Affiliation:
1. National Taipei University
2. National Taiwan University
3. New York University
Abstract
ABSTRACT: We hypothesize and provide evidence that characteristics of banks’ loan securitizations accounted for as sales determine the extent to which banks retain the risks of the securitized loans. We show that banks retain more risk when: (1) the types of loans have higher and/or less externally verifiable credit risk, (2) the loans are closed-ended and banks retain larger contractual interests in the loans, and (3) the loans are closed-ended and banks retain types of contractual interests that more strongly concentrate the risk of the securitized loans. We show that the magnitude and type of retained contractual interests are not risk-relevant in revolving loan securitizations, because banks have more incentive and ability to provide implicit recourse, a non-contractual interest.
Publisher
American Accounting Association
Subject
Economics and Econometrics,Finance,Accounting
Reference55 articles.
1. The impact of FDICIA and prompt corrective Action on bank capital and risk: Estimates using a simultaneous equations model;Aggarwal;Journal of Banking & Finance,2001
2. Does regulatory capital arbitrage or asymmetric information drive securitization;Ambrose,2003
3. Loan commitments and bank risk exposure;Avery;Journal of Banking & Finance,1991
4. Asset-backed securities: Costs and benefits of “bankruptcy remoteness.”;Ayotte,2005
5. The association between market determined and accounting determined risk measures;Beaver;The Accounting Review,1970
Cited by
87 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献