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Ratings based capital adequacy for securitizations

机译：基于评级的证券化资本充足率

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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. The analysis is based on a comprehensive US dataset on asset securitizations for the time period between 2000 and 2008. We find that the shortfall of regulatory capital during the Global Financial Crisis is strongly related to ratings. In particular, we empirically show that insufficient capital is allocated to tranches with the highest rating. These tranches account for the greatest part of the total issuance volumes. Furthermore, this paper is the first to calibrate risk weights which account for systematic risk and provide sufficient capital buffers to cover the exposure during similar economic downturns. These policy-relevant findings suggest a re-calibration of RBA risk weights and may contribute to the current efforts by the Basel Committee on Banking Supervision and others to re-establish sustainable securitization markets and to improve the stability of the financial system.
机译：本文建立了一个框架来衡量资产证券化资产池的系统风险敞口，并根据经验衡量巴塞尔协议II和巴塞尔协议III中基于评级的现行证券化监管资本规则是否反映了这一敞口。该分析基于2000年至2008年期间美国资产证券化的综合数据集。我们发现，全球金融危机期间监管资本的短缺与评级密切相关。特别是，我们根据经验表明，没有足够的资金分配给评级最高的部分。这些档次占总发行量的大部分。此外，本文是第一个校准风险权重的工具，它权衡了系统性风险并提供了足够的资本缓冲来弥补类似经济下滑时期的风险敞口。这些与政策相关的发现建议重新调整RBA风险权重，并可能有助于巴塞尔银行监管委员会和其他机构当前的努力，以重新建立可持续的证券化市场并改善金融体系的稳定性。

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