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Skin in the game in ABS transactions: A critical review of policy options

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  • Wilde, Christian
  • Krahnen, Jan Pieter

Abstract

This paper finds the current regulation of ABS in Europe and the US to be severely flawed with respect to its key intention: the imposition of a strict loss retention requirement. While nominal retention is always 5%, the true level of loss retention varies dramatically across available retention options. We propose a new risk retention metric RM measuring the level of an issuer’s skin-in-the-game and propose making disclosure of the RM-number compulsory for all ABS transactions.

Suggested Citation

  • Wilde, Christian & Krahnen, Jan Pieter, 2017. "Skin in the game in ABS transactions: A critical review of policy options," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168296, Verein für Socialpolitik / German Economic Association.
  • Handle: RePEc:zbw:vfsc17:168296
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    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services

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