A SECURITIZED POOL OF OPERATING LEASE ASSETS AND ITS RESIDUAL VALUE RISK EVALUATION
Leasing has proved itself as a powerful and effective area for the investment development of individual enterprises and industries. The competition in the market of lease services encourages leasing companies to expand the lease product range and seek alternative sources of financing lease transacti...
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| Format: | Article |
| Language: | Russian |
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Government of the Russian Federation, Financial University
2017-10-01
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| Series: | Финансы: теория и практика |
| Subjects: | |
| Online Access: | https://financetp.fa.ru/jour/article/view/61 |
| _version_ | 1826565333922611200 |
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| author | E. A. Petrova |
| author_facet | E. A. Petrova |
| author_sort | E. A. Petrova |
| collection | DOAJ |
| description | Leasing has proved itself as a powerful and effective area for the investment development of individual enterprises and industries. The competition in the market of lease services encourages leasing companies to expand the lease product range and seek alternative sources of financing lease transactions, of which securitization may become a promising tool. After the transition of the Russian banking system to international standards of capital calculation in the framework of Basel II and Basel III agreements, operations of lease assets securitization will have to meet the capital reservation requirements. Accordingly, the introduction of new standards makes it necessary to analyze their possible impact on the securitization attractiveness to the lessors. By an example of the default data of the securitized Volkswagen pool of operating lease assets the current research proves that the Basel committee’s methodology for the capital requirements definition is excessively conservative in respect of the residual value risk. Current foreign investigations into the subject also consistently express the viewpoint that the leasing industry is characterized by rather high recovery rates. This article proposes a new author’s approach to the residual value risk evaluation modifying the Basel methodology in respect of forming capital requirements upon lease assets securitization. The author’s model has been tested on a Volkswagen securitization transaction. The considered approach is based on the Gumbel copula model. |
| first_indexed | 2024-04-10T02:38:40Z |
| format | Article |
| id | doaj.art-1ab6b91648284d7f8448e1827041e4c3 |
| institution | Directory Open Access Journal |
| issn | 2587-5671 2587-7089 |
| language | Russian |
| last_indexed | 2025-03-14T10:34:06Z |
| publishDate | 2017-10-01 |
| publisher | Government of the Russian Federation, Financial University |
| record_format | Article |
| series | Финансы: теория и практика |
| spelling | doaj.art-1ab6b91648284d7f8448e1827041e4c32025-03-02T11:01:55ZrusGovernment of the Russian Federation, Financial UniversityФинансы: теория и практика2587-56712587-70892017-10-010312713810.26794/2587-5671-2014-0-3-127-13898A SECURITIZED POOL OF OPERATING LEASE ASSETS AND ITS RESIDUAL VALUE RISK EVALUATIONE. A. Petrova0NRU «Higher school of economics»Leasing has proved itself as a powerful and effective area for the investment development of individual enterprises and industries. The competition in the market of lease services encourages leasing companies to expand the lease product range and seek alternative sources of financing lease transactions, of which securitization may become a promising tool. After the transition of the Russian banking system to international standards of capital calculation in the framework of Basel II and Basel III agreements, operations of lease assets securitization will have to meet the capital reservation requirements. Accordingly, the introduction of new standards makes it necessary to analyze their possible impact on the securitization attractiveness to the lessors. By an example of the default data of the securitized Volkswagen pool of operating lease assets the current research proves that the Basel committee’s methodology for the capital requirements definition is excessively conservative in respect of the residual value risk. Current foreign investigations into the subject also consistently express the viewpoint that the leasing industry is characterized by rather high recovery rates. This article proposes a new author’s approach to the residual value risk evaluation modifying the Basel methodology in respect of forming capital requirements upon lease assets securitization. The author’s model has been tested on a Volkswagen securitization transaction. The considered approach is based on the Gumbel copula model.https://financetp.fa.ru/jour/article/view/61securitizationoperating lease assetsresidual value riskcapital requirementsbasel iibasel iiicopula model |
| spellingShingle | E. A. Petrova A SECURITIZED POOL OF OPERATING LEASE ASSETS AND ITS RESIDUAL VALUE RISK EVALUATION Финансы: теория и практика securitization operating lease assets residual value risk capital requirements basel ii basel iii copula model |
| title | A SECURITIZED POOL OF OPERATING LEASE ASSETS AND ITS RESIDUAL VALUE RISK EVALUATION |
| title_full | A SECURITIZED POOL OF OPERATING LEASE ASSETS AND ITS RESIDUAL VALUE RISK EVALUATION |
| title_fullStr | A SECURITIZED POOL OF OPERATING LEASE ASSETS AND ITS RESIDUAL VALUE RISK EVALUATION |
| title_full_unstemmed | A SECURITIZED POOL OF OPERATING LEASE ASSETS AND ITS RESIDUAL VALUE RISK EVALUATION |
| title_short | A SECURITIZED POOL OF OPERATING LEASE ASSETS AND ITS RESIDUAL VALUE RISK EVALUATION |
| title_sort | securitized pool of operating lease assets and its residual value risk evaluation |
| topic | securitization operating lease assets residual value risk capital requirements basel ii basel iii copula model |
| url | https://financetp.fa.ru/jour/article/view/61 |
| work_keys_str_mv | AT eapetrova asecuritizedpoolofoperatingleaseassetsanditsresidualvalueriskevaluation AT eapetrova securitizedpoolofoperatingleaseassetsanditsresidualvalueriskevaluation |