提前摊还下信用卡证券化资本金计算方法研究

详细信息

Research on the Capital Calculation Method of Credit  Card Securitization with Early Amortization Features

Faculty of Finance and Banking, Shanxi University of Finance and Economics,Tai yuan 030006, China

摘要: 对信用卡应收款证券化的特点及交易结构等进行研究，并对新巴塞尔协议中关于具有提前摊还特征的证券化产品的资本金要求进行探讨，指出新巴塞尔协议在对具有提前摊还特征的信用卡证券化资本金处理方法方面存在的缺陷，提出改进的建议，并通过具体实例进行了阐释，希望对商业银行信用卡证券化的资本监管有所帮助。
- 信用卡 /
- 资产证券化 /
- 提前摊还 /
- 内部评级法 /
- 资本要求
Abstract: This paper investigates the characteristics of credit card receivables securitization and its transaction structure, and then explores its minimum capital requirement in the new Basel Accord. We find out some defects on the methods of calculations on the capital charge in the New Basel Accord and have given some suggestions together with supplementary examples. We hope that this paper can be helpful to commercial banks to fulfill the New Basel Accord better.
- credit card /
- securitization /
- early amortization /
- internal rating approach /
- capit al requirement

[1]	陈文达,李阿乙,廖咸兴著.资产证券化:理论与实务[M].北京:中国人民大学出版社, 2004.
[2]	Basel Committee Working Group. Asset Tranfers and Securitisation .
[3]	Basel Committee on Banking Supervision. Working Paper on the Treatment of Asset Securitisation(WP1) . bis.org,2001-10-23.
[4]	Basel Committee on Banking Supervision. Second Working Paper on Securitis ation(WP2) .
[5]	Basel Committee on Banking Supervision. The New Basel Capital Accord(CP3) .
[6]	Basel Committee on Banking Supervision. Changes to the Securitisation Fra mework .
[7]	Basel Committee on Banking Supervision. International Convergence of Capi tal Measurement and Capital Standards:A Revised Framework . bis.org,2004-06-26.
[8]	安德鲁·戴维森, 安东尼·圣德斯, 兰玲·沃尔夫, 等. 资产证券化:构建和投资分析[M]. 王晓芳译.北京:中国人民大学出版社, 2005. 288-292.
[9]	中国银行业监督管理委员会.商业银行资产证券化风险暴露监管资本计量指引(第五次征求意见稿) .