量基础。
4) 内模法的计量要求改以97.5%置信区间的Expected Shortfall取代了99%置信区间的VaR计
量，以弥补VaR对于次可加性（Subadditivity）的缺失以及计量尾部风险(Tail Risk)发
生时的预期损失。
5) 依据各资产市场上的流通性，制定了Liquidity Horizon，并加入于ES的计量中。不仅单
以10天的作为全数计量的单位，依据不同的资产类别及其市场的流动性，订定10天、20
天、40天、 60天、120天的流通性期间（liquidity Horizon）。

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FRTB监管计量架构

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内模法计量架构

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FRTB监管计量架构

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标准法的计量架构

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风险敏感性的资本计提

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计量参数的定义
风险分类
Risk Class
包含七大风险分类：
一般利
率风险
(GIRR)
股权风
险
(Equit
y)
信用利差风险
– 非资产证券
头寸(CSR –
non-sec)
信用利差风险
–相关性交易
的资产证券头
寸 (CSR –
sec/CTP)
信用利差风险 –
非相关性交易的
资产证券头寸
(CSR –
sec/nCTP)
商品风险
(Commo
dity)
外汇
风险
(FX)
风险因子
Risk Factor
 为影响交易产品定价的因子。例如：汇率、利率曲线、波动率等。
 各风险因子对应于相关的风险分类。
风险头寸
（敏感度）
Risk
Position
(Sensitivity)
 标准法资本计量中最主要的输入参数。
 Delta Risk: 由于风险因子中价格的变动导致交易头寸价值的变动，此一阶导数(first order derivative)的影响称为Delta风
险。
 Vega Risk: 由于风险因子中波动率的变动导致交易头寸价值的变动，此一阶导数(first order derivative)的影响称为Vega
风险。
 Curvature Risk: 对于非线性产品产生的Delta值变动导致交易头寸价值的变动，此二阶导数(second order derivative)的
影响称为Curvature风险。
 若产品中有嵌入式期权，也必须计量Vega及Curvature风险；若产品无嵌入式期权且现金流为线性收益形式（例如国
债）则可不计量Vega及Curvature风险.
风险区间
Risk Bucket
 为数个风险头寸的集合。
风险资本
Risk Charge
 依据监管相关系数将各风险区间集合加总后的结果。

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标准法监管计量要素
风险敏感性因子
sensitivities-based method
违约风险资本计提
Default Risk Charge
(DRC)
剩余风险资本计提
Residual Risk Add-On
(RRAO)delta vega curvature
口径范围所有头寸
具有期权性风险
(optionality risk)的头寸
• 股权、债券、信用份
额(traches)现货及衍
生性交易头寸。
• 信用衍生性交易头寸。
• 无法以有限解模型定
价的非线性支付形式
交易头寸。
• 底层非传统金融资产
的交易头寸。
• 相关性交易
(correlation trading)
头寸 (以避险为交易
目的的头寸除外)
头寸范例（假设会计本位货币为CNY)
买进中国移动（A股）股票股权风险 -
买进黄金期货（人民币）商品风险商品风险商品风险
卖出CNY/USD期权（买权）外汇风险外汇风险外汇风险 - +
买进HSI variance swap
股权风险、外
汇风险
股权风险股权风险 +
买进iTRAXX Asia ex-JP的信用违约交
换(Credit Default Swap - CDS)
信用利差风险、
外汇风险
-
买进中国移动海外公司债
一般利率风险、
信用利差风险、
外汇风险
+
风险分类

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Delta风险及Vega风险的计量步骤
1. 确认风险分类及风险因子。
2. 依据风险因子相对应的监管风险权重，计算风险加权后的Delta及Vega风险值(WS –
weighted sensitivity)：
3. 依据以下监管公式汇总各风险区间内的WSk计算出Sb以及风险资本(Kb)：(*其中相关系数(rho)
需采用监管相关系数)
4. 依据以下监管公式计算出跨风险区间的Delta及Vega风险资本：
5. 依据监管相关系数的上下限(乘上1.25/0.75)，重复1-4步骤计算出Delta及Vega风险资本。

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Curvature风险的计量步骤
1. Curvature风险值的计算为依据以下公式，首先调高及调低每个风险因子计算产生的损失，
然后取两者（调高/调低）最大的损失值：
2. 依据以下监管公式及监管相关系数计算出各风险区间内的风险资本(Kb)：
3. 依据以下监管公式计算出跨风险区间的Curvature风险资本：
4. 依据监管相关系数的上下限(乘上1.25/0.75)，重复1-4步骤计算出Curvature风险资本。

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风险敏感性的资本计量（SBM）案例
1) 确认风险分类、风险因子以及相对应的风险区间。

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风险敏感性的资本计量（SBM）案例–接续
2) 计算逐笔交易的Delta、Vega以及Curvature（+/-)上下调高调低风险因子时产生的损失。
3) 确认各风险因子相对应的监管风险权重(RW)。
4) 根据各交易的Delta、Vega及监管风险权重计算出加权后的风险敏感值(WS)。
5) 汇总Curvature（+/-)上下调高调低风险因子时产生的损失，计算Curvature风险值
（Curvature Risk Position）。
3
4
2 3
4
2 3
4
2
5
2

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6) 依据以下监管公式汇总各风险区间内的WSk计算出Sb以及风险资本(Kb)。
7) 首先计算Delta的Sb及Kb :

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8) 接着依据以下监管公式计算出跨风险区间的Delta风险资本:

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9) 接着计算出跨风险区间的Vega风险资本:

