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Asset portfolio securitizations and cyclicality of regulatory capital

Lützenkirchen, Kristina, Rösch, Daniel and Scheule, Harald (2014) Asset portfolio securitizations and cyclicality of regulatory capital. European Journal of Operational Research 237 (1), pp. 289-302.

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Abstract

This paper analyzes the level and cyclicality of regulatory bank capital for asset portfolio securitizations in relation to the cyclicality of capital requirements for the underlying loan portfolio as under Basel II/III. We find that the cyclicality of capital requirements is higher for (i) asset portfolio securitizations relative to primary loan portfolios, (ii) Ratings Based Approach (RBA) ...

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Item type:Article
Date:2014
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Research groups and research centres:Center of Finance
Identification Number:
ValueType
10.1016/j.ejor.2014.01.011DOI
Keywords:Asset-backed security Collateralized debt obligation Economic downturn Regulation Regulatory capital impairment Mortgage-backed security
Dewey Decimal Classification:600 Technology > 650 Management & auxiliary services
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Item ID:29757
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