Implications of securitisation on bank performance: evidence from US commercial banks
by Amit Ghosh
International Journal of Financial Innovation in Banking (IJFIB), Vol. 2, No. 1, 2018

Abstract: A key financial innovation used widely in banking is the process of securitisation. Using data on all 5491 commercial banks in the USA that were operational between 2001 2nd quarter to 2016 1st quarter, the present study examines the impact of both aggregate securitisation activity and its underlying asset categories on bank profitability, leverage capital, diversification and risks. Aggregate securitisation and that of asset-backed securities as well as its constituent categories of commercial & industrial (C&I) loans and other loans significantly increase banks' profits. Securitisation significantly increase banks leverage capital and diversification activities, including net securitisation income. Finally, we find securitisation activities to reduce banks credit risks but increase default risk in the post-crisis period.

Online publication date: Mon, 18-Jun-2018

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