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Les déterminants du comportement des banques canadiennes en matière de titrisation

Author

Listed:
  • Rachid Aqdim

    (HEC Montreal, Canada Research Chair in Risk Management)

  • Georges Dionne

    (HEC Montreal, Canada Research Chair in Risk Management)

  • Tarek Harchaoui

    (Statistic Canada)

Abstract

Securitization is one of the most important developments in the international finance over the past twenty years and one of the most sophisticated tools of modern finance. The main goal of this study is to examine the statistical link. between securitization and risk-based capital ratios. Our results show that any increase in securitization activities relative to on-balance-sheet activities causes a decline in both Tier 1 and Total risk-based capital ratios. This suggests that the risk of securitization is inefficiently taken into account in capital ratios or under-estimated by banks managers.

Suggested Citation

  • Rachid Aqdim & Georges Dionne & Tarek Harchaoui, 2002. "Les déterminants du comportement des banques canadiennes en matière de titrisation," Working Papers 02-4, HEC Montreal, Canada Research Chair in Risk Management.
    • Handle: RePEc:ris:crcrmw:2002_004
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    Cited by:

    1. G. Dionne & T. M. Harchaoui, 2002. "Banks’ Capital, Securitization and Credit Risk : An Empirical Evidence for Canada," Thema Working Papers 2002-33, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS.
    2. Dionne, Georges & Harchaoui, Tarek, 2007. "Bank Capital, Securitization and Credit Risk: an Empirical Evidence," MPRA Paper 56693, University Library of Munich, Germany, revised 2007.
    3. Marc‐André Flageole & Jean Roy, 2005. "Rating Cooperative and Commercial Bank Bonds: a comparative approach," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 76(3), pages 407-435, September.
    4. Dionne, Georges & Harchaoui, Tarek M., 2003. "Banks' Capital, Securitization and Credit Risk: An Empirical for Canada," Cahiers de recherche 0311, CIRPEE.

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    Keywords

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    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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