美國銀行資產證券化決定因素之研究

Determinants of Securitization Activity In US banking industry

紀宜君(Yi-Chun Chi)

指導教授 ： 劉啟群

國立臺灣大學/管理學院/會計學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.00316

摘要

無資料

關鍵字

Securitization ； SPV ； Capital ratio ； Deposits ； Bank ； Cost of fund ； Loan

並列摘要

Securitization activities have been popular in U.S. banking industry for more than 30 years. Many banks benefit from securitizing financial assets but the implications of the trend for bank securitization are intricate. The purpose of this study is to investigate the determinants of bank securitization in the United States.
We find that banks don’t need to conform to the capital adequacy requirement on the assets securitized so the less the capital is, the more the securitizations are. The results also show that banks with larger size are more likely to engage in securitization activities because they have the capability to assume the cost of securitization. The positive coefficient of variance of EPS means that banks pack high-quality assets for sell and the remaining assets deteriorate with securitization and result to high risk. This study also provides evidence that loan ratio and deposit are negatively related to securitization. In contrast, we find no association between the growth rate, cost of fund, insolvency risk and securitization activities.
Taken together, these results suggest that the motives of banks securitization depend on the costs and benefits of such activities. Although the impact of securitization is still controversial, this study permits us to present some preliminary evidence.

並列關鍵字

Cost of fund ； Loan ； Securitization ； SPV ； Deposits ； Capital ratio ； Bank

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