3 FACTEURS DE RISQUES, GESTION DES RISQUES ET PILIER III Gestion des risques
)? LCMKO? >? =ILLwF;NCIH >w@;PIL;fOH? ?RCA?H=? >? @IH>M JLIJL?M >w>Cw? ;LNC=F?n >O LvAF?G?HN ?OLIJw?H >O nDOCH L?F;NC@ ;OR ?RCA?H=?M JLO>?HNC?FF?M ;JJFC=;? =Lw>CN ?N MOCN OH >CMJIMCNC@ >f;JJLI<;NCIH >? FCGCN?M MJw=C@CKO?M ?R
;HN? .O;HN ;O LCMKO? >? =ILLwF;NCIH >w@;PIL;w r NL;P?LM OH >CMJIMCNC@ >? FCGCN?M >w@CHC?M JIOL F?M J;SM wG?LA?HNM Dispositif de notation 3.2.3.5 Dispositif de notation interne IHHp?M =?LNC@Cp?M J;L F?M =IGGCMM;CL?M ;OR =IGJN?M ;O NCNL? >`%"./h )? MSMNvG? >? HIN;NCIH CHN?LH? @;CN J;LNC? CHNwAL;HN? >O >CMJIMCNC@ >fwP;FO;NCIH >? G;{NLCM? ?N >? MOLP?CFF;H=? >O LCMKO? >? =Lw>CN >? +;NCRCM &F =IOPL? Ff?HM?G?M GwNBI>?M JLI=w>wM IONCFM ?Nn=IHNL~F?M KOC J?LG?NN?HN FfwP;FO;NCIH >? =? LCMKO? ?N JL?H> ?Hn=IGJN? F?M J;L;GvNL?M @IH>;G?HN;OR KO? MIHN F; JLI<;? >w@;ON -! =ILL?MJIH>;HN r OH? HIN? ?N FfwP;FO;NCIH >fOH? J?LN? ?Hn=;M >? >w@;ON )IMM $CP?H !?@;OFN ?RJLCGw? J;L OH JIOL=?HN;A? IH@ILGwG?HN ;OR ?RCA?H=?M LwAF?G?HN;CL?M NION? =IHNL?J;LNC? >O JILN?@?OCFF? <;H=;CL? ;CHMC KO? Ff?RJIMCNCIH ;@@wL?HN? >ICP?HN @;CL? FfIfOH? HIN;NCIH CHN?LH? >vM FILM KO? F; =IHNL?J;LNC?n JILN? OH ?H=IOLM IO OH? FCGCN?n V ?MN A;L;HN? >fOH ?H=IOLMn V ?MN wG?NNLC=? >? NCNL?M ;JJILNwM ?H A;L;HNC? >f?HA;A?G?HNM V )? >CMJIMCNC@ >? HIN;NCIH CHN?LH? GCM ?H `OPL? Mf;JJOC? MOLn OH ?HM?G? GwNBI>IFIAC?M >? HIN;NCIH CHN?LH? MJw=C@CKO?M V ;OR >C@@wL?HN?M =F;MM?M ? LCMKO?M >? +;NCRCMn r =B;KO? NSJ? >? =IHNL?J;LNC? =ILL?MJIH>?HN OH? JLI=w>OL? ?N OH? GwNBI>IFIAC? OHCKO? >? HIN;NCIHn OH MSMNvG? >fCH@ILG;NCIH J?LG?NN;HN >f;MMOL?L F; A?MNCIH >? F; V HIN;NCIH >;HM M?M >C@@wL?HN?M wN;J?M >? FfCHCNC;NCIH >? F; HIN;NCIH DOMKOfr F; P;FC>;NCIH ?N FfBCMNILCM;NCIH >O JLI=?MMOM =IGJF?Nn >?M JLI=w>OL?M ?N =IHNL~F?M J?LG?NN;HN >fCHM=LCL? F; HIN;NCIH V CHN?LH? ;O =`OL >? F; G;{NLCM? >?M LCMKO?M >? FfILCACH? >?M IJwL;NCIHM r Ff;H;FSM? ?R JIMN >?M =IHNL?J;LNC?M ;S;HN @;CN >w@;ON ?N >?M J?LN?M MOL F?M ?HA;A?G?HNM =IH=?LHwMn OH? LwPCMCIH JwLCI>CKO? >?M GwNBI>IFIAC?M =IH=?LH;HN F; V HIN;NCIH F; >wN?LGCH;NCIH >?M N;OR >? )$! ?N F?M J;L;GvNL?M >?nLCMKO? MIOM
