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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

Credit scoring in SME asset-backed securities : an Italian case study

Bedin, Andrea; Billio, Monica; Costola, Michele; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/89, pp. 1-28

We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European DataWarehouse platform and employ a logistic...

Persistent link: https://www.econbiz.de/10012022072

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

Credit scoring in SME asset-backed securities : an Italian case study

Bedin, Andrea; Billio, Monica; Costola, Michele; … - 2019

Persistent link: https://www.econbiz.de/10012111366

Credit derivatives and loan yields

Azam, Nimita; Mamun, Abdullah al; Tannous, George F. - In: The financial review : the official publication of the … 57 (2022) 1, pp. 205-241

Persistent link: https://www.econbiz.de/10012819512

The impact on loan-to-value on the default rate of residential mortgage-backed securities

Otero-González, Luis; Durán-Satomil, Pablo; … - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 1-13

Persistent link: https://www.econbiz.de/10011642638

Comparing securitized and balance sheet loans : size matters

Ghent, Andra C.; Valkanov, Rossen I. - In: Management science : journal of the Institute for … 62 (2016) 10, pp. 2784-2803

Persistent link: https://www.econbiz.de/10011591725

The systemic risk of corporate credit securitization revisited

Lojak, Benjamin; Theobald, Thomas - 2020

a securitization process. Against the background of increased corporate indebtedness, our interest is in quantifying … the U.S., where corporate credit securitization has been reintensified in recent years. Simulations deliver adverse medium …%. Securitization activities above this threshold lead to significant welfare losses from the medium-term onwards. Two transmission …

Persistent link: https://www.econbiz.de/10012224673

CDOs : a critical phenomenon of the financial system in the crisis

Beyer, Karl M.; Bräutigam, Lars - 2013

Persistent link: https://www.econbiz.de/10011777878

Market perception of bank risk and securitization in Spain

Iglesias Casal, Ana; López Penabad, María Celia; … - In: Journal of business economics and management 17 (2016) 1, pp. 92-108

Persistent link: https://www.econbiz.de/10011516815