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

• 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

• Stock of high-quality liquid assets >= 100 %

• Total net cash outflows over the next 30 calendar days

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?•

LeverageLeverage 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!