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Category: Securitisation

August 2024

European Competitiveness and Securitisation Regulations
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July 2024

Calibration of a Securitisation Capital Floor
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May 2024

Rethinking the Securitisation Risk Weight Floor
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November 2022

Impact of the SA Output Floor on the European Securitisation Market
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November 2022

Comparing CB, ABS and Corporate Bond Liquidity
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November 2022

Issuer Perspectives: Regulatory Impact on Issuance
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July 2022

Reviving Securitisation in Europe
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June 2022

Risk Analysis for Securitisation Portfolios
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April 2022

Comparing ABS and Covered Bond Liquidity
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March 2022

ABS and Covered Bond Risk and Solvency II Capital Charges
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November 2021

Risk Transfer for Multilateral Development Banks: Obstacles and Potential
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February 2020

Lectures on Securitisation: Regulation and Practice
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July 2019

Top-down and Performance-based SME Probabilities of Default
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September 2018

Implementation of SEC-IRBA by European Banks
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July 2016

Solvency II Capital Calibration for Securitisations
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July 2016

The 5 Percent Securitisation Retention Threshold – A Short Technical History
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October 2015

Comments on the Commission’s Proposals for Reviving the European Securitisation Market
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August 2015

The EBA’s Proposed Capital Rules for Qualifying Securitisations
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June 2015

How European securitisation could assist SME financing
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April 2015

Default Probability Risk and Securitisation Capital
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April 2015

Response to BCBS Consultation on Revised Credit Risk SA
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February 2015

Response to BCBS-IOSCO Consultation
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February 2015

Comment on Antoniades and Tarashev
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December 2014

How to Revive the European Securitisation Market: a Proposal for a European SSFA
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December 2014

AFA Capital – An Introduction
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September 2014

Securitisation Purchases by the ECB – What is “Senior Enough”?
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August 2014

Quantitative Impacts of BCBS 269 Securitisation Capital Approaches
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July 2014

High Quality Securitisation: An Empirical Analysis of the PCS Definition
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April 2014

Calibration of the CMA and Regulatory Capital for Securitisations
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March 2014

Calibration of the Simplified Supervisory Formula Approach
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February 2014

Reducing the Reliance of Securitisation Capital on Agency Ratings
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January 2014

Covered Bond versus ABS Liquidity
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September 2013

Granularity, Heterogeneity and Securitisation Capital
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September 2013

Maturity Effects in Securitisation Capital: Total Capital Levels and Dispersion Across Tranches
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June 2013

The Simplified Arbitrage-Free Approach
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April 2013

A Principles-Based Approach to Regulatory Capital for Securitisations
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May 2008

Determinants of Asset-Backed Security Prices in Crisis Periods
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March 2008

Dynamic Pricing of Synthetic Collateralized Debt Obligations
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April 2006

Securitisations in Basel II 
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December 2005

Hedging and Asset Allocation for Structured Products 
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June 2004

Capital for Structured Products 
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May 2004

How Risky are Structured Exposures Compared to Corporate Bonds? 
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