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Asset portfolio securitizations and cyclicality of regulatory capital

Lützenkirchen, Kristina ; Rösch, Daniel ; Scheule, Harald



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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