IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-981-16-1710-2_27.html
   My bibliography  Save this book chapter

Failures in Risk Modelling and Rating Securitized Products

In: The Key Code and Advanced Handbook for the Governance and Supervision of Banks in Australia

Author

Listed:
  • Francesco de Zwart

    (University of Adelaide)

Abstract

Chapter 27 of the Stage 2 Key Code and Advanced Handbook for the governance of Australian major banks examines failures in risk modelling and rating securitized products. This begins with variables for failures in risk models of securitized products – the [NEDRiskModelInfo] (−) variable – including failure to price risk accurately and the consequent reduction in risk management, monitoring and decision-making quality. Similarly, the [EDRiskModelPrice] (−) variable also covers risk modelling of securitized products including the failure to price risk accurately, this time for executive directors. Variables are then constructed based on credit ratings of securitised products for again NEDs and executive directors including conflicts of interest of ratings agencies. We conclude with variables for leverage and off-balance-sheet entities including ‘hidden leverage’ in financial statements and off-balance-sheet entities with the consequent reduction in risk management, monitoring and decision quality and the consequent reduction in the transparency and timing of reporting and internal and external monitoring.

Suggested Citation

  • Francesco de Zwart, 2022. "Failures in Risk Modelling and Rating Securitized Products," Springer Books, in: The Key Code and Advanced Handbook for the Governance and Supervision of Banks in Australia, edition 1, chapter 0, pages 795-803, Springer.
    • Handle: RePEc:spr:sprchp:978-981-16-1710-2_27
    DOI: 10.1007/978-981-16-1710-2_27
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-981-16-1710-2_27. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.