What do we know about banks securitisation? the spanish experience
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
|Date of creation:||Jun 2009|
|Contact details of provider:|| Web page: http://www.business.uc3m.es/es/index|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gary Gorton & George Pennacchi, 1990.
"Banks and Loan Sales: Marketing Non-Marketable Assets,"
NBER Working Papers
3551, National Bureau of Economic Research, Inc.
- Gorton, Gary B. & Pennacchi, George G., 1995. "Banks and loan sales Marketing nonmarketable assets," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 389-411, June.
- Hänsel, Dennis N. & Bannier, Christina E., 2008. "Determinants of European banks' engagement in loan securitization," Discussion Paper Series 2: Banking and Financial Studies 2008,10, Deutsche Bundesbank, Research Centre.
- Elena Loutskina & Philip E. Strahan, 2006. "Securitization and the Declining Impact of Bank Finance on Loan Supply: Evidence from Mortgage Acceptance Rates," NBER Working Papers 11983, National Bureau of Economic Research, Inc.
- Brent Ambrose & Michael LaCour-Little & Anthony Sanders, 2005. "Does Regulatory Capital Arbitrage, Reputation, or Asymmetric Information Drive Securitization?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 28(1), pages 113-133, October.
- Thomas, Hugh, 1999. "A preliminary look at gains from asset securitization," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(3), pages 321-333, August.
- Dionne, Georges & Harchaoui, Tarek, 2007. "Bank Capital, Securitization and Credit Risk: an Empirical Evidence," MPRA Paper 56693, University Library of Munich, Germany, revised 2007.
- Pennacchi, George G, 1988.
" Loan Sales and the Cost of Bank Capital,"
Journal of Finance,
American Finance Association, vol. 43(2), pages 375-396, June.
- George Pennacchi, "undated". "Loan Sales and the Cost of Bank Capital," Rodney L. White Center for Financial Research Working Papers 07-87, Wharton School Rodney L. White Center for Financial Research.
- George Pennacchi, "undated". "Loan Sales and the Cost of Bank Capital," Rodney L. White Center for Financial Research Working Papers 7-87, Wharton School Rodney L. White Center for Financial Research.
- Gary B. Gorton & Nicholas S. Souleles, 2007.
"Special Purpose Vehicles and Securitization,"
in: The Risks of Financial Institutions, pages 549-602
National Bureau of Economic Research, Inc.
- Gary Gorton & Nicholas Souleles, 2005. "Special Purpose Vehicles and Securitization," NBER Working Papers 11190, National Bureau of Economic Research, Inc.
- Gary Gorton & Nicholas S. Souleles, 2005. "Special purpose vehicles and securitization," Working Papers 05-21, Federal Reserve Bank of Philadelphia.
- Lockwood, Larry J. & Rutherford, Ronald C. & Herrera, Martin J., 1996. "Wealth effects of asset securitization," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 151-164, January.
- Charles Calomiris & Joseph Mason, 2004.
"Credit Card Securitization and Regulatory Arbitrage,"
Journal of Financial Services Research,
Springer;Western Finance Association, vol. 26(1), pages 5-27, August.
- Charles W. Calomiris & Joseph R. Mason, 2003. "Credit card securitization and regulatory arbitrage," Working Papers 03-7, Federal Reserve Bank of Philadelphia.
- Hatice Uzun, 2007. "Securitization and risk: empirical evidence on US banks," Journal of Risk Finance, Emerald Group Publishing, vol. 8(1), pages 11-23, January.
- Simon Wolfe, 2000. "Structural effects of asset-backed securitization," The European Journal of Finance, Taylor & Francis Journals, vol. 6(4), pages 353-369.
- Hirtle, Beverly, 2009.
"Credit derivatives and bank credit supply,"
Journal of Financial Intermediation,
Elsevier, vol. 18(2), pages 125-150, April.
- Jones, David, 2000. "Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 35-58, January.
When requesting a correction, please mention this item's handle: RePEc:cte:wbrepe:wb093904. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ana Poveda)
If references are entirely missing, you can add them using this form.