巴塞尔资本协议中英文完整版

Mapping risk ratings to risk weights using CDRs

6. To help supervisors determine the appropriate risk weights to which an ECAI’s risk ratings should be mapped, each of the CDR measures mentioned above could be compared to the following reference and benchmark values of CDRs:

For each step in an ECAI’s rating scale, a ten-year average of the three-year CDR

would be compared to a long run “reference” three-year CDR that would represent a sense of the long-run international default experience of risk assessments.

Likewise, for each step in the ECAI’s rating scale, the two most recent three-year CDR would be compared to “benchmarks” for CDRs. This comparison would be intended to determine whether the ECAI’s most recent record of assessing credit risk remains within the CDR supervisory benchmarks.

Table 1 below illustrates the overall framework for such comparisons.

Table 1

Comparisons of CDR Measures151

1. 7. Comparing an ECAI’s long-run average three-year CDR to a long-run

“reference” CDR

8. For each credit risk category used in the standardised approach of the New Accord, the corresponding long-run reference CDR would provide information to supervisors on what its default experience has been internationally. The ten-year average of an eligible ECAI’s particular assessment would not be expected to match exactly the long-run reference CDR. The long run CDRs are meant as guidance for supervisors, and not as “targets” that ECAIs would have to meet. The recommended long-run “reference” three-year CDRs for each of the Committee’s credit risk categories are presented in Table 2 below, based on the Committee’s observations of the default experience reported by major rating agencies internationally.

151 It should be noted that each major rating agency would be subject to these comparisons as well, in which its individual experience would be compared to the aggregate international experience.

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