Credit Risk Transfer Activities and Systemic Risk: How Banks Became Less Risky Individually But Posed Greater Risks to the Financial System at the Same Time

2008 ◽  
Author(s):  
Rob Nijskens ◽  
Wolf Wagner
Keyword(s):  
Credit Risk ◽  
Systemic Risk ◽  
Financial System ◽  
Risk Transfer ◽  
Credit Risk Transfer

Credit Risk Transfer and the Forecasting of Bank Defaults

2009 ◽  
Author(s):  
Giovanni Calice ◽  
Christos Ioannidis ◽  
Julian M. Williams
Keyword(s):  
Credit Risk ◽  
Risk Transfer ◽  
Credit Risk Transfer

What explains the recourse of US commercial banks to securitization?

2016 ◽  
Vol 15 (3) ◽  
pp. 317-328 ◽  
Author(s):  
Nesrine Bensalah ◽  
Hassouna Fedhila
Keyword(s):  
Credit Risk ◽  
Selection Procedure ◽  
Regulatory Capital ◽  
Heckman Selection Model ◽  
Mortgage Loans ◽  
Content Type ◽  
Risk Transfer ◽  
Credit Risk Transfer ◽  
The Usa ◽  
Heckman Selection

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.

scholarly journals Credit risk transfer and bank competition

2010 ◽  
Vol 19 (3) ◽  
pp. 308-332 ◽  
Author(s):  
Hendrik Hakenes ◽  
Isabel Schnabel
Keyword(s):  
Credit Risk ◽  
Bank Competition ◽  
Risk Transfer ◽  
Credit Risk Transfer

scholarly journals Credit risk transfer and contagion

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