?????????-????????????? (Global Securitization Trend–Risk Management Challenge for BASEL II & III)

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?????????-????????????? (Global Securitization
TrendRisk Management Challenge for BASEL II
III)

• ???
• Da-Bai Shen
• http//tw.myblog.yahoo.com/dabaitw
• ???? ???
• Soochow University, Taiwan

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Basel ? -- Post Financial Tsunami

• 1. Cross Reference with Other Regulations
• 2. Liquidity
• 3. Leverage
• 4. Dynamic Consideration
• 5. Counter Party Risk
• 6. Credit Rating

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Cross Reference with other Regulations

• IFRS 9 Financial Instrument
• IFRS 13 Fair Value (Three Levels)
• IVS(International Valuation Standard)
• Risk Replication

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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
  gt 100
• Total net cash outflows over the next 30 calendar
  days

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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 ?gt 100
• Required amount of stable funding

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Liquidity Risk

• CRMPG (Counterparty Risk Management Policy Group
  ) Liquidity adjusted VaR
• Cash Liquidity , Buying Power Liquidity and
  Credit Line Liquidity

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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.

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Dynamic Consideration

• Reducing procyclicality and promoting
  countercyclical buffers

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Counter Party Risk

• CVA(Counterparty Valuation Adjustment or, Credit
  Valuation Adjustment)
• --Market Information and Calibration?
• IFRS Non-performance Risk

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Resecuritizatioon

• ????? (ex. Synthetic Cash CDO2 or Synthetic
  CDO2)????
• Resecuritisation Risk Weights
• Banks using the internal ratings-based
  (IRB)approach to securitisation will be required
  to apply higher risk weights to resecuritisation
  Exposures.

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Credit Risk in China

• ???......

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• Thanks and have a good day!