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Banks' Capital, Securitization and Credit Risk: An Empirical for Canada
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In this paper, the authors investigated the relationship between banks' capital, securitization and risk in the context of the rapid growth of off-balance-sheet activities in the Canadian financial sector.Abstract:
This paper is the first attempt that empirically investigates the relationship between banks capital, securitization and risk in the context of the rapid growth of off-balance-sheet activities in the Canadian financial sector. The evidence over the 1988-1998 period indicates that a) securitization has negative effects on both Tier 1 and Total risk-based capital ratios, and b) there exists a positive statistical link between securitization and banks' risk. These results seem to accord with Kim and Santomero (1988) who concluded that banks might be induced to shift to more risky assets under the current capital requirements for credit risk.read more
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Regulation of Bank Capital and Behavior of Banks: Assessing the US and the EU-15 region Banks in the 2000-2005 period
TL;DR: In recent years, regulators have increased their focus on the capital adequacy of banking institutions to enhance their stability, hence the stability of the whole financial system as discussed by the authors. But, their focus was not on the quality of the banks' management.
Posted Content
Retained Interests in Securitisations and Implications for Bank Solvency
Barbara Casu,Anna Sarkisyan +1 more
TL;DR: This article examined the relationship between banks' retained interests in securitisations and insolvency risk, and found that the provision of credit enhancements and guarantees significantly increases bank insolvency risks, albeit this varies for different levels of securitisation outstanding.
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On the differential impact of securitization on bank lending during the financial crisis
TL;DR: This paper analyzed the effect of securitization on bank loan supply over the 2001 to 2013 period using a large sample of Eurozone banks and found that an increase in banks' ABS issuances positively correlates with bank loan volume before the 2007-08 financial crisis but not afterwards.
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Some Issues in Disintermediation and Securitization
TL;DR: New decision models and theories of asset-securitization are introduced, and optimal conditions for efficient securitizing are developed, and the interactions of capital-reserve requirements and securITization are analyzed.
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Securitization and Monetary Transmission Mechanism: Evidence from Italy (1999-2009)
TL;DR: In this article, the authors investigated the relationship between securitization and the Italian monetary transmission mechanism during the two most recent financial crashes: the dot-com bubble burst (1998-1999) and the sub prime mortgage crisis (2008-2009).
References
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Journal ArticleDOI
Risk in Banking and Capital Regulation
Daesik Kim,Anthony M. Santomero +1 more
TL;DR: In this paper, the role of bank capital regulation in risk control is investigated using the mean-variance model, and it is shown that the use of simple capital ratios in regulation is an ineffective means to bound the insolvency risk of banks.
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Regulation of Bank Capital and Portfolio Risk
TL;DR: In this article, the authors examine the effect of portfolio reaction to capital requirements by investigating the impact of capital ratio regulation on the portfolio behavior of commercial banks and conclude that the results of a higher required capital-asset ratio in terms of the average probability of failure are ambiguous, while the intra-industry dispersion of the probability for failure unambiguously increases.
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The relationship between risk and capital in commercial banks
Ronald E. Shrieves,Drew Dahl +1 more
TL;DR: In this paper, the authors investigated the relationship between changes in risk and capital in a large sample of banks and found that changes in bank capital over the period studied have been risk-based.
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Capital requirements and the behaviour of commercial banks
TL;DR: In this paper, the consequences of capital regulations on the portfolio choices of commercial banks are investigated. But the authors focus on the risk-based insurance premia and do not consider the effect of the risk on the investment decisions of the banks.
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Capital requirements and bank behaviour: Empirical evidence for Switzerland
TL;DR: In this article, the authors used a simultaneous equations model to analyse adjustments in capital and risk at Swiss banks, when those approaches the minimum regulatory capital level, and found that regulatory pressure induce banks to increase their capital, but does not affect the level of risk.