Short-term safety or long-term failure?

Empirical evidence of the impact of securitization on bank risk

Zhizhen Chen, Frank Hong Liu, Kwaku Opong, Mingming Zhou

Research output: Contribution to journalArticle

2 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)48-74
Number of pages27
JournalJournal of International Money and Finance
Volume72
DOIs
Publication statusPublished - 2017

Fingerprint

Safety
Securitization
Empirical evidence
Bank risk
Mortgages
Z-score
Commercial banks
Bank failure
Bank loans
Loan sales
Risk reduction

Keywords

  • Securitization
  • bank risk
  • bank failure
  • Heckman self-selection
  • survival analysis

Cite this

Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk. / Chen, Zhizhen; Liu, Frank Hong; Opong, Kwaku; Zhou, Mingming.

In: Journal of International Money and Finance, Vol. 72, 2017, p. 48-74.

Research output: Contribution to journalArticle

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