巴塞尔协议资产证券化资本监管新框架述评  

Review of Basel Ⅱ Capital Requirements for Asset Securitization

作　　者：王远胜[1] 

机构地区：[1]安徽省社会科学院法学所,安徽合肥230051

出　　处：《证券市场导报》2015年第12期58-64,73,共8页Securities Market Herald

摘　　要：针对次贷危机暴露出的巴塞尔Ⅱ资产证券化资本监管框架的不足,2014年底公布的证券化资本监管新框架重新设计了监管资本计量模式系统,通过让内部评级法名副其实,改变了原框架对外部评级的机械依赖。同时,新框架对原监管公式法进行了简化、优化,调整了风险计算因子,并重新设定了外部评级法的风险权重,以增加监管资本的风险敏感度,减缓监管资本套利。我国应当及时引入新框架,以克服现行框架下存在的监管资本套利风险。Aiming to address the flaws in the Basel II securitisation framework highlighted in subprime crisis, the BCBS revised framework, issued in later 2014, redesigns a new hierarchy of approaches which focuses on changing the mechanistic reliance on external ratings in Basel Ⅱ framework by introducing a true IRB. The revisions also simply the SFA, adjust the factors in regulatory capital calculation and reset the risk weights in ERBA to increase the risk sensitivity of regulatory capital and reduce the scope for regulatory arbitrage. In order to reduce the risk of regulatory capital arbitrage under the current framework, China should nromDtlv introduce new securitization framework.

关 键 词：资产证券化 资本监管 巴塞尔协议 

分 类 号：F832.5[经济管理—金融学]