Clara Cardone Riportella () Reyes Samaniego Medina () Antonio Trujillo Ponce ()
Abstract
The present work analyses the reasons why Spanish financial entities have carried out securitisation programs in the period 2000-2007 on such a scale that Spain has become the European country with the largest issue volumes, second only to the U.K. The results obtained after the application of a logistic regression model to a sample of 408 observations indicate that liquidity and the search for improved performance are the decisive factors in securitisation. The hypotheses of transfer of credit risk and arbitrage in regulatory capital are not confirmed; therefore the normative development of Basel II cannot be expected to affect the volumes issued in future years. The study is complemented with a more detailed analysis, differentiating between programs of asset and liability securitisation
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Publisher Info
Paper provided by Universidad Carlos III, Departamento de EconomÃa de la Empresa in its series Business Economics Working Papers with number
wb093904.