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 …

using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the … investigated the impact of these methods on the pricing of securitization tranches and found that investors adjust the risk premium …

show that agencies publish better ratings for those issuers that provide them with more bilateral securitization business …

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the … present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing … considerably increased sensitivity to systematic risks. This has farreaching consequences for risk management, pricing and …