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).
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.
View/Download from: UTS OPUS or Publisher's site
Lee, Y, Roesch, D & Scheule, HH 2014, 'Decomposing the Smile: Systematic Credit Risk in Mortgage Portfolios'.
FOR Codes: Financial Institutions (incl. Banking), Finance Services