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來源文獻資料
摘要
外文摘要
引文資料
題名:
The Informativeness of Financial Asset Securitization Activities on Predicting Bank Risk
書刊名:
中華會計學刊
作者:
陳維慈
/
劉啟群
作者(外文):
Chen, Wei-tzu
/
Liu, Chi-chun
出版日期:
2011
卷期:
7:2
頁次:
頁125-155
主題關鍵詞:
金融資產證券化
;
創始銀行
;
風險移轉
;
Financial asset securitizations
;
Originating banks
;
Risk transfer
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
3
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:17
本文主要探討金融資產證券化活動是否可預測創始銀行之風險,亦即當銀行將金融資產證券化後,一方面隨著資產移轉予特殊目的機構而減少風險,另一方面為提升信用等級以及持續參與市場考量所持有之高信用風險證券與隱性追索權而增加風險,在兩股不同方向的風險影響下,本文實證發現,銀行參與證券化活動程度愈高,風險愈為增加。本文於創始銀行風險淨變動之發現可提供準則制訂機構應以交易經濟實質為未來相關規範修訂之參考依據。
以文找文
The prevalence of securitizations in banking industry since 1970 has become an important issue faced by the regulatory agencies in assessment of risk effects. In general, all securitizations transfer risk on a gross basis whenever credit losses that might otherwise have been borne by the lender become risks that are borne by investors. In contrast, a net risk transfer occurs when a securitization transfers more risk than economic resources. As a result, not all gross transfers of risk result in net transfers of risk. For a sample of U.S. bank holding companies from 2001 to 2004, this study investigates whether the net risk transfer occurs by extending Dionne and Harchaoui's (2003) work and finds that both total and priced risk are increased after securitizations. Our results imply that decreased risk from diversified asset portfolio is outweighed by increased risk from credit enhancements and moral recourse provided by originating banks. Accordingly, net risk transfer does not occur even economic resources are transferred off the originating banks' books.
以文找文
期刊論文
1.
Rime, Bertrand(2001)。Capital requirements and bank behaviour: Empirical evidence for Switzerland。Journal of Banking and Finance,25(4),789-805。
2.
Hassan, M. Kabir、Karels, Gordon V.、Peterson, Manfred O.(1994)。Deposit insurance, market discipline and off-balance sheet banking risk of large U.S. commercial banks。Journal of Banking and Finance,18,575-593。
3.
Kothari, S. P.、Shanken, J.(1995)。In defense of beta。Journal of Applied Corporate Finance,8(1),53-58。
4.
McAnally, M. L.(1996)。Banks, risk, and FAS No. 105 disclosures。Journal of Accounting, Auditing, and Finance,11,453-496。
5.
Niu, F. F.、Richardson, G. D.(2006)。Are securitizations in substance sales or secured borrowings: Capital-market evidence。Contemporary Accounting Research,23(4),1105-1133。
6.
Aggarwal, R.、Jacques, K. T.(2001)。The Impact of FDICIA and Prompt Corrective Action on Bank Capital and Risk: Estimates Using a Simultaneous Equations Model。Journal of Banking and Finance,25(6),1139-1160。
7.
Bowman, R. G.(1979)。The Theoretical Relationship between Systematic Risk and Financial (Accounting) Variables。The Journal of Finance,34(3),617-630。
8.
Greenbaum, S. I.、Thakor, A. V.(1987)。Bank funding modes: Securitization versus deposits。Journal of Banking and Finance,11(3),379-401。
9.
Higgins, E. J.、Mason, J. R.(2004)。What is the value of recourse to asset-backed securities? A clinical study of credit card banks。Journal of Banking & Finance,28,875-899。
10.
Koehn, H.、Santomero, A. M.(1980)。Regulation of bank capital and portfolio risk。Journal of Finance,35(5),1235-1244。
11.
Hentschel, Ludger、Kothari, S. P.(2001)。Are corporations reducing or taking risks with derivatives?。Journal of Financial and Quantitative Analysis,36(1),93-118。
12.
Calomiris, C. W.、Mason, J. R.(2004)。Credit Card Securitization and Regulatory Arbitrage。Journal of Financial Services Research,26(1),5-27。
13.
Jacques, Kevin、Nigro, Peter(1997)。Risk-Based Capital, Portfolio Risk, and Bank Capital: A Simultaneous Equations Approach。Journal of Economics and Business,49(6),533-547。
14.
Kim, Daesik、Santomero, Anthony M.(1988)。Risk in banking and capital regulation。Journal of Finance,43(5),1219-1233。
15.
