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The regulatory treatment of asset securitisation: The Basel Securitisation Framework explained

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Author Info

  • Andreas Jobst

Abstract

This paper provides a comprehensive overview of the gradual evolution of the supervisory policy adopted by the Basel Committee for the regulatory treatment of asset securitisation. The pathology of the new “securitisation framework” is carefully highlighted to facilitate a general understanding of what constitutes the current state of computing adequate capital requirements for securitised credit exposures. Although a simplified sensitivity analysis of the varying levels of capital charges depending on the security design of asset securitisation transactions is incorporated, the author does not engage in a profound analysis of the benefits and drawbacks implicated in the new securitisation framework.

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Bibliographic Info

Article provided by Emerald Group Publishing in its journal Journal of Financial Regulation and Compliance.

Volume (Year): 13 (2005)
Issue (Month): 1 (February)
Pages: 15-42

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Handle: RePEc:eme:jfrcpp:v:13:y:2005:i:1:p:15-42

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Related research

Keywords: Asset securitisation; Banking regulation; Basel 2; Basel committee; Regulatory capital requirements; Supervisory formula;

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Cited by:
  1. Affinito, Massimiliano & Tagliaferri, Edoardo, 2010. "Why do (or did?) banks securitize their loans? Evidence from Italy," Journal of Financial Stability, Elsevier, vol. 6(4), pages 189-202, December.
  2. Vink, Dennis, 2007. "An Empirical Analysis of Asset-Backed Securitization," MPRA Paper 10382, University Library of Munich, Germany, revised 25 Aug 2008.
  3. Iancu, Aurel, 2013. "Financialisation: Structure, Extent, Consequences," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 172-192, June.
  4. IANCU, Aurel, 2013. "Extending Financialisation and Increasing Fragility of the Financial System," Working Papers of National Institute of Economic Research 130307, National Institute of Economic Research.
  5. Massimiliano Affinito & Edoardo Tagliaferri, 2010. "Why do (or did?) banks securitize their loans? Evidence from Italy," Temi di discussione (Economic working papers) 741, Bank of Italy, Economic Research and International Relations Area.

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