Loan securitisation and accounting measurement methods in banks
by Sang-Lyul Ryu; Jayoun Won
International Journal of Economic Policy in Emerging Economies (IJEPEE), Vol. 13, No. 4, 2020

Abstract: This paper examines the extent to which banks securitise loans under three accounting measurement methods: historical cost, lower-of-cost-or-market and fair value. Securitisation is becoming an indispensable tool for financing liquidity in the global capital market. Prior research has developed different models to analyse why a firm securitise its assets. The established models do not address if accounting measurement methods have different effects on loan securitisation. In our model, the bank's loan securitisation is jointly determined by the weight on earnings for each period and the marginal expected rate of return on new investments under the three measurement methods.

Online publication date: Tue, 15-Sep-2020

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