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Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk

Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk

Chen, Zhizhen, Liu, Frank Hong, Opong, Kwaku and Zhou, Mingming (2016) Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk. Journal of International Money and Finance, 72. pp. 48-74. ISSN 0261-5606 (doi:https://doi.org/10.1016/j.jimonfin.2016.12.003)

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Abstract

Based on a sample of U.S. commercial banks from 2002 to 2012, this paper shows that bank loan securitization has a significant and positive impact on both Z-scores and the likelihood of bank failure, indicating a short-term risk reduction and a long-term risk increase effect. We also find disparate impacts between mortgage and non-mortgage securitization. Loan sale activities are found to have a similar impact to securitization.

Item Type: Article
Uncontrolled Keywords: Securitization; Bank risk; Bank failure; Heckman self-selection; Survival analysis
Subjects: H Social Sciences > HG Finance
Faculty / Department / Research Group: Faculty of Business
Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA) > Centre for Governance, Risk & Accountability (CGRA)
Faculty of Business > Department of Accounting & Finance
Last Modified: 16 Oct 2019 14:39
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: GREAT a
Selected for GREAT 2019: GREAT 2
URI: http://gala.gre.ac.uk/id/eprint/19646

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