ABS industry expands on new capital proposal

A securitization industry working group that is devising an alternative to the Basel Committee on Banking Supervision’s securitization capital framework has released two pieces of research that it says support its proposals. The papers show how the group’s Arbitrage Free Approach can be adjusted for lower pool granularity or greater asset heterogeneity, or change capital requirements to take into account different maturities.

  • By Joseph McDevitt
  • 04 Oct 2013
The two papers add to the working group’s AFA and Simplified Arbitrage Free Approach (SAFA), unveiled in March and June, respectively. The group, which consists of securitization specialists from investment banks working alongside risk modelling specialists Risk Control Limited, has met with the Basel work stream, the European ...

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