BaselII,Securitization,andCreditRiskPPT.pptVIP

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