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Comment on the proposed CRD amendment on significant risk transfer

Author

Listed:
  • Marc Peters
  • Hugues Pirotte

Abstract

This paper is an opinion on the public consultation on possible changes to the Capital Requirements Directive1 and more particularly on the Annex IX Part 2 (item 10 on the Technical Amendments to Directive 2006/48/Ec), related to the significance of the risk transfer in the context of securitisation operations. It will demonstrate that the onus should be put on an economic approach to significant risk transfer rather than a mechanical approach, the latter being less capable of apprehending the various risk profiles a securitisation transaction might take.

Suggested Citation

  • Marc Peters & Hugues Pirotte, 2008. "Comment on the proposed CRD amendment on significant risk transfer," Working Papers CEB 08-021.RS, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:sol:wpaper:08-021
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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/14645/1/rou-0231.pdf
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    More about this item

    Keywords

    Securitisation; significant credit risk transfer.;

    JEL classification:

    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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