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http://hdl.handle.net/10419/25414
  
Title:The Basle scuritisation framework explained: The regulatory treatment of asset securitisation PDF Logo
Authors:Jobst, Andreas A.
Issue Date:2005
Series/Report no.:CFS Working Paper 2004/21
Abstract: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.
Subjects:Banking Regulation
Asset Securitisation
Basle Committee
Basle 2
JEL:E58
G21
G24
K23
L51
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-10725
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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