Basel III and Asset Securitization

Table 3

Computed asset securitization parameters.

Parameter	Value
𝐶𝑡+1	43 632
𝑝^𝐴𝑡𝐴𝑡−1	$4 000
Π𝑡≥	$−18 561
𝑥^′𝑡	$−46 319.9995
𝑝^𝐴𝑡𝐴^′𝑡−1	$4 991.8
𝑢𝑡	−0.082261905
Aggregate 𝙱𝑡	$20 340
𝑝^𝐴∗	0.012
𝐴𝑡 under shock	$14 608.15893
𝑢(𝐴𝑡)𝐴𝑡	−1 117.69
(𝑝^𝐴𝑡+𝑝^𝐴∗)𝐴^∗	$4 679
𝐴𝑡	0.565217391
Π^∗𝑡	$462.412
Π𝑡	$−2.1118
𝜂	0.126718931
𝐴𝑡 in terms of shock	0.01
𝐴𝑡 where 𝑝^𝐴𝑡+1=𝑝^𝐴∗	−0.002
𝛽>	0.0099099
Π𝑡	$87
𝑥𝑡	$54 103.6421
Π^′𝑡	$123.5
Π^′𝑡≥	$−51 007
Aggregate 𝐴𝑡	14 601.44865
𝐴	720 000
𝙱^∗	$2 600
𝙱𝑡 under shock	$20 340
(1−Σ)𝜇𝐴^∗	275.448
(1+𝑟^𝙱)𝙱^∗	$3 120
𝑝^𝐴𝑡=𝑝^𝐶𝑡	−0.4588745
Π^∗′	$275.31
Π^′𝑡	$691.124
𝑝^𝐴𝑡 in terms of shock	−0.015782961
𝑝^𝐴𝑡 where 𝑝^𝐴𝑡+1=𝑝^𝐴∗	−0.001434814
𝐶𝑡+1	0.064869