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A Risk Mitigation Allocation Method

A distribution method and slow-release technology, which is applied in the fields of instruments, finance, and data processing applications, can solve problems such as poor distribution effects and low performance efficiency, and achieve the effects of improving distribution effects, improving performance efficiency, and reducing the default loss rate

Active Publication Date: 2016-04-13
AGRICULTURAL BANK OF CHINA
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  • Abstract
  • Description
  • Claims
  • Application Information

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Problems solved by technology

[0016] In view of this, the purpose of the present invention is to provide a risk mitigation allocation method, which can solve the phenomenon of low performance efficiency and poor allocation effect existing in the prior art

Method used

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Embodiment Construction

[0066] The professional terms and English abbreviations involved in the present invention are explained:

[0067] BASELIIProtocal: Basel New Capital Accord, refers to the "International Agreement on Unified Capital Measurement and Capital Standards: Revised Framework" issued by the Basel Banking Supervision Committee in June 2004, which defines the risk-weighted assets of the three major risks of credit, market and operation calculation method;

[0068] CR: CreditRisk, credit risk, also known as default risk, refers to the risk of losses caused by the failure of the counterparty to perform the obligations agreed in the contract. It is one of the three major risks that commercial banks are required to measure and manage under the Basel New Capital Accord;

[0069] RWA: RiskWeightedAsset, risk-weighted assets, assets adjusted by risk weights are risk-weighted assets, including credit risk-weighted assets, market risk-weighted assets and operational risk-weighted assets;

[0070...

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Abstract

The invention discloses a risk mitigation allocating method, which is characterized in that a step of allocating assets of mitigation instruments to debt items only needs to be executed for MAX (Wi)*MAX (Si) times, but the times for allocating the assets of the mitigation instruments are the total amount of the mitigation instruments by means of a trade-by-trade mitigation instrument handling method in the prior art, and practically, MAX (Wi)*MAX (Si) is far smaller than the total amount of the mitigation instruments. Therefore, the risk mitigation allocating method has the advantages that calculation of a system can be greatly reduced so that risk mitigation allocating performance efficiency is improved; and additionally, one mitigation instrument can provide mitigation for multiple debt items simultaneously, and value of the mitigation instruments is preferably allocated to the debt items with large customer default probability, so that allocating effects are enhanced, and minimum adjusted loss given default is decreased.

Description

technical field [0001] The invention belongs to the technical field of bank risk mitigation, and in particular relates to a risk mitigation allocation method. Background technique [0002] The New Basel Capital Accord encourages banks to accurately measure the risks faced by banks by developing more advanced risk measurement models, so that they can more effectively reduce the risks of assets held. The Basel New Capital Accord stipulates that when commercial banks use the internal rating-based approach to calculate credit risk-weighted assets, they first obtain risk parameters such as customer ratings (customer default probability), debt / asset ratings (default loss rate) and default risk exposures, and then On the basis of these parameters, credit risk-weighted assets are calculated for each debt. [0003] In the process of estimating these risk parameters, risk mitigation is used to reduce or transfer the risk of debt / asset, see figure 1 . That is to say, it is necessary...

Claims

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Application Information

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Patent Type & Authority Patents(China)
IPC IPC(8): G06Q40/02
Inventor 曹亮谭琦石智勇战华何启翱李恩杰赵焕芳吴玉凤林时栋彭迪王波范铭珊
Owner AGRICULTURAL BANK OF CHINA