市场风险资本计量内部模型法监管指引(修订稿V).doc

市场风险资本计量内部模型法监管指引 （修订稿v2.1） Supervisory Guidelines for Internal Models Approach for Market Risk Capital Measurement (Amended Version v2.1) 总则 1. General Provisions 1.1为推进《统一资本计量和资本标准的国际协议：修订框架》的实施，促使商业银行提高市场风险管理水平，保证商业银行安全稳健运行，根据《中华人民共和国商业银行业监督管理法》、《中华人民共和国商业银行法》等法律法规，参照新资本协议相关要求，制定本指引。 1.1 These Guidelines are hereby formulated in accordance with the Law of the People’s Republic of China on Supervision and Administration of Commercial Banking, the Law of the People’s Republic of China on Commercial Banks, and relevant requirements of Basel II for the purpose of facilitating the implementation of International Convergence of Capital Measurement and Capital Standards: A Revised Framework Comprehensive Version, prompting commercial banks to enhance market risk management, and ensuring the sound and stable operations of commercial banks. 1.2本指引适用于《中国商业银行业实施新资本协议指导意见》确定的新资本协议商业银行和自愿实施新资本协议的其它商业银行。银监会鼓励其它商业银行参照本指引，建立市场风险管理的内部模型，提高市场风险管理水平。 1.2 The Guidelines apply to the Basel II banks as specified under the Guidance on Basel II Implementation by China’s Commercial Banking Sector and to any other commercial banks choosing to voluntarily adopt Basel II. The China Banking Regulatory Commission will encourage other banks to formulate internal models for upgraded market risk management by following these Guidelines. 1.3本指引的目的在于，明确商业银行使用内部模型法计量市场风险资本要求时应满足的相关基本要求，以及监管机构的审批程序和监管要求。 本指引所称的内部模型（或模型）指商业银行用于计量市场风险资本要求的风险价值（VaR）模型。 本指引所要求的市场风险资本计量范围包括商业银行交易账户的利率风险和股票风险、交易帐户和银行帐户的汇率风险和商品风险，以及相关的期权性风险。商业银行的结构性外汇敞口不在计算范围之内。 1.3 These Guidelines are designed to specify that commercial banks shall comply with relevant basic requirements as well as regulators’ approval procedures and requirements when using the internal models approach (IMA) for market risk capital charge measurement. The internal model (the “model”) referred to in these Guidelines represents the value-at-risk (VaR) model applied by banks in market risk capital charge measurement. The market risk capita