through diversification. In recent years, the development of markets for credit securitization and credit derivatives has … are quite severe. A potential successful application of credit securitization and credit derivatives for managing credit …

securitization to maximize utility. To derive a bank capital allocation model, HJB equation in control theory and a specific utility …This paper derives a bank capital allocation model and applies it in the determinants of securitization. According to … Bank for International Settlements (BIS), banks are required to prepare regulatory capital for investment and loans, based …

The purpose of this paper is to derive a model for calculation of maturities and volumes of repayments that a bank may … intervals. The model in this paper is in interest of any bank and in particular of banks with a higher fraction of NPLs in their …

This paper investigates the ex-ante determinants of bank loan securitization by using different econometric methods on … Italian individual bank data from 2000 to 2006. Our results show that bank loan securitization is a composite decision. Banks … securitization, for a larger amount and earlier …

We present a theoretical framework for studying how the cross holdings of credit asset securitization (CAS) products …

the moral hazard effect of securitization on underwriting. This research design is premised on the assumption that these … cutoff rules are a response by lenders to securitization rules of thumb. We reexamine the evidence and find it is … cutoff rules in underwriting, one cannot use these same cutoff rules to learn about the effect of securitization on …

performance. Nevertheless, the effect of residential mortgage loans securitization on bank risk appeared to be negative after the … crisis, indicating that the securitization of this type of credit can reduce the bank risk in the detriment of a lower profit … their effects on the bank risk, liquidity and profitability before the crisis event and contributes to the recent scarce …