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This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...
Persistent link: https://www.econbiz.de/10011391709
This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...
Persistent link: https://www.econbiz.de/10011975264
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This article describes the Basel II capital rules for securitization exposures, explaining the considerations that …
Persistent link: https://www.econbiz.de/10014175590
yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this …
Persistent link: https://www.econbiz.de/10011293796
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