Capital incentives and adequacy for securitizations

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dc.contributor.author Roesch, Daniel en_US
dc.contributor.author Scheule, Harry en_US
dc.contributor.editor en_US
dc.date.accessioned 2012-10-12T03:35:03Z
dc.date.available 2012-10-12T03:35:03Z
dc.date.issued 2012 en_US
dc.identifier 2010006056 en_US
dc.identifier.citation Rã¶Sch Daniel and Scheule Harald 2012, 'Capital incentives and adequacy for securitizations', Elsevier Inc, vol. 36, no. S3, pp. 733-748. en_US
dc.identifier.issn 0378-4266 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/18870
dc.description.abstract This paper analyzes the capital incentives and adequacy of financial institutions for asset portfolio securitizations. The empirical analysis is based on US securitization rating and impairment data. The paper finds that regulatory capital rules for securitizations may be insufficient to cover implied losses during economic downturns such as the Global Financial Crisis. In addition, the rating process of securitizations provides capital arbitrage incentives for financial institutions and may further reduce regulatory capital requirements. These policy-relevant findings assume that the ratings assigned by rating agencies are correct and can be used to build a test for the ability of Basel capital regulations to cover downturn losses. en_US
dc.language en_US
dc.publisher Elsevier Inc en_US
dc.title Capital incentives and adequacy for securitizations en_US
dc.parent Journal of Banking and Finance en_US
dc.journal.volume 36 en_US
dc.journal.number S3 en_US
dc.publocation Netherlands en_US
dc.identifier.startpage 733 en_US
dc.identifier.endpage 748 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150300 en_US
dc.personcode 113893 en_US
dc.personcode 112737 en_US
dc.percentage 100 en_US
dc.classification.name Business and Management en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Bank capital; Financial crisis; Rating; Securitization en_US
dc.staffid en_US
dc.staffid 112737 en_US


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