Technical paper/Securitisation

Cutting Edge

Capital-neutral securitisation risk weights

A closed-form formula to allocate capital to the tranches of a securitisation is presented

02 Sep 2025

Futuristic digital geology terrain, digital data telemetry and engineer topography with contour lines. 3D wireframe cartography concept.

Original research

Multirating decision model validation: the relevance of the quality of securitization issues

30 Sep 2013

Credit risk

Dealing with seller's risk

01 Oct 2006

Risk management

Credit risk measurement of securitisation structures

11 Sep 2002

Risk management

Credit risk in asset securitisations: an analytical model

How much capital should banks reserve against investments in portfolio securitisations? Asserting that recent proposals on this subject by Basel are inconsistent, Michael Pykhtin and Ashish Dev propose a new analytical model suitable for tranches of…

01 May 2002

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