Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/168296
Authors: 
Wilde, Christian
Krahnen, Jan Pieter
Year of Publication: 
2017
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Financial Regulation III D16-V3
Abstract: 
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.
JEL: 
G2
Document Type: 
Conference Paper

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