The Informativeness of Financial Asset Securitization Activities on Predicting Bank Risk

金融資產證券化活動風險預測之資訊內涵

本文主要探討金融資產證券化活動是否可預測創始銀行之風險，亦即當銀行將金融資產證券化後，一方面隨著資產移轉予特殊目的機構而減少風險，另一方面為提升信用等級以及持續參與市場考量所持有之高信用風險證券與隱性追索權而增加風險，在兩股不同方向的風險影響下，本文實證發現，銀行參與證券化活動程度愈高，風險愈為增加。本文於創始銀行風險淨變動之發現可提供準則制訂機構應以交易經濟實質為未來相關規範修訂之參考依據。

The prevalence of securitizations in banking industry since 1970 has become an important issue faced by the regulatory agencies in assessment of risk effects. In general, all securitizations transfer risk on a gross basis whenever credit losses that might otherwise have been borne by the lender become risks that are borne by investors. In contrast, a net risk transfer occurs when a securitization transfers more risk than economic resources. As a result, not all gross transfers of risk result in net transfers of risk. For a sample of U.S. bank holding companies from 2001 to 2004, this study investigates whether the net risk transfer occurs by extending Dionne and Harchaoui's (2003) work and finds that both total and priced risk are increased after securitizations. Our results imply that decreased risk from diversified asset portfolio is outweighed by increased risk from credit enhancements and moral recourse provided by originating banks. Accordingly, net risk transfer does not occur even economic resources are transferred off the originating banks' books.