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The Basle scuritisation framework explained : the regulatory treatment of asset securitisation

Jobst, Andreas A. (contributor) - 2005

Persistent link: https://www.econbiz.de/10002685045

CDOs and systematic risk : why bond ratings are inadequate

Krahnen, Jan Pieter; Wilde, Christian - 2009

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

Securitization without risk transfer

Acharya, Viral V.; Schnabl, Philipp; Suárez, Gustavo A. - 2012

Persistent link: https://www.econbiz.de/10009502459

Securitization and economic activity : the credit composition channel

Bertay, Ata Can; Gong, Di; Wagner, Wolf - 2015

Persistent link: https://www.econbiz.de/10011300187

The future of securitization

Franke, Günter; Krahnen, Jan Pieter - 2008

Securitization is a financial innovation that experiences a boom-bust cycle, as many other innovations before. This … paper analyzes possible reasons for the breakdown of primary and secondary securitization markets, and argues that …/08 ; Bank Regulation ; First Loss Position ; Rating Process ; Securitization ; Transparency …