1. 全球資產證券化趨勢－新巴塞爾協定風險管理之挑戰 (Global Securitization Trend–Risk Management Challenge for BASEL II & III) 沈大白 Da-Bai Shen http://tw.myblog.yahoo.com/dabaitw 東吳大學 會計系 Soochow University, Taiwan

2. Basel ? -- Post Financial Tsunami 1. Cross Reference with Other Regulations 2. Liquidity 3. Leverage 4. Dynamic Consideration 5. Counter Party Risk 6. Credit Rating

3. Cross Reference with other Regulations IFRS 9: Financial Instrument IFRS 13: Fair Value (Three Levels) IVS(International Valuation Standard) : Risk Replication

4. Liquidity Risk Liquidity Coverage Ratio to ensure that a bank maintains an adequate level of high-quality liquid assets that can be converted into cash to meet its liquidity needs under a significantly severe liquidity stress scenario specified by supervisors Stock of high-quality liquid assets >= 100 % Total net cash outflows over the next 30 calendar days

5. Liquidity Risk Net Stable Funding Ratio To promote more medium and long-term funding of the assets and activities of banking organisations… Available amount of stable funding  > 100% Required amount of stable funding

6. Liquidity Risk CRMPG (Counterparty Risk Management Policy Group ): Liquidity adjusted VaR: Cash Liquidity, Buying Power Liquidity and Credit Line Liquidity

7. Liquidity Risk Asset Liquidity: Define Market Liquidity as an ATM Put?

8. Leverage Leverage Ratio: Capital measure compared to an exposure measure, also called an assets measure. (ex. Tier 1 capital as a proportion of total adjusted assets) Purpose Put a floor under the build-up of leverage in the banking sector Introduce additional safeguards against model risk and measurement error by supplementing the risk based measure with a simpler measure that is based on gross exposures.

9. Dynamic Consideration Reducing procyclicality and promoting countercyclical buffers

10. Counter Party Risk CVA(Counterparty Valuation Adjustment or, Credit Valuation Adjustment) --Market Information and Calibration? IFRS: Non-performance Risk

11. Resecuritizatioon 再次證券化 （ ex. Synthetic Cash CDO^2 or Synthetic CDO^2 ）之債券。 Resecuritisation Risk Weights : Banks using the internal ratings-based (IRB)approach to securitisation will be required to apply higher risk weights to resecuritisation Exposures.

12. Credit Risk in China ???......

13. Thanks and have a good day!