Les déterminants du comportement des banques canadiennes en matière de titrisation

Rachid Aqdim, Georges Dionne () and Tarek Harchaoui
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Rachid Aqdim: HEC Montreal, Canada Research Chair in Risk Management
Tarek Harchaoui: Statistic Canada

No 02-4, Working Papers from HEC Montreal, Canada Research Chair in Risk Management

Abstract: Securitization is one of the most important developments in the international finance over the past twenty years and one of the most sophisticated tools of modern finance. The main goal of this study is to examine the statistical link. between securitization and risk-based capital ratios. Our results show that any increase in securitization activities relative to on-balance-sheet activities causes a decline in both Tier 1 and Total risk-based capital ratios. This suggests that the risk of securitization is inefficiently taken into account in capital ratios or under-estimated by banks managers.

Keywords: Securitization; capital ratio; statistical analysis; Basel Accord; bank regulation (search for similar items in EconPapers)
JEL-codes: G18 G21 G28 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2002-11-01
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Working Paper: Les déterminants du comportement des banques canadiennes en matière de titrisation (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:crcrmw:2002_004

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