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第2 の柱で決着したバーゼル委員会による 銀行勘定の金利リ …

2016 Summer 1 2 irrbb 1. 2016 4 irrbb 2015 6 irrbb 1 Pillar1 2 Pillar2 2 irrbb 2 irrbb 2018 2. 2 2014 irrbb 12 irrbb 3. IMS irrbb irrbb 6 EVE NII 4. EVE Tier1 15 Tier1 15% 5. irrbb irrbb ICAAP 2016 Summer 2I BCBS 2016 4 21 Interest Rate Risk in the Banking Book 1 2013 irrbb 2 Pillar2 irrbb 2018 irrbb

野村資本市場クォータリー 2016 Summer 3 IRRBB については、従前から議論が行われてきた。バーゼルⅡの導入に向けた検討では、

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Transcription of 第2 の柱で決着したバーゼル委員会による 銀行勘定の金利リ …

1 2016 Summer 1 2 irrbb 1. 2016 4 irrbb 2015 6 irrbb 1 Pillar1 2 Pillar2 2 irrbb 2 irrbb 2018 2. 2 2014 irrbb 12 irrbb 3. IMS irrbb irrbb 6 EVE NII 4. EVE Tier1 15 Tier1 15% 5. irrbb irrbb ICAAP 2016 Summer 2I BCBS 2016 4 21 Interest Rate Risk in the Banking Book 1 2013 irrbb 2 Pillar2 irrbb 2018 irrbb 2015 6 2 irrbb 1 Pillar1 irrbb irrbb 2 enhanced Pillar2 2 1 irrbb 2 irrbb

2 irrbb II irrbb irrbb 1 2 2 2 irrbb 1 Basel Committee on Banking Supervision, Interest rate risk in the banking book, Standard, April 2016 ( ). 2 Basel Committee on Banking Supervision, Interest rate risk in the banking book, Consultative Document, June 2015. 2015 2016 Summer 3 irrbb II irrbb irrbb 2004 II irrbb 2 3 2 2004 IRR 15 4 IRR 200 bp 1 5 1 99 5 Tier1 Tier2 20 irrbb IRR 1 1

3 irrbb 2 irrbb irrbb irrbb irrbb 3 II irrbb 2 irrbb 1 4 Basel Committee on Banking Supervision, Principles for the Management and Supervision of Interest Rate Risk, July 2004. 5 IRR G10 G10 2016 Summer 4 term structure 3 irrbb irrbb 1 Annex 1 3 irrbb credit spread risk in the banking book.

4 CSRBB irrbb irrbb CSRBB irrbb irrbb irrbb irrbb irrbb irrbb III irrbb irrbb 2014 IRR irrbb 12 1 irrbb 1 9 irrbb irrbb 2016 Summer 5 irrbb internal capital adequacy assessment process; ICAAP irrbb 10 12 irrbb 1 irrbb irrbb irrbb 2 internal measurement system.

5 IMS irrbb 1 irrbb CSRBB 2 governing body irrbb irrbb irrbb ALM IR R BB 3 irrbb IR R BB 4 irrbb 5 irrbb 6 irrbb irrbb 7 irrbb 8 irrbb irrbb 9 irrbb IC AAP irrbb 10 irrbb irrbb / 11 irrbb IR R BB irrbb 12 irrbb irrbb / 2016 Summer 6 economic value of equity; EVE net interest income.

6 NII irrbb IMS a) irrbb IMS irrbb 4 6 2 Annex 2 2 6 6 2 2 100bp 200bp 300bp 150bp 200bp 250bp 100bp 2000 2015 16 5 2 bp 2 6 c 6 R 2 c tk k k midpoint (a) , , 400300400200100250200250200400400 500450500300150300250300250500500 300200300150100150100150100350300 100300400400200200150400200400 100400500500300300200500300500 100200300300150150100300150300 2016 Summer 7(b) 0 6 , , , (c) Slong(tk) = 1-Sshort(tk) (d) , , , 1 (d)

7 , , , , , , 2 6 O/N 20 19 k 10 tk . tk 100bp + 100bp 100bp tk 100bp + 100bp (1 - ) = + 100bp 100bp tk + 100bp 100bp (1 - ) = 6 4 ICAAP irrbb 7 6 x = 4 7 2 ICAAP 2016 Summer 8 ICAAP b)

8 irrbb IMS behavioral option 5 NMD 8 3 3 4 8 NMD NMD EVE NII IR R BB IMS NMD NMD 2016 Summer 9 4 c) irrbb 6 irrbb EVE NII irrbb 8 EVE NII (a)

9 EVE commercial margin EVE (b) NII NII NII 12 LTV GDP GDP NMD 2016 Summer 10IV irrbb irrbb 9 irrbb

10 irrbb ICAAP irrbb irrbb


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