FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3121501885> ?p ?o ?g. }

• W3121501885 endingPage "5247" @default.
• W3121501885 startingPage "5236" @default.
• W3121501885 abstract "This paper develops a framework to measure the exposure to systematic risk for pools of asset securitizations and measures empirically whether current ratings-based rules for regulatory capital of securitizations under Basel II and Basel III reflect this exposure. The analysis is based on a comprehensive US dataset on asset securitizations for the time period between 2000 and 2008. We find that the shortfall of regulatory capital during the Global Financial Crisis is strongly related to ratings. In particular, we empirically show that insufficient capital is allocated to tranches with the highest rating. These tranches account for the greatest part of the total issuance volumes. Furthermore, this paper is the first to calibrate risk weights which account for systematic risk and provide sufficient capital buffers to cover the exposure during similar economic downturns. These policy-relevant findings suggest a re-calibration of RBA risk weights and may contribute to the current efforts by the Basel Committee on Banking Supervision and others to re-establish sustainable securitization markets and to improve the stability of the financial system." @default.
• W3121501885 created "2021-02-01" @default.
• W3121501885 creator A5018318377 @default.
• W3121501885 creator A5019139847 @default.
• W3121501885 creator A5061354725 @default.
• W3121501885 date "2013-12-01" @default.
• W3121501885 modified "2023-09-29" @default.
• W3121501885 title "Ratings based capital adequacy for securitizations" @default.
• W3121501885 cites W1507144867 @default.
• W3121501885 cites W1550544408 @default.
• W3121501885 cites W1975638738 @default.
• W3121501885 cites W1994478130 @default.
• W3121501885 cites W1995044330 @default.
• W3121501885 cites W2052059047 @default.
• W3121501885 cites W2065687947 @default.
• W3121501885 cites W2098291543 @default.
• W3121501885 cites W2104018975 @default.
• W3121501885 cites W2105039658 @default.
• W3121501885 cites W2111266113 @default.
• W3121501885 cites W2122492772 @default.
• W3121501885 cites W2145284181 @default.
• W3121501885 cites W2152082349 @default.
• W3121501885 cites W2236849457 @default.
• W3121501885 cites W3121143455 @default.
• W3121501885 cites W3121961311 @default.
• W3121501885 cites W3122788129 @default.
• W3121501885 cites W3123153597 @default.
• W3121501885 cites W3124220470 @default.
• W3121501885 cites W3124773624 @default.
• W3121501885 cites W3125041422 @default.
• W3121501885 cites W3125676824 @default.
• W3121501885 cites W3125931258 @default.
• W3121501885 cites W3126034838 @default.
• W3121501885 cites W4232974987 @default.
• W3121501885 doi "https://doi.org/10.1016/j.jbankfin.2013.04.021" @default.
• W3121501885 hasPublicationYear "2013" @default.
• W3121501885 type Work @default.
• W3121501885 sameAs 3121501885 @default.
• W3121501885 citedByCount "3" @default.
• W3121501885 countsByYear W31215018852015 @default.
• W3121501885 countsByYear W31215018852016 @default.
• W3121501885 countsByYear W31215018852017 @default.
• W3121501885 crossrefType "journal-article" @default.
• W3121501885 hasAuthorship W3121501885A5018318377 @default.
• W3121501885 hasAuthorship W3121501885A5019139847 @default.
• W3121501885 hasAuthorship W3121501885A5061354725 @default.
• W3121501885 hasConcept C10138342 @default.
• W3121501885 hasConcept C107584723 @default.
• W3121501885 hasConcept C112846952 @default.
• W3121501885 hasConcept C139719470 @default.
• W3121501885 hasConcept C144133560 @default.
• W3121501885 hasConcept C162118730 @default.
• W3121501885 hasConcept C162324750 @default.
• W3121501885 hasConcept C166957645 @default.
• W3121501885 hasConcept C16969640 @default.
• W3121501885 hasConcept C175444787 @default.
• W3121501885 hasConcept C181168301 @default.
• W3121501885 hasConcept C181622380 @default.
• W3121501885 hasConcept C2778300220 @default.
• W3121501885 hasConcept C2779812064 @default.
• W3121501885 hasConcept C2780619108 @default.
• W3121501885 hasConcept C2780759654 @default.
• W3121501885 hasConcept C2864544 @default.
• W3121501885 hasConcept C29122968 @default.
• W3121501885 hasConcept C2992337254 @default.
• W3121501885 hasConcept C38652104 @default.
• W3121501885 hasConcept C41008148 @default.
• W3121501885 hasConcept C44750222 @default.
• W3121501885 hasConcept C57495647 @default.
• W3121501885 hasConcept C58202505 @default.
• W3121501885 hasConcept C73283319 @default.
• W3121501885 hasConcept C76178495 @default.
• W3121501885 hasConcept C80212096 @default.
• W3121501885 hasConcept C83646750 @default.
• W3121501885 hasConcept C95457728 @default.
• W3121501885 hasConceptScore W3121501885C10138342 @default.
• W3121501885 hasConceptScore W3121501885C107584723 @default.
• W3121501885 hasConceptScore W3121501885C112846952 @default.
• W3121501885 hasConceptScore W3121501885C139719470 @default.
• W3121501885 hasConceptScore W3121501885C144133560 @default.
• W3121501885 hasConceptScore W3121501885C162118730 @default.
• W3121501885 hasConceptScore W3121501885C162324750 @default.
• W3121501885 hasConceptScore W3121501885C166957645 @default.
• W3121501885 hasConceptScore W3121501885C16969640 @default.
• W3121501885 hasConceptScore W3121501885C175444787 @default.
• W3121501885 hasConceptScore W3121501885C181168301 @default.
• W3121501885 hasConceptScore W3121501885C181622380 @default.
• W3121501885 hasConceptScore W3121501885C2778300220 @default.
• W3121501885 hasConceptScore W3121501885C2779812064 @default.
• W3121501885 hasConceptScore W3121501885C2780619108 @default.
• W3121501885 hasConceptScore W3121501885C2780759654 @default.
• W3121501885 hasConceptScore W3121501885C2864544 @default.
• W3121501885 hasConceptScore W3121501885C29122968 @default.
• W3121501885 hasConceptScore W3121501885C2992337254 @default.
• W3121501885 hasConceptScore W3121501885C38652104 @default.
• W3121501885 hasConceptScore W3121501885C41008148 @default.
• W3121501885 hasConceptScore W3121501885C44750222 @default.
• W3121501885 hasConceptScore W3121501885C57495647 @default.

• next