Arbeitspapier
Arbitraging the Basel securitization framework: Evidence from German ABS investment
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.
- ISBN
-
978-3-95729-208-7
- Sprache
-
Englisch
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 40/2015
- Klassifikation
-
Wirtschaft
Financial Crises
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
regulatory arbitrage
asset-backed securities
risk-taking
credit ratings
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Efing, Matthias
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Efing, Matthias
- Deutsche Bundesbank
Entstanden
- 2015
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