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3 信用風險

Basel 中各業務別相關係數的計算公式

法人金融業務
當 PD 介於 0%~100% 間之權數 (指數法 )
當 PD = 100% 時之相關係數
o Correla t i n ( R ) = 0 . 12 × ( 1 − Exp ( − 50 × PD )) /( 1 − Exp ( − 50 ))

+ 0 . 24 × [ 1 − ( 1 − Exp ( − 50 × PD )) /( 1 − Exp ( − 50 ))] − 0 . 04 × ( 1 − ( S − 5 ) / 45 )

當 PD =
0%
K-factor
時之相關
企業規模調整項
系數 (=50)

消費金融業務
rrelatio
房貸業務 (Residential Mortgages) Co n R = 0.15
合格循環零售業務 (Qualifying Revolving Retail Expos ures) n R = 0.04
Correlatio
其他零售業務 (Other Retail Exposures)
Correlation (R) = 0.03 × (1-Exp(-35 × PD))/(1-Exp(-35))
+0.16 × [1-(1-Exp(-35 × PD)/(1-Exp(-35))]

資料來源： BIS (2004), “An Explanatory Note on the Basel II IRB
RBK Weight Functions”.
Lopez (2002), “The Empirical Relationship between
Average Asset Correlation , Fi rm Probability of Default
and Asset Size”. FRBSF Working Paper.

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