新巴塞爾資本協定對銀行資產證券化之衝擊

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Title:	新巴塞爾資本協定對銀行資產證券化之衝擊
Other Titles:	The impact of the new basel capital accord on bank's securitization
Authors:	蔡智遠;Tsai, Chih-yuan
Contributors:	淡江大學財務金融學系碩士在職專班陳達新;Chen, Dar-hsin
Keywords:	新巴塞爾資本協定;資產證券化;標準法;內部評等法;New Basel Capital Accord;securitization;standardized approach;internal ratings-based approach (IRB approach)
Date:	2006
Issue Date:	2010-01-11 01:14:38 (UTC+8)
Abstract:	本研究討論新舊巴塞爾資本協定對資產證券之規範，及其對銀行資產證券化之動機及投資證券化商品所必須面臨之課題。在舊協定並未對於證券化有特別規範，而在新協定則設立專章討論，顯示對證券化的重視。而新舊資本協定對資產表外化、資本計提之規定不同，亦將影響創始銀行證券化之動機及投資機構投資證券化之誘因。且新協定可能造成創始銀行資本提列的上升，因而影響其資產負債表管理的動機，而較多之限制也使得要達到表外化之目的較為困難。此外，在新資本協定下，對於信用評等較佳之證券化商品，使用內部評等法所需提列之資本，少於標準法；而對於信用評等較差之證券化商品，使用內部評等法所需提列之資本，則高於標準法。故內部評等法對證券化商品評等之敏感性較高。最後根據新協定對我國證券化市場可能帶來之影響予供給我國銀行相關之建議。 The paper aims to discuss the regulation of securitization in Basel I and Basel II Capital Accord and its impact on the banks’ motivation to securitize their assets. The problems and situations that the banks face when securitizing products are also discussed. Basel II emphasizes the importance of securitization and discusses new regulations in the separate chapter which are absent in Basel I. The above difference would have impact on banks’ investments. Under Basel II, the New Capital Accord may increase the capital charge expense which would motivate the originating banks to alter their financial statements. Meanwhile, the New Capital Accord also sets up stricter regulations in the preparation of off-balance sheet items. In addition, under the New Capital Accord, the credit ratings of securitization would directly affect the capital charge expense. In General, the banks which adopt internal ratings-based approach (IRB approach in short) would have higher credit ratings and thus enjoy less capital charge expense than those who adopt the standardized approach. This shows that the IRB approach is more sensitive to the ratings of securitization products. In the final chapter of the essay, the impact of implementing New Capital Accord on Taiwan’s securitization market is discussed, and suggestions are made to the banks in Taiwan which securitize their assets.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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