The Basle scuritisation framework explained: The regulatory treatment of asset securitisation
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.
|Date of creation:||2005|
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- Andreas A. Jobst, 2002.
"Collateralized Loan Obligations (CLOs) – A Primer,"
Working Paper Series: Finance and Accounting
96, Department of Finance, Goethe University Frankfurt am Main.
- Jobst, Andreas A., 2002. "Collateralised loan obligations (CLOs): A primer," CFS Working Paper Series 2002/13, Center for Financial Studies (CFS).
- Besanko, David & Kanatas, George, 1996. "The Regulation of Bank Capital: Do Capital Standards Promote Bank Safety?," Journal of Financial Intermediation, Elsevier, vol. 5(2), pages 160-183, April. Full references (including those not matched with items on IDEAS)
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