Does Securitization Affect Banks’ Liquidity Risk? The Case of Italy

Francesca Battaglia and Maria Mazzuca

Chapter 6 in Advances in Financial Risk Management, 2013, pp 127-147 from Palgrave Macmillan

Abstract: Abstract During the decade 2003–13, credit securitization has greatly developed in Italy. Theory and empirical literature have investigated many issues related to this topic, such as its capacity to contribute to achieving capital arbitrage (Calomiris and Mason, 2004) or its efficacy as a risk management technique (Cantor and Rouyer, 2000). Nonetheless, many questions remain open, especially in reference to the Italian market, which has not yet been sufficiently studied. Furthermore, in recent months, the interest of academics, managers and regulators towards this financial technique has increased due to the financial crisis (which started in the subprime mortgages sector in the US).

Keywords: Credit Risk; Systemic Risk; Credit Default Swap; Capital Requirement; Order Probit Model (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-02509-8_6

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DOI: 10.1057/9781137025098_6

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