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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...

Persistent link: https://www.econbiz.de/10011391709

The association of SFAS 166/167 and cost of equity capital : evidence from banks

Zhao, Qiuhong; Forgione, Dana A. - In: Journal of financial management, markets and institutions 9 (2021) 1, pp. 2150001-1-2150001-32

Persistent link: https://www.econbiz.de/10012663775

Essays on marketability of loans

Hänsel, Dennis N. - 2007

Persistent link: https://www.econbiz.de/10003751638

Securitization and bank efficiency

Chen, Zhizhen; Liu, Hong; Peng, Jin; Zhang, Haofei; … - In: Empirical research in banking and corporate finance, (pp. 191-222). 2022

Persistent link: https://www.econbiz.de/10013449358

Time-varying systematic and idiosyncratic risk exposures of US bank holding companies

Bessler, Wolfgang; Kurmann, Philipp; Nohel, Tom - In: Journal of international financial markets, … 35 (2015), pp. 45-68

Persistent link: https://www.econbiz.de/10011474687

Bank bailouts and bank-sovereign risk contagion channels

Stângă, Irina M. - In: Journal of international money and finance 48 (2014), pp. 17-40

Persistent link: https://www.econbiz.de/10010464008

Contagion risk for Australian banks from global systemically important banks : evidence from extreme events

Akhter, Selim; Daly, Kevin James - In: Economic modelling 63 (2017), pp. 191-205

Persistent link: https://www.econbiz.de/10011813475

An empirical test of Basel risk weights applied to securitisation

Batchvarov, Alexander (contributor) - In: Structured credit products : pricing, rating, risk …, (pp. 363-388). 2004

Persistent link: https://www.econbiz.de/10003283291

Arbitraging the Basel Securitization Framework : evidence from German ABS investment

Efing, Matthias - 2014

yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this … of collateral delinquency and lose value. Differences in bank sophistication, market power, or incentives to retain …

Persistent link: https://www.econbiz.de/10011293796

Testing the procyclicality and financial stability of Islamic banking industry

Masood, Omar; Javaria, Kiran - In: Journal of Islamic financial studies 7 (2021) 1, pp. 41-49

Persistent link: https://www.econbiz.de/10012592516

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