How Does the Level of Securitization Affect Bank’s Debt Holder’s Sensitivity to Default Under Economic Shock
Date Issued
2015
Date
2015
Author(s)
Shieh, Yi-Syuan
Abstract
We examine how bank’s securitization affects bank’s debt holder’s sensitivity under economic shock. Our empirical results show that (1) Banks can reduce the impact of economic shocks on their debt holders through securitization, because securitization provides an alternative funding source for banks under economic shocks; (2) The securitization effect is more significant when the economy is in recession than in growth. Because the additional liquidity provided by securitization is more crucial for banks in downturn periods than in booming ones.
Subjects
Securitization
Economic shock
Bank’s debt holder
Sensitivity to default
Credit risk
Type
thesis
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ntu-104-R02723055-1.pdf
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(MD5):6c50c6c71625f46d300c83d12caf1ae4