This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model …, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of … Carlo Simulation, we find that the risk properties of ABS differ significantly and systematically from those of straight …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of …

This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model …, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of … Carlo Simulation, we find that the risk properties of ABS differ significantly and systematically from those of straight …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of …

banks' risk-weighted assets were massively gamed by large banks, which engaged in various forms of regulatory arbitrage to …

level of risk. We investigate how the introduction of Crisis Contracts changes the equilibrium level of risk-taking and the …

, 2007), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback …