Risk exposure refers to the balance of credit business that may bear risks due to the debtor's default. Customer risk weights are generally evaluated by external rating agencies according to customer information, and are divided into six grades: 0%, 10%, 20%, 50%, 100% and 150%.
Under the standard method, credit risk-weighted assets = ∑ credit risk exposure (EAD)× customer risk weight.
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Interest rate risk exposure is also called interest rate sensitivity gap, and commercial banks mainly use interest rate sensitivity gap index as the basis for monitoring interest rate risk on their balance sheets.
Specifically, all interest-bearing assets and interest-bearing liabilities of banks are divided into different time periods according to the repricing cycle (such as less than 1 month, 1~3 months, 3 months ~ 1 year, 1~5 years, more than 5 years, etc.). ).
In each time period, the repricing "gap" is obtained by subtracting interest-sensitive liabilities from interest-sensitive assets and adding off-balance-sheet business positions. Multiply the gap by the assumed interest rate change to get the approximate impact of this interest rate change on the change of net interest income.
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