Title: An analysis of the effect of asset securitisation on the credit risk of Chinese commercial banks

Authors: Nizar Baklouti

Addresses: Faculty of Economic and Management Sciences, University of Sfax, Km 4 on Airport Road, 3064, Sfax, Tunisia

Abstract: As a tool of financial innovation, securitisation of credit assets affects the credit risk level of banks. In the context of the increasing scale of securitisation activities, this paper selects annual data from 27 listed Chinese commercial banks from 2012 to 2022 by applying the system generalised method of moments (SYS-GMM) by dynamic panel to analyse the impact of credit asset securitisation activities on the credit risk of Chinese commercial banks. The study shows that the leverage ratio of commercial banks is positively correlated with credit risk. Asset securitisation can reduce risk-weighted assets by moving high-risk assets off the balance sheet to improve the capital adequacy ratio, inhibit liquidity creation, and reduce unsecured interbank borrowing based on capital.

Keywords: asset securitisation; banks; credit risk; dynamic panel; capital adequacy.

DOI: 10.1504/AAJFA.2025.147596

Afro-Asian Journal of Finance and Accounting, 2025 Vol.15 No.4, pp.425 - 438

Received: 14 Feb 2023
Accepted: 11 Oct 2023
Published online: 24 Jul 2025 *

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