the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

Securitizations in Basel II

by William Perraudin of Imperial College and Risk Control Limited

April 2006

Abstract: This article describes the Basel II capital rules for securitization exposures, explaining (i) the considerations that influenced regulators' decisions, (ii) the approaches for calculating capital and how banks will apply them, (iii) the financial engineering that underlies the different approaches and (iv) the likely impact of the new system.

Keywords: Basel II.

Books Referenced in this paper:  (what is this?)

Download paper (246K PDF) 25 pages

Most Cited Books within Supervisory Papers