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 … securitization to maximize utility. To derive a bank capital allocation model, HJB equation in control theory and a specific utility …

Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank … using a model of bank risk-taking and securitization. …