The regulatory treatment of asset securitisation: The Basel Securitisation Framework explained
Journal of Financial Regulation and Compliance
ISSN: 1358-1988
Article publication date: 1 March 2005
Abstract
This paper provides a comprehensive overview of the gradual evolution of the supervisory policy adopted by the Basel Committee for the regulatory treatment of asset securitisation. The pathology of the new “securitisation framework” is carefully highlighted to facilitate a general understanding of what constitutes the current state of computing adequate capital requirements for securitised credit exposures. Although a simplified sensitivity analysis of the varying levels of capital charges depending on the security design of asset securitisation transactions is incorporated, the author does not engage in a profound analysis of the benefits and drawbacks implicated in the new securitisation framework.
Keywords
Citation
Jobst, A. (2005), "The regulatory treatment of asset securitisation: The Basel Securitisation Framework explained", Journal of Financial Regulation and Compliance, Vol. 13 No. 1, pp. 15-42. https://doi.org/10.1108/13581980510622054
Publisher
:Emerald Group Publishing Limited
Copyright © 2005, Emerald Group Publishing Limited