James, Christopher M.、Flannery, Mark J.(1984)。The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions。The Journal of Finance,39(4),1141-1153。
16.
Liu, Chi-chun、Ryan, Stephen G.、Tan, Hung(2004)。How banks' value-at-risk disclosures predict their total and priced risk: Effects of bank technical sophistication and learning over time。Review of Accounting Studies,9(2/3),265-294。
17.
James, Christopher(1988)。The Use of Loan Sales and Standby Letters of Credit by Commercial Banks。Journal of Monetary Economics,22(3),395-422。
18.
Shrieves, Ronald E.、Dahl, Drew(1992)。The Relationship Between Risk and Capital in Commercial Banks。Journal of Banking and Finance,16(2),439-457。
19.
Keeley, Michael C.、Furlong, Frederick T.(1990)。A reexamination of mean-variance analysis of bank capital regulation。Journal of Banking and Finance,14(1),69-84。
20.
Beaver, W.、Kettler, P.、Scholes, M.(1970)。The Association between Market Determined and Accounting Determined Risk Measures。The Accounting Review,45(4),654-682。
21.
White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society,48(4),817-838。
22.
Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。
23.
Jones, D.(2000)。Emerging Problems with the Basel Capital Accord: Regulatory Capital Arbitrage and Related Issues。Journal of Banking & Finance,24(1),35-58。
24.
Avery, R. B.、Berger, A. N.(1991)。Loan Commitments and Bank Risk Exposure,。Journal of Banking and Finance,15,173-192。
25.
Furlong, F.、Keeley, M. C.(1989)。Capital regulation and bank risk-taking: a note。Journal of Banking and Finance,15,975-998。
26.
Flannery, M. J.、James, C. M.(1984)。Market evidence on the effective maturity of bank assets and liabilities。Journal of Money, Credit, and Banking,16(4),435-445。
27.
Hassan, M. K.(1993)。The off-balance sheet banking risk of large U.S. commercial banks。The Quarterly Review of Economics and Finance,33(1),51-69。
28.
Karels, G. V.、Prakash, A. J.、Roussakis, E.(1989)。The relationship between bank capital adequacy and market measures of risk。Journal of Business Finance and Accounting,16(5),663-673。
研究報告
1.
Chen, W.、Liu, C.(2006)。Determinants of financial asset securitization activities engaged by originating banks: Evidence from U.S. market。Taipei:Soochow University。
2.
Huang, D. F.、Liu, C. C.、Ryan, S. G.(2005)。Risk-based capital adequacy disclosures: Evidence of their usefulness in predicting bank asset risk。National Dong Hwa University。
3.
Dechow, P. M.、Myers, L. A.、Shakespeare, C.(2004)。Playing with Assumptions to Report a Rosy Future Today: the Role of Corporate Governance in the Reporting of Asset Securitizations。University of Michigan。
4.
Karaoglu, Nuri Emre(2005)。Regulatory Capital and Earnings Management in Banks: The Case of Loan Sales and Securitizations。University of Southern California。
5.
Ambrose, B.W.、LaCour-Little, M.、Sanders, A. B.(2003)。Does Regulatory Capital Arbitrage or Asymmetric Information Drive Securitization?。University of Kentucky。
學位論文
1.
Shakespeare, C.(2002)。Accounting for asset securitizations: Fair values and earnings management(博士論文)。University of Illinois at Urbana-Champaign。
圖書
1.
Financial Accounting Standards Board(2000)。Statement of Financial Accounting Standards No. 140: Accounting for transfers and servicing of financial assets and extinguishments of liabilities。Norwalk, CT:FASB。
2.
International Accounting Standards Board(2004)。International accounting standard No. 39: Financial instruments: Recognition and measureme。London:IASB。
3.
Nomura Fixed Income Research(2002)。Accounting vs. reality: Can we handle the truth?。New York:Nomura Securities International, Inc.。
4.
Moody's Investors Service(2002)。Securitization and its Effect on the Credit Strength of Companies: Moody’s Perspective 1987-2002。N.Y, N.Y.:Moody's。
5.
Zweig, P. L.(1989)。The Asset Securitization Handbook。Homewood, Illinois:Dow Jones-Irwin。
其他
1.
Comptroller of the Currency(1997)。Asset securitization。
2.
Dionne, G.,Harchaoui, T. M.(2003)。Banks' Capital, Securitization and Credit Risk: An Empirical Evidence for Canada,HEC Montreal and Statistics Canada。
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