The Research On Financial Asset Securitization Under The New Basel Capital Framework

In 2005, China State Development Bank and China Construction Bank issued their ABS that opened prelude to the securitization of financial asset. According to international experience, the financial assets securitization can help banks to control risks and optimize the capital structure, but also result in regulatory capital arbitrage. So in the newly published "New Basel Capital Accord" specifically developed asset securitization framework to solve the capital arbitrage which securitization brings, and to regulate the development of asset securitization. The financial asset securitization in our country is at the initial stage, we should study the new Capital Accord to promote our securitization system , that is of great significance.The thesis takes the method of normative analysis. It analyzes the essence and dynamics of ABS, and forecasts its future direction by empirical analysis of the development process of ABS. It recalls and the evolution process of the Basel Capital Accord and the ABS regulatory, analyzes the purpose of asset securitization and monitors the implementation of result. It also introduces the innovations of new capital agreements on regulatory of ABS, and compares the Internal Ratings-Based Approach and the Standardised Approach.Upon this basis, the thesis studies the implications on product design, pricing, market and regulatory made by Basel II, applies the method and technology of Basel II in product design and pricing of ABS, and makes suggestion on product design, market development, and regulatory system of China. Suggestion is made that we should develop our ABS market in the principle of comprehensive risk management, design synthetic securitization products based on credit derivatives, and improve our regulatory and legislative work of ABS in the incentive compatibility principle.