Lützenkirchen, Kristina; Rösch, Daniel; Scheule, Harald - In: European Journal of Operational Research 237 (2014) 1, pp. 289-302
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)...