Andreas Jobst () (Federal Deposit Insurance Corporation (FDIC), Center for Financial Research (CFR), 550 17th Street NW, Washington, DC 20429, USA; London School of Economics and Political Science (LSE), Dept. of Finance and Accounting and Financial Markets Group (FMG); J.W. Goethe-Universität Frankfurt am Main, Dept. of Finance)
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The paper provides a comprehensive overview of the gradual evolution of the supervisory policy adopted by the Basle Committee for the regulatory treatment of asset securitisation. We carefully highlight the pathology of the new “securitisation framework” to facilitate a general understanding of what constitutes the current state of computing adequate capital requirements for securitised credit exposures. Although we incorporate a simplified sensitivity analysis of the varying levels of capital charges depending on the security design of asset securitisation transactions, we do not engage in a profound analysis of the benefits and drawbacks implicated in the new securitisation framework.
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Paper provided by Center for Financial Studies in its series CFS Working Paper Series with number
2004/21.
Length: 36 pages Date of creation: 21 Jan 2004 Date of revision: Handle: RePEc:cfs:cfswop:wp200421
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Find related papers by JEL classification: E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage K23 - Law and Economics - - Regulation and Business Law - - - Regulated Industries and Administrative Law L51 - Industrial Organization - - Regulation and Industrial Policy - - - Economics of Regulation
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