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Ratings Based Capital Adequacy for Securitizations

Lützenkirchen, Kristina ; Rösch, Daniel ; Scheule, Harald



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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