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What drives bank securitisation? The Spanish experience

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorCardone Riportella, Clara
dc.contributor.authorSamaniego Medina, Reyes
dc.contributor.authorTrujillo Ponce, Antonio
dc.date.accessioned2011-06-01T10:49:03Z
dc.date.available2011-06-01T10:49:03Z
dc.date.issued2010-11
dc.description.abstractThis paper analyses the reasons why Spanish banks securitised in the period 2000–2007 on such a large scale that Spain has become the European country with the second-largest issuance volume after the UK. The results obtained by applying a logistic regression model to a sample of 408 observations indicate that liquidity and the search for improved performance are the decisive factors in securitisation. We find no evidence to support hypotheses regarding credit risk transfer and regulatory capital arbitrage. Our study also presents a more detailed analysis that differentiates between asset and liability securitisation programmes.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of Banking & Finance, 2010, v. 34, n. 11, pp. 2639-2651
dc.identifier.doi10.1016/j.jbankfin.2010.05.003
dc.identifier.issn0378-4266
dc.identifier.publicationfirstpage2639
dc.identifier.publicationissue11
dc.identifier.publicationlastpage2651
dc.identifier.publicationtitleJournal of Banking & Finance
dc.identifier.publicationvolume34
dc.identifier.urihttps://hdl.handle.net/10016/11312
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.jbankfin.2010.05.003
dc.rights©2010 Elsevier B.V. All rights reserved
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.jelG21
dc.subject.jelG28
dc.subject.otherSecuritisation
dc.subject.otherABS
dc.subject.otherCDO
dc.subject.otherCredit risk transfer
dc.subject.otherRegulatory capital arbitrage
dc.titleWhat drives bank securitisation? The Spanish experience
dc.typeresearch article*
dc.type.hasVersionAO*
dspace.entity.typePublication
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