Research On The Methods Of Asset Securitization Capital Calculation

Securitisation is one of the most important financial innovations since the 20th century 70s. Because of its complex,diverse transaction structure and the risk it brings having a hidden nature, it poses many risks to the commercial banks and is taken to regulation framework by the regulators. At present, one important feature of China's financial system is the banks focus most of the mobility. 90% financing of non-financial institutions obtained from the bank. At the same time, due to the limitations of domestic investment and high savings rates, the banking sector is prevalent of excess liquidity. As a risk management tool and an investment choice, undeniable can ease the excess bank liquidity and reduce credit risk of banks, rich investor's species. It has a large development space in China. At the same time, asset securitization has huge credit risk, market risk, and operational risk. It can not eliminate the risk but only transfer risk in some extent. Because of the risk of the asset securitization, it is more difficult to monitor it than a general exposure. Currently,China's asset securitization is still in its infancy, so it becomes particularly important to regulate it.Based on the Enhancement to the Basel II Framework, this paper employs some specific examples to explore the calculation of minimum capital requirement in BaselⅡ. We point out the defects, such as the does not consider the matching problem of resecuritization exposure's risk weights and the composition of the underlying asset pool, the existing problems of resecuritization in using the Supervisory Formula (SF) and the type of master trust can affect the early amortization risk. All of these problems can affect the risk sensitivity in some degree. Response to these problems, this paper gives measures for improvement. We really hope it can be helpful to the commercial banks.Although this paper points out some defects of the BaselⅡof the framework for asset, and gives some advice on related defects accordingly, some issues, such as how to re-asset and give a new definition and reasonable regulatory formula for resecuritization and how to gives a more reasonable and accurate credit conversion factor (CCF) according to the kinds of the master trust for early amortization, still need to further study. In December, 2009, Basel Committee on Banking Supervision issued the Strengthening the resilience of the banking sector. The problem that whether or in what extent this paper can be used to securitization still needs to be further study, as the risk character of securitization.