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Why do (or did?) banks securitize their loans? Evidence from Italy

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  • Massimiliano Affinito

    ()
    (Banca d'Italia)

  • Edoardo Tagliaferri

    ()
    (Banca d'Italia)

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    Abstract

    This paper investigates the ex-ante determinants of bank loan securitization by using different econometric methods on Italian individual bank data from 2000 to 2006. Our results show that bank loan securitization is a composite decision. Banks that are less capitalized, less profitable, less liquid and burdened with troubled loans are more likely to perform securitization, for a larger amount and earlier.

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    File URL: http://www.bancaditalia.it/pubblicazioni/econo/temidi/td10/td741_10/en_td_741_10/en_tema_741.pdf
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    Bibliographic Info

    Paper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 741.

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    Date of creation: Jan 2010
    Date of revision:
    Handle: RePEc:bdi:wptemi:td_741_10

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    Postal: Via Nazionale, 91 - 00184 Roma
    Web page: http://www.bancaditalia.it
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    Related research

    Keywords: securitization; credit risk transfer; capital requirements; liquidity needs;

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    Cited by:
    1. Karim, Dilruba & Liadze, Iana & Barrell, Ray & Davis, E. Philip, 2013. "Off-balance sheet exposures and banking crises in OECD countries," Journal of Financial Stability, Elsevier, vol. 9(4), pages 673-681.
    2. Ugo Albertazzi & Ginette Eramo & Leonardo Gambacorta & Carmelo Salleo, 2011. "Securitization is not that evil after all," Temi di discussione (Economic working papers) 796, Bank of Italy, Economic Research and International Relations Area.
    3. Affinito, Massimiliano, 2012. "Do interbank customer relationships exist? And how did they function in the crisis? Learning from Italy," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3163-3184.
    4. Bedendo, Mascia & Bruno, Brunella, 2012. "Credit risk transfer in U.S. commercial banks: What changed during the 2007–2009 crisis?," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3260-3273.

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