Structural effects of asset -backed securitisation


Wolfe, Simon (2000) Structural effects of asset -backed securitisation. The European Journal of Finance, 6, (4), 353-369. (doi:10.1080/13518470050195119).

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Description/Abstract

This paper analyses the potential changes in the operational structure of deposit - taking financial institutions that securitize assets. Findings indicate that banks can create an asset securitization pipeline structure that enables them to increase their return on capital. In other words, through securitization banks can expand their loan provision business without increasing their liabilities or their capital levels. Using a contingent claims model, four factors that impact on the bank's decision to securitize are highlighted and analysed: (i) the level of deposit insurance; (ii) capital adequacy requirements; (iii) insolvency risk; and, (iv) the risk of credit enhancements. Furthermore, we identify key accounting and regulatory challenges that emerge for banks from the process of asset backed securitization.

Item Type: Article
ISSNs: 1351-847X (print)
Related URLs:
Keywords: asset-backed, securitization, return, on, capital, deposit, insurance, capital, adequacy
Subjects: H Social Sciences > HG Finance
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Structure - Pre August 2011 > School of Management
ePrint ID: 36592
Date Deposited: 22 Mar 2007
Last Modified: 27 Mar 2014 18:23
URI: http://eprints.soton.ac.uk/id/eprint/36592

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