再资产证券化资本金计算方法研究——基于2009年7月的《新资本协议修正框架》

资产证券化作为20世纪70年代以来最重要的金融创新之一，由于其交易的复杂性，多样性及风险的隐蔽性等特点，给商业银行带来了极大的风险，并被监管部门纳入资本监管框架。基于2009 年7 月的《新资本协议修正框架》对资产证券化框架的资本金计算方法进行研究，通过具体的计算实例对该计算方法加以阐释，指出《新资本协议修正框架》中再证券化资本金计算方法存在的缺陷并给出了改进措施。

On the Methods of Asset Resecuritization Capital Calculation——Based on the Enhancements to the Basel Ⅱ Framework Released in July 2009

Securitization is one of the most important financial innovations since 1970s. 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. Based on the Enhancement to the Basel II Framework, this paper employs a specific example to explore the calculation of minimum capital requirement. We point out the defects and give measures for improvement. We really hope it can be helpful to the commercial banks.