Monthly Archive:: October 2012

How to calculate risk weighted assets in securitization under internal rating based approach?

Capital relief in securitization is calculated by replacing the risk-weighted assets (RWA) of the securitized portfolio by RWA of the securitization tranches. This article answers the question how to get the risk weight of the tranches in case the originating bank uses the internal rating based approach (IRB)

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Bail-in proposals from Liikanen expert group

Beginning October 2012 the High-level Expert group under leadership of Erkki Liikanen has provided some recommendations to European Commission how to improve the European banking system. The findings of the experts contain some concretizations of Bail-in tool and surely useful to minimize the confusion about the plans of EU to convert senior unsecured creditors into the equity providers of the defaulted banks

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How to calculate risk weighted assets in securitization under standardized approach?

To get the capital relief in securitization, the risk weighted assets (RWA) of securitized portfolio must be replaced by RWA of the securitization tranches. This article answers the question how to get the risk weight of the tranches if the originating bank uses the standardized approach

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