全球資產證券化趨勢－新巴塞爾協定風險管理之挑戰
(Global Securitization Trend–Risk Management Challenge for
BASEL II & III)
沈大白
Da-Bai Shen
http://tw.myblog.yahoo.com/dabaitw
東吳大學 會計系
Soochow University, Taiwan
Basel ? -- Post Financial Tsunami
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1. Cross Reference with Other Regulations
2. Liquidity
3. Leverage
4. Dynamic Consideration
5. Counter Party Risk
6. Credit Rating
Cross Reference with other
Regulations
• IFRS 9: Financial Instrument
• IFRS 13: Fair Value (Three Levels)
• IVS(International Valuation Standard) :
• Risk Replication
Liquidity Risk
• Liquidity Coverage Ratio
• to ensure that a bank maintains an adequate level of
high-quality liquid assets that can be converted into
cash to meet its liquidity needs under a significantly
severe liquidity stress scenario specified by
supervisors
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Stock of high-quality liquid assets
• Total net cash outflows over the next 30 calendar days
>=
100 %
Liquidity Risk
• Net Stable Funding Ratio
• To promote more medium and long-term funding of
the assets and activities of banking organisations…
• Available amount of stable funding > 100%
• Required amount of stable funding
Liquidity Risk
• CRMPG (Counterparty Risk Management
Policy Group ): Liquidity adjusted VaR:
• Cash Liquidity , Buying Power Liquidity and
Credit Line Liquidity
Liquidity Risk
• Asset Liquidity:
• Define Market Liquidity as an ATM Put?
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Leverage
Leverage Ratio:
• Capital measure compared to an exposure measure,
also called an assets measure. (ex. Tier 1 capital as a
proportion of total adjusted assets)
Purpose
• Put a floor under the build-up of leverage in the
banking sector
• Introduce additional safeguards against model risk and
measurement error by supplementing the risk based
measure with a simpler measure that is based on gross
exposures.
Dynamic Consideration
• Reducing procyclicality and promoting
countercyclical buffers
Counter Party Risk
• CVA(Counterparty Valuation Adjustment or,
Credit Valuation Adjustment)
• --Market Information and Calibration?
• IFRS: Non-performance Risk
Resecuritizatioon
• 再次證券化 （ex. Synthetic Cash CDO^2 or
Synthetic CDO^2）之債券。
• Resecuritisation Risk Weights :
• Banks using the internal ratings-based (IRB)approach
to securitisation will be required to apply higher risk
weights to resecuritisation Exposures.
Credit Risk in China
• ???......
• Thanks and have a good day!