D;=?HNM 0f;ACMM;HN >O LCMKO? J;SM F? >CMJIMCNC@ L?JIM? MOL F; HIN;NCIH >?M MIOP?L;CHM ?N MOL F; >w@CHCNCIH JIOL =B;KO? J;SM >fOH? HIN? KOC JF;@IHH? =?FF? KO? J?ON M? PICL I=NLIS?L OH? =IHNL?J;LNC? HIH MIOP?L;CH? ?M HIN?M MIHN Lw?R;GCHw?M ;HHO?FF?G?HN ?N JFOM MIOP?HN MC F; MCNO;NCIH Ff?RCA? !?JOCM F? nM?JN?GINw? >? GwNBI>?M >? HIN;NCIH CHN?LH? MJw=C@CKO?M ;OR >C@@wL?HN?M =F;MM?M >f;=NC@M BIGIFIAOw?M J;L Ff -/ ?N L?MJ?=N;HN F; GwNBI>? >? HIN;NCIH CHN?LH? ;P;H=w? &/
JIOL HIN?L F?M =;NwAILC?M >f?RJIMCNCIH Yn=ILJIL;N?n^ YnMIOP?L;CHn^ Yn<;HKO?n^ Yn@CH;H=?G?HNM MJw=C;FCMwMn^ )fwF;? F; HIN;NCIH L?JIM? MOL >?OR ;JJLI=B?Mn F?M ;JJLI=B?M r =;L;=NvL? MN;NCMNCKO? ?N =?FF?M @IH>w?M MOL >?M GwNBI>IFIAC?M r >CL? >f?RJ?LN
Mesure de l’exposition au risque de contrepartie
-IOL F; G?MOL? ?N F; A?MNCIH >? MIH LCMKO? >? =IHNL?J;LNC? +;NCRCM ONCFCM? OH GI>vF? CHN?LH? $Lt=? r >?M MCGOF;NCIHM >? NSJ? Yn*IHN? ;LFIn^ MOL F?M JLCH=CJ;OR @;=N?OLM >? LCMKO? =? GI>vF? JLI=v>? r F; P;FILCM;NCIH >?M JIMCNCIHM MOL =B;KO? =IHNL?J;LNC? ?N MOL NION? F; >OLw? >? PC? >? Ff?RJIMCNCIH ?H JL?H;HN ?H =IGJN? F?M =LCNvL?M >? =IGJ?HM;NCIH ?N >? =IFF;NwL;FCM;NCIH CHMC F? GI>vF? >wN?LGCH? F? JLI@CF "-" "RJ?=N?> -IMCNCP? "RJIMOL? ?N F? JLI@CF -#" -IN?HNC;F #ONOL? "RJIMOL? =? >?LHC?L wN;HN FfCH>C=;N?OL JLCH=CJ;F ONCFCMw J;L +;NCRCM JIOL FfwP;FO;NCIH >? Ff?RJIMCNCIH ;O LCMKO? >? =IHNL?J;LNC? !;HM F? =;>L? >O =;F=OF >?M @IH>M JLIJL?M ;O NCNL? >O LCMKO? >? =IHNL?J;LNC? F; ;HKO? ?HNL;F? "OLIJw?HH? ; >IHHw OH ;ALwG?HN J;LNC?F MOL Ff?HNCNw +;NCRCMn0 JIOL FfONCFCM;NCIH >O GI>vF? CHN?LH? ""-" "@@?=NCP? "RJ?=N?