Capital incentives and adequacy for securitizations

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dc.contributor.author Roesch, D
dc.contributor.author Scheule, H
dc.date.accessioned 2012-10-12T03:35:03Z
dc.date.issued 2012-01
dc.identifier.citation Journal of Banking and Finance, 2012, 36 (S3), pp. 733 - 748
dc.identifier.issn 0378-4266
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/18870
dc.description.abstract This paper analyzes the capital incentives and adequacy of financial institutions for asset portfolio securitizations. The empirical analysis is based on US securitization rating and impairment data. The paper finds that regulatory capital rules for securitizations may be insufficient to cover implied losses during economic downturns such as the Global Financial Crisis. In addition, the rating process of securitizations provides capital arbitrage incentives for financial institutions and may further reduce regulatory capital requirements. These policy-relevant findings assume that the ratings assigned by rating agencies are correct and can be used to build a test for the ability of Basel capital regulations to cover downturn losses.
dc.publisher Elsevier Inc
dc.title Capital incentives and adequacy for securitizations
dc.type Journal Article
dc.description.version Published
dc.parent Journal of Banking and Finance
dc.journal.volume S3
dc.journal.volume 36
dc.journal.number S3 en_US
dc.publocation Netherlands en_US
dc.identifier.startpage 733 en_US
dc.identifier.endpage 748 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.conference 4th IEEE/ACS International Conference on Computer Systems and Applications (AICCSA-06)
dc.for 1502 Banking, Finance and Investment
dc.personcode 112737
dc.personcode 113893
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.date.activity 2006-03-08
dc.location.activity en_US
dc.location.activity Sharjah, U ARAB EMIRATES
dc.description.keywords Bank capital; Financial crisis; Rating; Securitization en_US
dc.description.keywords Science & Technology
dc.description.keywords Technology
dc.description.keywords Computer Science, Artificial Intelligence
dc.description.keywords Computer Science, Theory & Methods
dc.description.keywords Telecommunications
dc.description.keywords Computer Science
dc.description.keywords Bank capital
dc.description.keywords Bank capital
dc.description.keywords Financial crisis
dc.description.keywords Financial crisis
dc.description.keywords Rating
dc.description.keywords Rating
dc.description.keywords Securitization
dc.description.keywords Securitization
dc.description.keywords Bank capital
dc.description.keywords Financial crisis
dc.description.keywords Rating
dc.description.keywords Securitization
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10


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