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This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...
Persistent link: https://www.econbiz.de/10003864303
In der vorliegenden Arbeit wird untersucht, ob regulatorische Kapitalarbitrage durch Verbriefung nach Basel II … Arbeit. Im Rahmen der internationalen Finanzkrise wurde bei der IKB analysiert, inwieweit regulatorische Vorschriften versagt …
Persistent link: https://www.econbiz.de/10003917617
understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main … to securitize that are in line with observable behavior of market participants. US banks use securitization mainly as … and performance improvement. For German banks securitization seems to be an appropriate funding tool. The proposed …
Persistent link: https://www.econbiz.de/10008907723
securitization or if they choose vertical slice retention instead of retaining the equity tranche. Moreover, the relevance of credit …
Persistent link: https://www.econbiz.de/10009569587
Persistent link: https://www.econbiz.de/10009259872
improved access to securitization as a form of market-based financial intermediation. The practical implication would be a … article also examines how credit risk transfer and regulatory incentives to securitization will be re-assessed beyond the …
Persistent link: https://www.econbiz.de/10013124791
that banks used this form of securitization to concentrate, rather than disperse, financial risks in the banking sector …
Persistent link: https://www.econbiz.de/10013148006
that banks used this form of securitization to concentrate, rather than disperse, financial risks in the banking sector …
Persistent link: https://www.econbiz.de/10012462921
This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...
Persistent link: https://www.econbiz.de/10003878794
This article describes the Basel II capital rules for securitization exposures, explaining the considerations that …
Persistent link: https://www.econbiz.de/10014175590