> -IMCNCP? "RJIMOL? L?F;NC@ ;O =;F=OF >? Ff?RJIMCNCIH -IOL F?M ;ONL?M ?HNCNwM ;CHMC KO? JIOL F? JwLCGvNL? HIH ;ONILCMw ?H GI>vF? CHN?LH? >? +;NCRCMn0 Ff?RJIMCNCIH ?MN >wN?LGCHw? >f;JLvM F; GwNBI>? >fwP;FO;NCIH ;O JLCR >? G;L=Bw Dispositif de limites en risque de contrepartie )?M FCGCN?M MIHN >w@CHC?M ?H @IH=NCIH >O JLI@CF >? LCMKO? >?M =IHNL?J;LNC?M ;JLvM ;H;FSM? >? NION?M F?M CH@ILG;NCIHM J?LNCH?HN?M ?N ONCF?M r F; JLCM? >? >w=CMCIH ?M FCGCN?M MOCP?HN F? JLI=?MM >fI=NLIC >? +;NCRCM ?N MIHN ?R;GCHw?M ?N ;JJLIOPw?M MICN >;HM F? =;>L? >? >wFwA;NCIH MICN >;HM >?M =IGCNwM >? =Lw>CN )? MOCPC >? =?M FCGCN?M ?MN Lw;FCMw KOINC>C?HH?G?HN >;HM >?M IONCFM >w>CwM >? =IHMIFC>;NCIH ?N J?LG?N >? P?CFF?L ;O L?MJ?=N >O >CMJIMCNC@ >f?H=;>L?G?HN Ajustement de l’évaluation de crédit +;NCRCM CHNvAL? >?M ;DOMN?G?HNM >? P;F?OL >? =Lw>CN IO L?>CN 3;FO;NCIH >DOMNG?HN 3 >;HM F; P;FILCM;NCIH >?M CHMNLOG?HNM @CH;H=C?LM >wLCPwM &F =ILL?MJIH> r Ff?MJwL;H=? >? J?LN? FCw? ;O LCMKO? >? >w@;ON >fOH? =IHNL?J;LNC? ?N PCM? r JL?H>L? ?H =IGJN? F? @;CN KO? +;NCRCM H? JOCMM? J;M L?=IOPL?L F; NIN;FCNw >? F; P;F?OL >? G;L=Bw >?M NL;HM;=NCIHM +;NCRCM =;F=OF? OH? ?RCA?H=? ?H @IH>M JLIJL?M ;O NCNL? >? F; 3 >?JOCM F? ?L nD;HPC?L Risque de corrélation défavorable )? LCMKO? >? =ILLwF;NCIH >w@;PIL; ;O LCMKO? KO? Ff?RJIMCNCIH >? +;NCRCM MOL OH? =IHNL?J;LNC? MICN @ILN?G?HN =ILLwFw? r F; JLI<;? >w@;ON >? F; =IHNL?J;LNC? ? LCMKO? ?MN L?JLwM?HNw LwAF?G?HN;CL?G?HN J;L >?OR HINCIHMn F? LCMKO? >? =ILLwF;NCIH >w@;PIL; ;O LCMKO? AwHwLw FILMKOf?H L;CMIH >? F; H;NOL? >?M NL;HM;=NCIHM =IH=FO?M ;P?= OH? =IHNL?J;LNC? CF ?RCMN? OH FC?H >CL?=N ?HNL? M; KO;FCNw >? =Lw>CN ?N F? GIHN;HN >?nFf?RJIMCNCIHn F? LCMKO? >? =ILLwF;NCIH >w@;PIL; ;O LCMKO? AwHwLw FILMKOfCF ?RCMN? OH? =ILLwF;NCIH ?HNL? F; KO;FCNw >? =Lw>CN >? F; =IHNL?J;LNC? ?N F?M @;=N?OLM AwHwL;OR >? G;L=Bw
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