Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39791
Authors: 
Trinkaus, Gaby
Year of Publication: 
2010
Series/Report no.: 
Discussion Paper Series 2: Banking and Financial Studies 2010,06
Abstract: 
Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a securitized loan as materially non-compliant with certain transaction requirements. Such a loan becomes unqualified for loss allocation. Therefore, non-compliant loans can directly affect transaction performance and the extent of risk transfer achieved with the transaction. The concept of non-compliance is incorporated in many securitizations independent of the underlying assets or structure. In Germany, there are currently no specific regulations regarding this concept. However, a bank can use discretion when classifying a loan as non-compliant and could thus report non-compliant loans strategically. This hypothesis is tested and confirmed based on a unique data set.
Subjects: 
Non-compliance
risk transfer
securitization
JEL: 
G21
G28
ISBN: 
978-3-86558-639-1
Document Type: 
Working Paper

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