Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/193529 
Autor:innen: 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
ESRB Working Paper Series No. 22
Verlag: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Zusammenfassung: 
This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements for ABS. Unlike unconstrained banks they systematically pick the securities with the highest yield and the lowest collateral performance among ABS with the same regulatory risk weight. This reaching for yield allows constrained banks to increase the return on the capital required for an ABS investment by a factor of four.
Schlagwörter: 
Regulatory arbitrage
asset-backed securities
reaching for yield
credit ratings
JEL: 
G01
G21
G24
G28
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-95081-52-9
Dokumentart: 
Working Paper

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