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Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2016

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

Systematic credit risk in securitised mortgage portfolios

Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012659310

Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision

Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27

Persistent link: https://www.econbiz.de/10011438902

Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps

Huang, Jhe-Jheng; So, Leh-Chyan - In: Journal of mathematical finance 8 (2018) 2, pp. 382-407

Persistent link: https://www.econbiz.de/10011874816

Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2015

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...