新巴塞尔资本协议下资产证券化风险转移的确认
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外国经济与管理 2006 年 第 28 卷第 04 期, 页码：53 - 56
摘要
参考文献
摘要
在资产证券化的复杂交易结构中,要想达到完全转移风险的目标,不仅要对风险暴露进行资本监管,而且必须判断在资产证券化过程中的风险转移程度(即风险转移的确认)。资产证券化过程中的风险转移确认是资产证券化能否达到预期目标的关键。本文对新巴塞尔资本协议和国际会计准则的有关规定进行了研究,探讨了监管金融资产证券化风险转移的新思路。
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[2]Basel Committee on Banking Supervision.International convergence of capital measurement and capital standards:a re-vised framework[S].2004.
[3]Basel Committee on Banking Supervision.Regulatory treatment of operation risk[R].2001a,September.
[4]Basel Committee on Banking Supervision.Sound practices of the management and supervision of operational risk[R].2002b.
[5]Diebold,Francis X,Todd A Gunther,and Anthony S Tay.Evaluating density forecasts with applications to financialrisk management[J].International Economic Review,1998,39:863-869.
[6]FASB.SFAS No.140:accounting for transfers and servicing of financial assets and extinguishments of liabilities[S].2000.
[7]Hirtle,Beverly J.What market risk capital reporting tells us about bank risk[J].Federal Reserve Bank of New York E-conomic Policy Review,2003,9(3):37-54.
[8]IASB.IAS No.39:financial instruments:recognition and measurement[S].2004.
[9]Jaime Caruana.Chairman of the Basel committee on banking supervision:Basel II-the road ahead[R].Remarks at theInstitute of International Finance Annual Meeting,Dubai,21 September 2003.
[10]Joint Forum.Risk management practices and regulatory capital:cross-sectoral comparison[R].Basel Committee JointPublication No.4,2001.
引用本文
王秀芳. 新巴塞尔资本协议下资产证券化风险转移的确认[J]. 外国经济与管理, 2006, 28(4): 53–56.
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