The search found 2 results in 0.046 seconds.
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 re ect this exposure. The analysis is based on...
This paper analyses the systemic risk in relation to bank lending for Asian economies. The methodology complements existing market-based systemic risk measures by providing measures based on accounting information that regulators typically collect. Loan loss provisions of banks are decomposed into (i) a prediction component...