Wymogi kapitałowe z tytułu sekurytyzacji w świetle nowej umowy kapitałowej (Bazylea II)
Capital requirements for securitisation in terms of the new capital agreement (Basel II)

Summary/Abstract: The main type of risk which has to be taken into account in the activities of the bank is the credit risk. Therefore the capital requirement of this title is the largest component in the total capital requirements. The Financial Supervisory Commission defines general rules for determining this requirement in its resolutions. The most important of them is 380/2008 with further updates. The guidelines contained in these resolutions also apply to securitisation − annex 18, which this article is devoted to. Based on the above cited resolution general concepts, process and capital requirements for securitisation will be presented. The standard method and external ratings calculation of capital requirements for credit risk will be shown too.

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