Global Securitization Trend Risk Management Challenge for BASEL II

Grace Chu, Taiwan International Securities Corporation ,,

BASEL II

FEDGreenspanInstruments of Financial Stability911Warren BuffetWeapons of Mass Destruction

GreenspanCredit Default SwapCDSCollaterlized Debt ObligationsCDOCredit-Linked NotesCLNEnronGlobal CrossingSwissairRailtrackWorldCom20022004Prevented a Collapse in the Banking Industry

CDO

CDO VS. CDO

Cash CDOSynthetic DO

CDO1995 VS. 2005

CDOCDO125029009.6%2005CDO15CDO

CDOCDOCDO1.5%~1.75%0.4%3Merril LynchCitibankCDO

CDOALibor1520AALibor14020Christopher RicciardiCDO20

CDOCDODelphi GLG Partners

Warren BuffetHedge FundCDOCDSBig Sellers of Credit Protection

Warren BuffetDelphiCDO127 CDO39 CDO DelphiMajor CompanyCDS