Lützenkirchen, Kristina, Rösch, Daniel and Scheule, Harald (2013) Ratings Based Capital Adequacy for Securitizations. Journal of Banking and Finance 37 (12), pp. 5236-5247.
Full text not available from this repository.
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 ...
Export bibliographical data
| Item type: | Article | ||||
|---|---|---|---|---|---|
| Date: | 2013 | ||||
| Institutions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) | ||||
| Identification Number: |
| ||||
| 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 |
Owner only: item control page
Altmetric