Systematic credit portfolio risk and implications on regulations for bank capitals and securitisation ratings - CIFR Project

Project Member(s): Scheule, H.

Funding or Partner Organisation: Department of the Treasury (Centre of Excellence for International Finance and Regulation Consortium)

Start year: 2012

Summary: This project analyses (i) the risk of credit portfolios and securitisations for authorised deposit-taking institutions (ADIs) and lenders' mortgage insurers (LMIs) with a focus on mortgages; (ii) institution capital and reserves; (iii) risks of asset-backed securities and covered bonds; and (iv) implications on regulations implemented by the Australian Prudential Regulation Authority (APRA).

Publications:

Claussen, A, Löhr, S, Rösch, D & Scheule, H 2017, 'Valuation of systematic risk in the cross-section of credit default swap spreads', Quarterly Review of Economics and Finance, vol. 64, pp. 183-195.
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Rösch, D & Scheule, H 2016, 'Systematic credit risk and pricing for fixed income instruments', Journal of Fixed Income, vol. 26, no. 1, pp. 42-60.
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Lee, Y, Roesch, D & Scheule, HH 2014, 'Decomposing the Smile: Systematic Credit Risk in Mortgage Portfolios'.

FOR Codes: Financial Institutions (incl. Banking), Finance Services