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金融危机后,为了弥补既有资产证券化风险计量框架的缺陷,巴塞尔委员会对监管理念进行了新的思考,在更加平衡的监管理念指导下对资产证券化风险计量框架进行修订,以期更加准确、敏锐和全面地识别、计量风险,并更有针对性、更客观地通过强化资本要求以冲抵资产证券化的信用风险。有必要从监管理念(宏观)和制度层面(微观)深入分析巴塞尔委员会关于商业银行资产证券化风险计量框架的演变和制度目标;同时,立足于我国商业银行资产证券化实践的特点和问题,在对比分析我国商业银行资产证券化风险计量规则的基础上,探讨资本监管视角下我国商业银行资产证券化的风险防范对策。
After the financial crisis, in order to make up for the defects of the existing measurement framework of asset securitization risk, Basel Committee made new thinking on the regulatory concept and revised the measurement framework of asset securitization risk under the guidance of a more balanced regulatory concept so as to be more accurate , Acutely and comprehensively identify and measure risks, and more objectively and objectively offset the credit risk of asset securitization by strengthening capital requirements. It is necessary to make an in-depth analysis of the evolution and institutional goals of the Basel Committee on the risk measurement framework for asset securitization of commercial banks from the perspective of regulatory concept (macro) and system (micro); meanwhile, based on the characteristics and problems of the practice of asset securitization of commercial banks in our country, On the basis of comparative analysis of the rules of asset securitization risk measurement of commercial banks in our country, this paper discusses the risk prevention measures of asset securitization of commercial banks in our country from the perspective of capital supervision.