How to Measure Securitization: A Structural Equation Approach

Mark T. van der Plaat

MPRA Paper from University Library of Munich, Germany

Abstract: Securitization is a popular concept in banking and finance. Empirical literature measures securitization with a wide range of variables, which raises the question how to measure securitization. Using a structural equation modeling approach, we examine whether proxy variables used in the literature have a common securitization factor. We find that there are two common factors for ABS-CDO securitization, and ABCP securitization. These factors correlate strongly with factors for loan sales and credit derivatives, indicating that these four factors together are used by banks to hedge credit risk. We present some recommendations to improve the measurement of securitization.

Keywords: Securitization; Asset-Backed Securities; Collateralized Debt Obligations; Asset-Backed Commercial Papers; Loan Sales; Credit Derivatives; Credit Default Swaps; Latent Variables; Proxy Variables; Latent Variable Analysis; Structural Equation Modeling; Exploratory Factor Analysis; Confirmatory Factor Analysis (search for similar items in EconPapers)
JEL-codes: C38 G21 G23 (search for similar items in EconPapers)
Date: 2021-09-15
New Economics Papers: this item is included in nep-ban and nep-isf
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:109735

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