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Ratings Based Capital Adequacy for Securitizations

Lützenkirchen, Kristina, Rösch, Daniel and Scheule, Harald (2013) Ratings Based Capital Adequacy for Securitizations. Journal of Banking and Finance 37 (12), pp. 5236-5247.

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Abstract

This paper develops a framework to measure the exposure to systematic risk for pools of asset securitizations and measures empirically whether current ratings-based rules for regulatory capital of securitizations under Basel II and Basel III reflect this exposure. The analysis is based on a comprehensive US dataset on asset securitizations for the time period between 2000 and 2008. We find that ...

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Item type:Article
Date:2013
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1016/j.jbankfin.2013.04.021DOI
Keywords:Asset-backed securities; Basel II and III; Collateralized debt obligations; Economic downturn; Mortgage-backed securities; Home equity loan securities; Ratings-based approach
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:No
Item ID:28302
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