附录3
IRB法风险权重的实例
1.
按照信用风险IRB法，下表列举了四类资产的风险权重。采用第三节
规定
关于下班后关闭电源的规定党章中关于入党时间的规定公务员考核规定下载规定办法文件下载宁波关于闷顶的规定
的一项风险权重函数，得出每类资产的风险权重函数。计算风险权重函数的参数包括计量违约概率、违约损失率及假设的有效期限2.5年。
2.
对中小企业借款人的风险暴露，采用企业规模调整（中小企业是采用并表方式的企业集团的组成部分，企业
报告
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的销售额小于5000万欧元，这部分公司暴露为中小企业暴露）。因此，如果贷款企业的销售额是500万欧元，在确定第二栏中另一套风险权重过程中，需要进行企业规模调整。
IRB法风险权重的实例
资产类别:
公司贷款
住房抵押贷款
其他零售贷款
合格的循环零售贷款
违约损失率:
45%
45%
45%
25%
45%
85%
45%
85%
期限: 2.5 年
销售额(百万欧元 ):
违约概率:
50
5
0.03%
14.75%
11.61%
4.31%
2.40%
4.97%
9.38%
2.85%
5.38%
0.05%
20.03%
15.80%
6.51%
3.62%
7.42%
14.02%
4.28%
8.09%
0.10%
30.19%
23.91%
11.25%
6.25%
12.54%
23.68%
7.29%
13.76%
0.25%
50.63%
40.34%
22.70%
12.61%
23.91%
45.16%
13.98%
26.41%
0.40%
64.59%
51.60%
32.19%
17.89%
32.28%
60.98%
18.87%
35.64%
0.50%
72.00%
57.57%
37.89%
21.05%
36.86%
69.63%
21.51%
40.64%
0.75%
86.50%
69.21%
50.68%
28.16%
46.01%
86.90%
26.69%
50.41%
1.00%
97.44%
77.91%
62.03%
34.46%
52.90%
99.93%
30.47%
57.55%
1.30%
107.79%
86.05%
74.31%
41.28%
59.25%
111.91%
33.82%
63.88%
1.50%
113.59%
90.58%
81.88%
45.49%
62.64%
118.33%
35.56%
67.17%
2.00%
125.77%
99.99%
99.19%
55.10%
69.20%
130.71%
38.81%
73.31%
2.50%
136.00%
107.85%
114.70%
63.72%
73.96%
139.71%
41.11%
77.66%
3.00%
145.21%
114.97%
128.86%
71.59%
77.67%
146.71%
42.94%
81.11%
4.00%
162.19%
128.33%
154.13%
85.63%
83.50%
157.72%
46.11%
87.11%
5.00%
178.27%
141.41%
176.35%
97.97%
88.56%
167.29%
49.34%
93.20%
6.00%
193.80%
154.44%
196.27%
109.04%
93.64%
176.87%
52.90%
99.92%
10.00%
250.22%
204.50%
260.66%
144.81%
117.95%
222.79%
69.51%
131.30%
15.00%
307.24%
258.48%
320.10%
177.83%
154.81%
292.41%
90.06%
170.11%
20.00%
352.49%
303.50%
365.62%
203.12%
192.33%
363.29%
107.66%
203.36%
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