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:

Roesch, D & Scheule, HH 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, 'Systematic credit risk in securitised mortgage portfolios'.

Löhr, S, Claussen, A, Roesch, D & Scheule, HH 2013, '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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FOR Codes: Financial Institutions (incl. Banking), Finance Services, Financial institutions (incl. banking)

Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.