scholarly journals Credit Risk Transfer: To Sell or to Insure

Author(s):  
James R. Thompson
2009 ◽  
Author(s):  
Giovanni Calice ◽  
Christos Ioannidis ◽  
Julian M. Williams

2016 ◽  
Vol 15 (3) ◽  
pp. 317-328 ◽  
Author(s):  
Nesrine Bensalah ◽  
Hassouna Fedhila

Purpose The purpose of this paper is to investigate the reasons that urge US banks to securitize. Design/methodology/approach The authors apply a logistic regression model to a sample of 5,394 observations. The dependent variable takes 1 if the bank securitizes and 0 if not. The authors use also, a Heckman selection model to account for the potential dependence between the decision to securitize and the decision of which assets to securitize. Findings The results indicate that liquidity, credit risk transfer, regulatory capital arbitrage and profitability are the most important factors that drive securitization in the USA. Moreover, the nature of the asset securitized appears to be dependent on the objective that the bank pursues. For funding and capital arbitrage objectives, the bank needs to securitize its mortgage loans. However, for credit risk transfer purposes, it has to opt for a non mortgage securitization. The nature of the asset securitized can thus, be used as a signal for bank’s intentions to securitize. Originality/value This study contributes to a better understanding of the reasons that urge banks to securitize. It also presents, using a Heckman selection procedure, a detailed analysis that discriminates between different types of securitization.


2010 ◽  
Vol 19 (3) ◽  
pp. 308-332 ◽  
Author(s):  
Hendrik Hakenes ◽  
Isabel Schnabel

2006 ◽  
Vol 53 (1) ◽  
pp. 89-111 ◽  
Author(s):  
Franklin Allen ◽  
Elena Carletti

2019 ◽  
Vol 14 (1) ◽  
pp. 95-113
Author(s):  
Oladokun Nafiu Olaniyi ◽  
◽  
Shamsul Kamariah Abdullah ◽  
Charmele Ayadurai ◽  

The present paper examines factors influencing the Off-Balance Sheet activities of selected commercial banks in Malaysia for the period 2004- 2014. OBS activities are an integral part of financial institutions in response to the needs of businesses for different types of guarantee that have conflicting implications on the stability of financial institutions. Data collected on selected banks from the Bankscope database was analyzed using the Generalized Method of Moments (GMM) regression. Specifically, the study built its analysis on three main recognized determining factors namely: (1) liquidity motives, (2) credit risk transfer motive, (3) profitability motives, and (4) capital arbitrage motive. The findings thus suggest that the selected banks mainly used OBS instruments for capital arbitrage purpose, enhancing operational efficiency and managing loan portfolio risks. The findings further suggested that its usage for capital arbitrage purposes may undermine the regulatory measures of accurately estimating and monitoring the risk of banks. The findings thus offer significant practical and policy implications that can help to enhance financial stability. Keywords: off-balance sheet, liquidity, credit risk transfer, profitability, capital arbitrage


Sign in / Sign up

Export Citation Format

Share Document