Global Securitization Trend Risk Management Challenge for BASEL II

1
Global Securitization Trend Risk Management
Challenge for BASEL II

• Grace Chu, Taiwan International Securities
  Corporation
• ??,????????????,
• ??????

2
BASEL II ????
3
???????????

4
???????

• ?????????(FED)???????(Greenspan)??,???????????????
  ????????(Instruments of Financial
  Stability),??????????911?????????????
• ????,??????????????(Warren Buffet)????????????????
  ????????(Weapons of Mass Destruction),???????????,
  ?????????

5
Greenspan???

• ??,?????????,????????????????????(Credit Default
  SwapCDS)???????(Collaterlized Debt
  ObligationsCDO)????????(Credit-Linked
  NotesCLN)?,???????????????????????????????????(E
  nron)?????????(Global Crossing)?????(Swissair)????
  ?????(Railtrack)?????(WorldCom)???????????????????
  ,???????????????????????
• ???????,????????2002?2004?????????????,??????????
  ??,??????????????????????????,???????????,????????
  ??(Prevented a Collapse in the Banking Industry)?

6
(No Transcript)
7
CDO VS. ???CDO
8
Cash CDO?Synthetic DO??????
9
CDO???? 1995 ?VS. 2005 ?
10
CDO?????

• ?????,??CDO?????????,?1250??????2900???,???????9.6
  ??????2005???,CDO????????????????15,????????????
  ???
• ???,???CDO?????,????????????,???????????????,?????
  ??????

11
CDO????????

• ?????,CDO??????????????????????CDO???????????1.5
  1.75,???????????????0.4?3??
• ?????????????(Merril Lynch)???????????????(Citiban
  k)???CDO???????????,????????????????

12
CDO???

• ??????,???????,??????A????,???????????(Libor)??15?
  20????,??A??????????????,???????A????????,???Libor
  ?140????
• ????????????????,???????????,????????????????,????
  ?????20??,??????????????Christopher
  Ricciardi???,?????????????????CDO,????20???

13
??????CDO

• ???????????CDO??????????,?????????,????????????
• ??????????????????????????????????,???????????????
  ????????????????,??????????
• ???????????????????,????????????,???????????????,?
  ??????????,???????????,Delphi ?????????,?????GLG
  Partners??????,?????????

14
Warren Buffet???

• ????????????????????,?????????(Hedge
  Fund)??????????CDO,??????,???????????????
• ??,???????????????????,????????,???????????(CDS)??
  ?????????,??????????,????????????(Big Sellers of
  Credit Protection),????,?????????????,??????????,?
  ??????????????????????

15
Warren Buffet???

• ??,????????Delphi????,?????????????,?CDO????,?????
  ??,??127 ?CDO????,??39 ?CDO ????????????
• ??Delphi??????,??????????????,??,??????????????,?
  ?????????(Major Company)???????CDS?????,???,??????
  ?????????????,????????????,??????????!

16
????????????????????????

• ??????????????????,?????????????????,???????????,?
  ???????????,???????
• ???????????????????????????????????????,?????????
  ??????????!

17

• ????,
• ????!