Basel III and Asset Securitization
Joint Authors
Gideon, F.
Mpundu, M.
Mukuddem-Petersen, J.
Petersen, Mark A.
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-19, 19 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-12-04
Country of Publication
Egypt
No. of Pages
19
Main Subjects
Abstract EN
Asset securitization via special purpose entities involves the process of transforming assets into securities that are issued to investors.
These investors hold the rights to payments supported by the cash flows from an asset pool held by the said entity.
In this paper, we discuss the mechanism by which low- and high-quality entities securitize low- and high-quality assets, respectively, into collateralized debt obligations.
During the 2007–2009 financial crisis, asset securitization was seriously inhibited.
In response to this, for instance, new Basel III capital and liquidity regulations were introduced.
Here, we find that we can explicitly determine the transaction costs related to low-quality asset securitization.
Also, in the case of dynamic and static multipliers, the effects of unexpected negative shocks such as rating downgrades on asset price and input, debt obligation price and output, and profit will be quantified.
In this case, we note that Basel III has been designed to provide countercyclical capital buffers to negate procyclicality.
Moreover, we will develop an illustrative example of low-quality asset securitization for subprime mortgages.
Furthermore, numerical examples to illustrate the key results will be provided.
In addition, connections between Basel III and asset securitization will be highlighted.
American Psychological Association (APA)
Mpundu, M.& Petersen, Mark A.& Mukuddem-Petersen, J.& Gideon, F.. 2013. Basel III and Asset Securitization. Discrete Dynamics in Nature and Society،Vol. 2013, no. 2013, pp.1-19.
https://search.emarefa.net/detail/BIM-472436
Modern Language Association (MLA)
Mpundu, M.…[et al.]. Basel III and Asset Securitization. Discrete Dynamics in Nature and Society No. 2013 (2013), pp.1-19.
https://search.emarefa.net/detail/BIM-472436
American Medical Association (AMA)
Mpundu, M.& Petersen, Mark A.& Mukuddem-Petersen, J.& Gideon, F.. Basel III and Asset Securitization. Discrete Dynamics in Nature and Society. 2013. Vol. 2013, no. 2013, pp.1-19.
https://search.emarefa.net/detail/BIM-472436
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-472436