The Basle securitisation 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. JEL Klassifikation: E58, G21, G24, K23, L51. Forthcoming in Journal of Financial Regulation and Compliance, Vol. 13, No. 1 .
| Author: | Andreas A. Jobst |
|---|---|
| URN: | urn:nbn:de:hebis:30-10725 |
| Series (Serial Number): | CFS working paper series (2004, 21) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2005 |
| Year of first Publication: | 2005 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2005/06/13 |
| Tag: | Asset Securitisation; Banking Regulation; Basle 2; Basle Committee |
| GND Keyword: | Basler Eigenkapitalvereinbarung , 2001 |
| Issue: | This Version: March 2005 |
| Note: | First version: January 12, 2004. This Version: March 2005 |
| HeBIS-PPN: | 197407080 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
