Basel II Securitization and Credit Risk.ppt

Basel II, Securitization, and Credit Risk 廖咸興 Hsien-hsing Liao 臺灣大學財務金融系/所 Department of Finance/National Taiwan U. Framework of Basel II Special Section for Securitization--- In Pillar I of Basel II Risk weights for securitization exposures---Standard approach IRB (for credit risk) Internal Risk modelling Risk Weights=?(PD, LGD, maturity) PD: Probability of default LGD: Loss given default The estimation of parameters Basic Approach （Internal estimated PD） Advanced Approach（All internally estimated） RBA—Long-term rated exposures RBA—Short-term rated exposures Rating-Based Approach---the Parameters-1 Factors influencing risk weights under RBA Long-term or short-term exposures Granularity of asset pool: measured by N, the Effective Number of exposures, defined as : EADi:Exposure at default of the ith asset Rating-Based Approach---the Parameters-2 Priority(Q) Q：defined as tranche sizes that are above AA- but subordinated to the current tranch divided by total size. EX.: For tranche A, it’s Q=(20+30)/100=0.5 Supervisory Formula Approach，SFA SFA Concept Simplified SFA (SSFA) SSFA calculation SSFA sensitivity to I SSFA sensitivity to：L SSFA敏感性分析：N Summary of capital requirements of BASEL II The Impact of New Basel Accord 對整體證券化市場之衝擊 對創始機構證券化動機之衝擊 對投資銀行投資證券化商品誘因之影響 對整體證券化市場之衝擊 新協定對於資產證券化之認定較嚴謹 新巴塞爾協定對證券化有明確之定義 傳統型證券化、合成型證券化之營運規範 達到表外化、降低資本提列之目的較困難 增加證券化之作業成本 對整體證券化市場之衝擊(續) 仍有資本套利之空間 標準法中對於評等在BB+與BB-之證券化部位在創始銀行及投資銀行間存有套利空間 內部評等法中創始銀行若持有低於KIRB之部位，不論其有無外部評等都必須自自有資本中扣除，而投資銀行對其持有之證券化部位則依評等基礎法提列資本要求 建立模型之困難度 缺乏對各種資產之違約率、違約損失率等歷史資料庫,especially difficult for asset pool across several countries. Credit portfolio: multi-period credit default correlation and contagion 對整體證券化市場之衝擊(續) 監理機關對證券化風險部位之監理能力 賦予各國監理機關蠻大空間的裁量權 證券化之型態及標的也不斷地推陳出新 我國之金融環境與證券化法令架構 銀行同時在證券化過程中扮演多個角色 市場揭露之影響 例如:揭露證券化之目標、銀行在證券過程中所扮演的角色及銀行對各個角色及過程所涉入之程度、證券化出售資產所認列之利得或損失，持有須自資本扣除之證券化風險暴額等 對創始機構證券化動機之衝擊 提昇資產負債表管理能力 創始銀行持有證券化部位之資本提列的方法中，只有內部評等法才訂