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

Affinito, Massimiliano; Tagliaferri, Edoardo

doi:10.2139/ssrn.1601939

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

Bank of Italy Temi di Discussione (Working Paper) No. 741

44 Pages Posted: 12 May 2010

See all articles by Massimiliano Affinito

Edoardo Tagliaferri

Bank of Italy

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: 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