新巴塞爾協(xié)議下資產(chǎn)證券化的風(fēng)險(xiǎn)監(jiān)管研究.pdf

1、Known as the "sacred convention of International Banking ", the Basel Capital Accord has became the basic norms of international banking since it enacted in 1988. The Capital Accord requires banks capital adequacy ratio

2、8％, asset securitization can help the banks through "strategic denominator" to achieve the purpose of improve capital adequacy ratio. As a result, the rapid development of asset securitization makes it becomes one of the

3、 most important financial innovation of financial markets in recent years. Through asset securitization, Banks can achieve capital releasing, and circumventing the purpose of capital requirements, so banks can meet the r

4、egulatory requirements when they expand the risk, enhance the risk of yield, which result in the lower regulatory efficiency. To limit capital arbitrage, the “New Basel Capital Accord" was introduced in June 2004, and im

5、plemented by the G10 at the end of 2006, Whose efficiency to solving the problem of capital arbitrage, also its impact of the design of asset securitization, risk measuring and monitoring are significant to the research.

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　　 This thesis mainly takes the normative analysis method. Through empirical research, analyzes the motivation, the dynamics and the risk of Asset-Backed Securitization. It reviews the evolution process of the Basel

7、 Capital Accord on the regulatory of asset securitization, and analyzes the purpose and the effect of the Basel Capital Accord, and compares the Internal Rating-Based(IRB) Approach and the Standardized Approach. The thes

8、is also analyzes the bank' s regulatory capital arbitrage problem under the framework of the Basel Accord. On the basis of the research above, it also points out the parts those are not yet perfect of the New Basel Capit

9、al Accord. In addition the thesis uses the method of empirical analysis, takes the subprime mortgage crisis as a case, to study the risk diffusion process of asset securitization.
　　 Upon the research above, the thes

10、is studies the further trend of the regulatory of asset securitization, pointing out what will focus on when the Basel Capital Accord continues to revise and improve. It also studies how to set up the international regul

11、atory system of asset securitization and the pattern of international cooperation to control the systemic risks brought by the asset securitization with the deepening of financial globalization. Finally, upon this basis,