Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/123700
Authors: 
Efing, Matthias
Year of Publication: 
2015
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 40/2015
Abstract: 
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral quality among ABS with the same regulatory risk weight. This ABS selection allows banks to increase the return on the capital required for an ABS investment by a factor of four.
Subjects: 
regulatory arbitrage
asset-backed securities
risk-taking
credit ratings
JEL: 
G01
G21
G24
G28
ISBN: 
978-3-95729-208-7
Document Type: 
Working Paper

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