Securitizations in Basel II

by William Perraudin of Imperial College and Risk Control Limited

April 2006

Abstract: This article describes the Basel II capital rules for securitization exposures, explaining (i) the considerations that influenced regulators' decisions, (ii) the approaches for calculating capital and how banks will apply them, (iii) the financial engineering that underlies the different approaches and (iv) the likely impact of the new system.

Keywords: Basel II.

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