Lützenkirchen, Kristina; Rösch, Daniel; Scheule, Harald - In: Journal of Banking & Finance 37 (2013) 12, pp. 5236-5247
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...