Credit Risk Capital Mitigation under BASEL II
碩士 === 輔仁大學 === 金融研究所 === 94 === ABSTRACT The Basel Committee on Banking Supervision’s (“the Committee”) published a new regulations - The New Basel Capital Accord(BASEL II)to governing the capital adequacy of banks and to be implemented as of year-end 2006. As studied by Banking Bureau , Financial...
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ndltd-TW-094FJU002140362015-10-13T10:34:49Z http://ndltd.ncl.edu.tw/handle/97526444583478253543 Credit Risk Capital Mitigation under BASEL II 新巴塞爾資本協定下信用衍生性商品風險抵減之探討 Peng Cheng Tai 戴鵬程 碩士 輔仁大學 金融研究所 94 ABSTRACT The Basel Committee on Banking Supervision’s (“the Committee”) published a new regulations - The New Basel Capital Accord(BASEL II)to governing the capital adequacy of banks and to be implemented as of year-end 2006. As studied by Banking Bureau , Financial Supervisory Commission, Executive Yuan, the BIS ratio of Taiwan banks will be decreased by 1.37% when the BASEL II is implemented. To rectify this shortage of BIS ratio, the credit derivatives such as CDS are eligible by BASEL II for banks to mitigate their risk-weighted assets requirement. Therefore, this study assesses the costs and benefits of using CDS(credit default swap)to mitigate the risk-weight assets under the regulations of BASEL II and Taiwan authority. We find that 1.Banks can effectively raise their BIS ratio by using CDS but the benefits will be decreased when ratings of the CDS- counter parties are downgraded. 2.Although CDS is very useful and flexible to mitigate bank’s credit risk but it is not a cheaper hedging instrument than just by increasing eligible capital to raise the BIS ratio. 蔡偉澎 2006 學位論文 ; thesis 99 zh-TW |
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碩士 === 輔仁大學 === 金融研究所 === 94 === ABSTRACT
The Basel Committee on Banking Supervision’s (“the Committee”) published a new regulations - The New Basel Capital Accord(BASEL II)to governing the capital adequacy of banks and to be implemented as of year-end 2006. As studied by Banking Bureau , Financial Supervisory Commission, Executive Yuan, the BIS ratio of Taiwan banks will be decreased by 1.37% when the BASEL II is implemented. To rectify this shortage of BIS ratio, the credit derivatives such as CDS are eligible by BASEL II for banks to mitigate their risk-weighted assets requirement. Therefore, this study assesses the costs and benefits of using CDS(credit default swap)to mitigate the risk-weight assets under the regulations of BASEL II and Taiwan authority. We find that
1.Banks can effectively raise their BIS ratio by using CDS but the benefits will be decreased when ratings of the CDS- counter parties are downgraded.
2.Although CDS is very useful and flexible to mitigate bank’s credit risk but it is not a cheaper hedging instrument than just by increasing eligible capital to raise the BIS ratio.
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author2 |
蔡偉澎 |
author_facet |
蔡偉澎 Peng Cheng Tai 戴鵬程 |
author |
Peng Cheng Tai 戴鵬程 |
spellingShingle |
Peng Cheng Tai 戴鵬程 Credit Risk Capital Mitigation under BASEL II |
author_sort |
Peng Cheng Tai |
title |
Credit Risk Capital Mitigation under BASEL II |
title_short |
Credit Risk Capital Mitigation under BASEL II |
title_full |
Credit Risk Capital Mitigation under BASEL II |
title_fullStr |
Credit Risk Capital Mitigation under BASEL II |
title_full_unstemmed |
Credit Risk Capital Mitigation under BASEL II |
title_sort |
credit risk capital mitigation under basel ii |
publishDate |
2006 |
url |
http://ndltd.ncl.edu.tw/handle/97526444583478253543 |
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