Luetzenkirchen, Kristina and Roesch, Daniel and Scheule, Harald (2014) Asset portfolio securitizations and cyclicality of regulatory capital. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 237 (1). pp. 289-302. ISSN 0377-2217, 1872-6860
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This paper analyzes the level and cyclicality of regulatory bank capital for asset portfolio securitizations in relation to the cyclicality of capital requirements for the underlying loan portfolio as under Basel We find that the cyclicality of capital requirements is higher for (i) asset portfolio securitizations relative to primary loan portfolios, (ii) Ratings Based Approach (RBA) relative to the Supervisory Formula Approach, (iii) given the RBA for a point-in-time rating methodology relative to a rate-and-forget rating methodology, and (iv) under the passive reinvestment rule relative to alternative rules. Capital requirements of the individual tranches reveal that the volatility of aggregated capital charges for the securitized portfolio is triggered by the most senior tranches. This is due to the fact that senior tranches are more sensitive to the macroeconomy. An empirical analysis provides evidence that current credit ratings are time-constant and that economic losses for securitizations have exceeded the required capital in the recent financial crisis. (C) 2014 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | BUSINESS-CYCLE; RATING AGENCIES; BASEL-II; PROCYCLICALITY; PROBABILITIES; REQUIREMENTS; MODELS; OPTIMIZATION; SIMULATION; DEFAULT; Asset-backed security; Economic downturn; Impairment; Regulation; Regulatory capital; Mortgage-backed security |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 30 Aug 2019 12:46 |
| Last Modified: | 30 Aug 2019 12:46 |
| URI: | https://pred.uni-regensburg.de/id/eprint/9740 |
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