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RBA Glossary definition for securitisation

securitisation – Asset securitisation is the process of converting a pool of illiquid assets, such as residential mortgages, into tradeable securities.

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Read me file

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
The model detailed in the RDP uses confidential data provided by banks to APRA and from the RBA's Securitisation Dataset. ... Default_settings_function.R generates the default model parameters for each model run. Data_import_functions.R imports the
https://www.rba.gov.au/publications/rdp/2022/2022-03/read-me.html

References

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
Fernandes K and D Jones (2018), ‘The Reserve Bank's Securitisation Dataset’, RBA Bulletin, December.
https://www.rba.gov.au/publications/rdp/2022/2022-03/references.html

Credit Loss Modelling

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
of the dwelling) reported in the Securitisation Dataset (see Fernandes and Jones (2018) for more details). ... Using the HILDA Survey allows the model to include a rich set of personal characteristics that can influence default rates and are not in the
https://www.rba.gov.au/publications/rdp/2022/2022-03/credit-loss-modelling.html

Macrofinancial Stress Testing on Australian Banks

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
2015)) or the Securitisation Dataset. ... of the dwelling) reported in the Securitisation Dataset (see Fernandes and Jones (2018) for more details).
https://www.rba.gov.au/publications/rdp/2022/2022-03/full.html