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 须注意Vega风险相关系数的计算:

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10) 然后依据以下监管公式及监管相关系数计算出各风险区间内的Curvature风险资本(Kb)：
11) 最后，依据以下监管公式汇总为跨风险区间的Curvature风险资本：

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 依序计算出Curvature风险资本：
11
10

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12) 最后，依据监管相关系数的上下限(乘上1.25/0.75)，重复1-11步骤计算出Delta、Vega、
以及Curvature风险资本：

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违约风险的资本计提

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违约风险资本(DRC)的计量步骤
1. 计算出个交易的Gross Jump-to-Default损失(Gross JtD Loss)；意即当底层债权价值低
于回收价值(Recovery Value)或是以[(100%-LGD)×面额]公式表示。
2. 依据各债项的信用层级(seniority)以及剩余年期，将多头(long)及空头(short)的Gross
JtD相互抵消后，计算出净Jump-to-Default损失(Net JtD Loss)。
3. 根据债项信用评级对应的违约风险权重，计算出加权净JtD（多头及空头）。
4. 根据监管3大债权分类(公司、国家主权、当地政府)及以下公式，分别计算出各分类
Hedge Benefit Ratio(Weighted-to-Short,WtS)。
5. 最后加总各分类的加权净JtD、WtS、利用以下公式计算出违约风险资本(DRC)。

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1) 计算出个交易的Gross Jump-to-Default损失(Gross JtD Loss)；意即当底层债权价值低
于回收价值(Recovery Value)或是以[(100%-LGD)x 面额]公式表示。
 Equity instruments and non-senior debt : LGD = 100%.
 Senior debt instruments : LGD = 75%.
 Covered bonds : LGD = 25%
违约风险的资本计量（DRC）案例
 剩余天期的权重调整：
 剩余天期 ≤ 1年；则调整JtD Loss = (JtD Loss) x (剩余天期)
 剩余天期 > 1年；则不作调整

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2) 依据各债项的信用层级(seniority)以及剩余年期，将多头(long)及空头(short)的Gross
JtD相互抵消后，计算出净Jump-to-Default损失(Net JtD Loss)。
3) 根据债项信用评级对应的违约风险权重，
计算出加权净JtD风险暴露（多头及空头）。
违约风险的资本计量（DRC）案例–接续
2
3

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4) 根据监管3大债权分类(公司、国家主权、当地政府)及以下公式，分别计算出各分类
Hedge Benefit Ratio(Weighted-to-Short,WtS)。
5) 最后加总各分类的加权净JtD、WtS、利用以下公式计算出违约风险资本(DRC)
违约风险的资本计量（DRC）案例–接续

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剩余风险的资本计提

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剩余风险（RRAO）的资本计量
 In-Scope:
 对于SBM及DRC风险资本计量中没有涵盖的剩余风险，依据以下的监管规则进行加总:
» 底层资产为非传统(exotic underlying)的金融产品(例如：气候衍生品、灾难风险、长寿风险等):
RRAO = 面额×1%的风险权重；
» 其余涵盖于金融产品中的剩余风险(例如：Gap Risk, Correlation Risk, Behavioral Risk等):
RRAO = 面额×1%的风险权重。
 Out-of-Scope:
 衍生品交易中的smile risk及dividend risk。
 背对背(back-to-back) 及中央交易对手(CCP)清算的交易。

35
最新BCBS的consultation–d408
 动机:
 提供一个较为简易的计量方法给业务较不复杂的银行。
 避免各地区的监管机构自订简易的计量方法。
 适用的银行机构:
 不是G-SIB/D-SIB的银行；
 没有卖出期权的交易业务（背对背交易除外）；
 没有使用内评法的交易柜台(IMA trading desk)；
 总体衍生品风险暴露低于10亿欧元；
 市场风险RWA低于总体RWA 5%的银行；
 没有correlation trading业务。
 主要的内容:
 DRC及RRAO的计量并无变动；
 原SBM修订为R-SBM(Reduced Sensitivities-based Method),其中包含：
− 去除vega及curvature的风险资本计提；
− 减少风险因子分类的颗粒度及相关系数上下限的计量；
− 简化basis risk的计量。

37
» VaR计量方法解释了在一个置信区间及时间内最坏的情况，但是缺乏对于尾部风险的计量。VaR也不符
合一致性风险测度中次可加性的特性。
» Expected Shortfall则强调尾部风险的计量，说明了当最坏的情况发生时预期的损失，并且也符合了
一致性风险测度中次可加性的特性。
参考资料: http://www.risk.net/risk-magazine/technical-paper/1506669/var-versus-expected-shortfall
附录（1）：Value at Risk与Expected Shortfall的比较
损益概率分布图
(probability distribution of P&L)
VaR at
99%
Expected Shortfall:
conditional loss expectation
VaR at
97.5%

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附录（2）：风险敏感性因子的定义–Delta (GIRR & CSR)

39
附录（3）：风险敏感性因子的定义–Delta (Equity)

40
附录（4）：风险敏感性因子的定义–Delta (Commodity & FX)

41
附录（5）：风险敏感性因子的定义–Vega

42
curvature
损失 (!)
衍生品市值对应
风险因子的变动
底层资产价格（风险因子）
现价上调价格
curvature
损失
下调价格
Delta避
险产生的
利润
市值影响
(-)
市值影响
(+)
期权
市值
Delta避险头寸市值
对应底层风险因子
的变动
Delta避
险产生的
损失
Long call
option
附录（6）：风险敏感性因子的定义–Curvature

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