This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on … with the highest yield and the lowest collateral performance among ABS with the same regulatory risk weight. This reaching …

This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on …

yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this …

. Recent research has used variation induced by these rules to investigate the connection between securitization and lender … moral hazard problem posed by securitization. …

via early warning systems. We analyzed the performance of structured finance ratings and structured finance issuance … theoretical models and a survey of institutions involved in securitization. With the conclusions of this analysis we evaluate the …

credit risk transfer instrument and to increase performance, while European originators focus on regulatory capital arbitrage … and performance improvement. For German banks securitization seems to be an appropriate funding tool. The proposed …. -- regulatory arbitrage ; securitization ; subprime crisis ; ABS ; credit risk transfer ; Basel III ; liquidity …

securitization or if they choose vertical slice retention instead of retaining the equity tranche. Moreover, the relevance of credit …

research has hypothesized that these cutoff rules result from a securitization rule of thumb. Under this theory, an observed … jump in defaults at the cutoff would imply that securitization led to lax screening. We argue instead that originators … that securitization caused lax screening. We examine loan-level data and find that the evidence is inconsistent with the …