Capital-neutral securitisation risk weights
A closed-form formula to allocate capital to the tranches of a securitisation is presented
CLICK HERE TO DOWNLOAD THE PDF
Frederic Zana and Eric Rossignol present a new calibration for the risk weights of securitisation instruments using the principle of capital neutrality. This aims to have the sum of the capital requirements on all the tranches of a securitisation transaction equal to the capital requirement of the relevant pool. They use the capital model of the regulator on the pool
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Cutting Edge
Quantcast Master’s Series: Kihun Nam, Monash University
Melbourne-based programme winks at pension fund sector
Quantcast Master’s Series: Petter Kolm, Courant Institute
The NYU programme is taught almost exclusively by elite financial industry practitioners
Quantcast Master’s Series: Laura Ballotta, Bayes Business School
The business school prioritises the teaching of applicable knowledge with a keen eye on the real world
The importance of modelling futures dynamics in commodity index derivatives
Index-based and underlying-based pricing methods for commodity derivatives are presented
Podcast: Iabichino on finance-native neural networks
UBS quant explains how to incorporate financial laws into an AI framework
Quantcast Master’s Series: Dan Stefanica and Jim Gatheral
Baruch College leaders on how they manage the top-ranked quant finance master’s programme
Tomorrow’s Quants: what it takes to be a next-gen modeller
Employers increasingly prize mix of hard and soft skills, Risk.net survey reveals
Supervised similarity for firm linkages
Quantum fidelity is used to capture dependency structures in equity
