2013 - ICC India

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72ICC BANKING COMMISSION | 2013 GLOBAL RISKS TRADE FINANCE | LIST OF FIGURESFigure 21Exposure-weighted default rates byasset class, 2006-11 27Figure 22 Tenor by asset class, 2006-11 28Figure 23Observed versus expected averagerecovery, 2006-11 29Figure 24 Recoveries and Economic Loss Rate, 2006-11 30Figure 25Figure 26Figure 27Figure 28Figure 29Figure 30Figure 31Estimated EL for medium and long-termtrade finance products, 2006-11 30Sample filtering for default rate calculationby number of transactions 32Sample filtering for default rate calculationby number of defaults 33Methodology to estimate Basel-alignedrisk measures 34Comparison of different approaches underBasel I, II and III 45Impact of Maturity on RWA as proportionof RWA for 1-year facility 49Impact of different number of transactionsfor defaulting and non-defaulting cases 52Figure 32 Tenor by asset class, 2006-11 54Figure 33Figure 34Figure 35Figure 36Sensitivity of recovery rate to treatment ofincomplete cases and unknown recoveries 59Sensitivity of defaulted transaction economicloss to treatment of incomplete cases andunknown recoveries 59Sensitivity of defaulted transaction economicloss to discount rate 60Example of estimating average maturityfrom balance figures 61
ICC BANKING COMMISSION | 2013 GLOBAL RISKS TRADE FINANCE | REFERENCES 73REFERENCESAraten, M, Jacobs, Jr., M. and Peeyush, V. (2004) “Measuring Loss GivenDefault on Commercial Loans: An 18 Year Internal Study”, RMA Journal, May2004, 28-35.Basel Committee on Banking Supervision (BCBS) (1986). “THEMANAGEMENT OF BANKS’ OFF-BALANCE-SHEET EXPOSURES”Basel Committee on Banking Supervision (BCBS) (1988). “INTERNATIONALCONVERGENCE OF CAPITAL MEASUREMENT AND CAPITAL STANDARDS”Basel Committee on Banking Supervision (BCBS) (1996). “AMENDMENT TOTHE CAPITAL ACCORD TO INCORPORATE MARKET RISKS”Basel Committee on Banking Supervision (BCBS) (1999). “A NEW CAPITALADEQUACY FRAMEWORK Consultative paper issued by the BaselCommittee on Banking Supervision”Basel Committee on Banking Supervision (BCBS) (2005). “An ExplanatoryNote on the Basel II IRB Risk Weight Functions”Basel Committee on Banking Supervision (BCBS) (2006). “InternationalConvergence of Capital Measurement and Capital Standards, A RevisedFramework Comprehensive Version”Basel Committee on Banking Supervision (BCBS) (2009a). “Enhancementsto the Basel II framework”Basel Committee on Banking Supervision (BCBS) (2009b). “Revisions to theBasel II market risk framework”Basel Committee on Banking Supervision (BCBS) (2009c). “Guidelines forcomputing capital for incremental risk in the trading book”Basel Committee on Banking Supervision (BCBS) (2011). “Treatment oftrade finance under the Basel capital framework”Basel Committee on Banking Supervision (BCBS) (2013). “Basel III: TheLiquidity Coverage Ratio and liquidity risk monitoring tools”Calderón, C., and Fuentes, R. (2010). “Characterizing the Business Cycles ofEmerging Economies”, The World Bank Policy Research Working Paper No.5343, JuneMoody’s Investor Services (2011). “Defaults and Recoveries for FinancialInstitution Debt Issuers, 1983 – 2010”Moody’s Investor Services (2012). “Annual Default Study: Corporate Defaultand Recovery Rates, 1920-2011”UK FSA (2007a). “Own estimates of Exposure at Default under IRB”UK FSA (2007b). “Use of variable scaling factors to derive long runprobabilities of default for Retail portfolios”
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