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Wilde, Christian
Krahnen, Jan Pieter
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Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Financial Regulation III D16-V3
This paper finds the current regulation of ABS in Europe and the US to be severely flawed with respect to its key intention: the imposition of a strict loss retention requirement. While nominal retention is always 5%, the true level of loss retention varies dramatically across available retention options. We propose a new risk retention metric RM measuring the level of an issuer’s skin-in-the-game and propose making disclosure of the RM-number compulsory for all ABS transactions.
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Conference Paper
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