THE BASEL II FRAMEWORK IMPLEMENTATION AND SECURITIZATION

Marie-Florence Lamy
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Marie-Florence Lamy: Groupe Esc Rouen, 1, rue du Maréchal Juin, BP 215, 76825 Mont-Saint-Aignan, France

Chapter 6 in Risk Management and Value:Valuation and Asset Pricing, 2008, pp 117-127 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractSecuritization and credit derivatives are now commonly used by European Banks as tools in dynamic assets and liabilities management in order to optimize the allocation of regulatory capital by main activities and to increase their profitability through developing a maximum credit capacity with a more sensitive risk management.In this chapter we wish to address the consequences of the implementation of the Basel II framework on securitizations in Europe, using data collected in QIS 5, and try to determine if it will change their utilization by European banks in their strategic allocation of capital.We show that under the new framework, securitization does not lead to an economy in regulatory capital, and that considering the wide range of results under the Internal Rating Based approaches, we need to undertake a microeconomic analysis of the securitization portfolio of an international bank to measure the impact of the implementation of the new framework on traditional and synthetic securitizations.

Keywords: Risk; Value; Management; Derivatives (search for similar items in EconPapers)
Date: 2008
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