Banks’ capital, securitization and credit Risk: An empirical evidence for Canada

Georges Dionne () and Tarek Harchaoui
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Tarek Harchaoui: Statistics Canada

No 03-1, Working Papers from HEC Montreal, Canada Research Chair in Risk Management

Abstract: This paper is the first attempt that empirically investigates the relationship between banks capital, securitization and risk in the context of the rapid growth of off-balance-sheet activities in the Canadian financial sector. The evidence over the 1988-1998 period indicates that a) securitization has negative effects on both Tier 1 and Total risk-based capital ratios, and b) there exists a positive statistical link between securitization and banks' risk. These results seem to accord with Kim and Santomero (1988) who concluded that banks might be induced to shift to more risky assets under the current capital requirements for credit risk.

Keywords: Securitization; credit risk; capital regulation; Basel Committee; banks regulation (search for similar items in EconPapers)
JEL-codes: G18 G21 G28 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2003-01-03
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Related works:
Working Paper: Banks’ Capital, Securitization and Credit Risk: An Empirical Evidence for Canada (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:crcrmw:2003_001

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