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.

This paper examines the role of Basel Pillar 3 risk reporting in improving market transparency. Pillar 3 reporting requirements vary widely across countries. This study informs regulators and market participants on the efficacy of Pillar 3 risk reporting with several policy implications.