Why Do (or Did?) Banks Securitize Their Loans? Evidence from Italy

44 Pages Posted: 12 May 2010

Date Written: January 11, 2010

Abstract

This paper investigates the ex-ante determinants of bank loan securitization by using different econometric methods on Italian individual bank data from 2000 to 2006. Our results show that bank loan securitization is a composite decision. Banks that are less capitalized, less profitable, less liquid and burdened with troubled loans are more likely to perform securitization, for a larger amount and earlier.

Keywords: securitization, credit risk transfer, capital requirements, liquidity needs

JEL Classification: G21, G28, C23, C24

Suggested Citation

Affinito, Massimiliano and Tagliaferri, Edoardo, Why Do (or Did?) Banks Securitize Their Loans? Evidence from Italy (January 11, 2010). Bank of Italy Temi di Discussione (Working Paper) No. 741. Available at SSRN: https://ssrn.com/abstract=1601939 or http://dx.doi.org/10.2139/ssrn.1601939

Massimiliano Affinito (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Edoardo Tagliaferri

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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