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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 引用關係劉啟群 引用關係
作者(外文):Chen, Wei-tzuLiu, 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 securitizationsOriginating banksRisk transfer
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱: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。
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.
期刊論文
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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。  new window
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。  new window
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。  new window
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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。  new window
24.Avery, R. B.、Berger, A. N.(1991)。Loan Commitments and Bank Risk Exposure,。Journal of Banking and Finance,15,173-192。  new window
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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。  new window
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。  new window
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。  new window
4.Karaoglu, Nuri Emre(2005)。Regulatory Capital and Earnings Management in Banks: The Case of Loan Sales and Securitizations。University of Southern California。  new window
5.Ambrose, B.W.、LaCour-Little, M.、Sanders, A. B.(2003)。Does Regulatory Capital Arbitrage or Asymmetric Information Drive Securitization?。University of Kentucky。  new window
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。  new window
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。  new window
2.International Accounting Standards Board(2004)。International accounting standard No. 39: Financial instruments: Recognition and measureme。London:IASB。  new window
3.Nomura Fixed Income Research(2002)。Accounting vs. reality: Can we handle the truth?。New York:Nomura Securities International, Inc.。  new window
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。  new window
5.Zweig, P. L.(1989)。The Asset Securitization Handbook。Homewood, Illinois:Dow Jones-Irwin。  new window
其他
1.Comptroller of the Currency(1997)。Asset securitization。  new window
2.Dionne, G.,Harchaoui, T. M.(2003)。Banks' Capital, Securitization and Credit Risk: An Empirical Evidence for Canada,HEC Montreal and Statistics Canada。  new window
 
 
 
 
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