基于巴塞尔新资本协议的资产证券化风险计量

Assessing Securitization Risk under Basel New Capital Accord

20世纪90年代和最近一段时间,美国分别发生两次次级贷款危机,资产证券化的发展对这两轮危机产生都起到了决定性作用,对于各国的资产证券化实践来说,资产证券化的资本监管和风险计量就显得尤为重要了。作者首先介绍巴塞尔新资本协议资产证券化监管框架的背景知识情况,随后对资产证券化的风险计量方法作出较为明晰的分类和总结,文章最后对新资本协议的资产证券化风险计量作出评论并结合美联储于2007年11月2日投票通过的美银行机构执行新巴塞尔协议计划的最终版本,指出美国的次级贷款危机与其资产证券化风险监管政策间的联系,说明该方法的现实指导意义。

During 1990 and 2007, there have brought out two subprime mortgage crisis in which the development of securitisation obviously played crucial roles. This made the capital measurement and supervision of securitisation more and more important. First, the author introduced the securitisation frame of Basel II and some basis of related knowledge; Second, the method of measuring the risk-based capital was introduced; Finally, The Federal Reserve passed the the final rule of America＇s own Basel accord named Risk-Based Capital Standards： Advanced Capital Adequacy Framework -- Basel II in Nov 2nd, 2007, according to which and the above introduction of the methods, we reveal the relationship of the US subprime mortgage crisis and the securitisation of America, on the basis of which the significance of the methods is explained.