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论文作者:留学生论文论文属性:硕士毕业论文 dissertation登出时间:2010-08-19编辑:vshellyn点击率:10520
论文字数:9500论文编号:org201008192324224266语种:英语 English地区:中国价格:$ 88
关键词:Empirical EvidenceUS Bank Holding Companiesmanagement
Does Securitization Reduce Credit Risk Taking?
Empirical Evidence from US Bank Holding Companies
Abstract
This study investigates the impact of securitization on the credit-risk taking behavior of
banks. Using US bank holding company data from 2001 to 2007 we find that banks with a
greater balance of outstanding securitized assets choose asset portfolios of lower credit
risk. Examining securitizations by the type of underlying assets we find that the negative
relationship between outstanding securitization and risk taking is primarily driven by
securitizations of mortgages and home equity lines of credit. Securitizations of all other
types of assets, on the other hand, seem to have no significant impact on bank credit-risk
taking behavior. We attribute these results to the recourse commonly provided in
securitization transactions that might alter the risk-taking appetite of the issuing banks
across asset classes. Therefore, we conclude that the net impact of securitization on the
risk-taking behavior of issuing banks, and consequently on the soundness of the banking
system, is ambiguous and will depend on the transactions structure. In particular, it will
depend on the relative magnitude of credit support provided by banks. This leads us to
suggest that banks have typically viewed securitization as a financing rather than a risk
management mechanism.
Keywords: bank; securitization; risk taking
1 Introduction
2 Literature Review
3 Data and Descriptive Statistics
3.1 Data and Sample Selection
3.2 Descriptive Statistics
4 Empirical Specification
5 Empirical Results and Robustness Tests
5.1 Empirical Results
5.2 Robustness Tests
6 Conclusions
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