Determinants of Canadian Banks Securitization Activity

Cahier de Recherche No. 02-04

34 Pages Posted: 5 Feb 2003

See all articles by Georges Dionne

Georges Dionne

HEC Montreal - Department of Finance

Tarek M. Harchaoui

Statistics Canada - Microeconomic Analysis Division

Rachid Aqdim

Societe Canadienne d'Hypotheques et de Logement

Date Written: November 2002

Abstract

Securitization is one of the most important developments in the international finance over the past twenty years and one of the most sophisticated tools of modern finance. The main goal of this study is to examine the statistical link between securitization and risk-based capital ratios. Our results show that any increase in securitization activities relative to on-balance-sheet activities causes a decline in both Tier 1 and Total risk-based capital ratios. This suggests that the risk of securitization is inefficiently taken into account in capital ratios or under-estimated by banks managers.

Keywords: Securitization, capital ratio, statistical analysis, Basel Accord, bank regulation

JEL Classification: G18, G21, G28

Suggested Citation

Dionne, Georges and Harchaoui, Tarek M. and Aqdim, Rachid, Determinants of Canadian Banks Securitization Activity (November 2002). Cahier de Recherche No. 02-04, Available at SSRN: https://ssrn.com/abstract=355260 or http://dx.doi.org/10.2139/ssrn.355260

Georges Dionne (Contact Author)

HEC Montreal - Department of Finance ( email )

3000 Chemin de la Cote-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada
514-340-6596 (Phone)
514-340-5019 (Fax)

HOME PAGE: http://www.hec.ca/gestiondesrisques/

Tarek M. Harchaoui

Statistics Canada - Microeconomic Analysis Division ( email )

24 Floor - R.H.Coats Building
Tunney's Pasture
Ottawa, Ontaria K1A 0T6
Canada
613-951-9856 (Phone)

Rachid Aqdim

Societe Canadienne d'Hypotheques et de Logement ( email )

700 chemin de Montreal
Ottawa, Ontario K1N 7H4
Canada

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