Characteristics of securitizations that determine issuers' retention of the risks of the securitized assets

Accounting Review

Volumn 83, Issue 5, 2008, Pages 1181-1215

  Chen, Weitzu ^a   Liu, Chi Chun ^b   Ryan, Stephen G ^c  

^a NATIONAL TAIPEI UNIVERSITY   (Taiwan)

^b NATIONAL TAIWAN UNIVERSITY   (Taiwan)

^c NEW YORK UNIVERSITY   (United States)

Author keywords

Banks; Implicit recourse; Retained interests; Risk; Securitization; SFAS no. 140

Indexed keywords

EID: 56649109458     PISSN: 00014826     EISSN: None     Source Type: Journal    
DOI: 10.2308/accr.2008.83.5.1181     Document Type: Review

References (55)

1. Aggarwal, R., and K. Jacques. 2001. The impact of FDICIA and prompt corrective Action on bank capital and risk: Estimates using a simultaneous equations model. Journal of Banking & Finance 25: 1139-1160.
2. Ambrose, B. W., M. LaCour-Little, and A. B. Sanders. 2003. Does regulatory capital arbitrage or asymmetric information drive securitization? Working paper, University of Kentucky.
3. Avery, R., and A. Berger. 1991. Loan commitments and bank risk exposure. Journal of Banking & Finance 15: 173-192.
4. Ayotte, K., and S. Gaon. 2005. Asset-backed securities: Costs and benefits of "bankruptcy remoteness." Working paper, Columbia University.
5. Beaver, W., P. Kettler, and M. Scholes. 1970. The association between market determined and accounting determined risk measures. The Accounting Review 45 (4): 654-682.
6. Boot, A., and A. Thakor. 1991. Off-balance sheet liabilities, deposit insurance and capital regulation. Journal of Banking & Finance 15: 825-846.
7. Bowman, R. 1980. The debt equivalence of leases: An empirical investigation. The Accounting Review (April): 237-253.
8. Calomiris, C., and J. Mason. 2004. Credit card securitization and regulatory arbitrage. Journal of Financial Services Research 26 (1): 5-27.
9. Carlson, M., and G. Weinbach. 2007. Profit and balance sheet developments at U.S. commercial banks in 2006. Federal Reserve Bulletin (July): A37-A71.
10. Chomsisengphet, S., and A. Pennington-Cross. 2006. The evolution of the subprime mortgage market. Federal Reserve Bank of St. Louis Review (January/February): 31-56.
11. Dechow, P., L. Myers, and C. Shakespeare. 2005. Playing with assumptions to report a rosy future today: The role of corporate governance in the reporting of asset securitization. Working paper, University of Michigan.
12. -, and C. Shakespeare. 2006. Do managers time securitization transactions to obtain accounting benefits? Working paper, University of Michigan.
13. Dhaliwal, D. 1986. Measurement of financial leverage in the presence of unfunded pension liabilities. The Accounting Review 61: 651-661.
14. Dionne, G., and T. Harchaoui. 2003. Banks' capital, securitization and credit risk: An empirical evidence for Canada. Working paper, HEC Montreal and Statistics Canada.
15. Financial Accounting Standards Board (FASB). 1998. Accounting for Derivative Instruments and Hedging Activities. Statement of Financial Accounting Standards No. 133. Norwalk, CT: FASB.
16. -. 2000. Accounting for Transfers and Servicing of Financial Assets and Extinguishments of Liabilities. Statement of Financial Accounting Standards No. 140. Norwalk, CT: FASB.
17. -. 2006. Accounting for Servicing of Financial Assets. Statement of Financial Accounting Standards No. 156. Norwalk, CT: FASB.
18. Flannery, M., and C. James. 1984a. The effect of interest rate changes on the common stock returns of financial institutions. The Journal of Finance 39 (4): 1141-1153.
19. -, and -. 1984b. Market evidence on the effective maturity of bank assets and liabilities. Journal of Money, Credit and Banking 16 (4): 435-445.
20. Furlong, F., and M. Keeley. 1989. Capital regulation and bank risk-taking: A note. Journal of Banking & Finance 15: 975-998.
21. Gorton, G., and N. Souleles. 2005, Special purpose vehicles and securitization. Working paper, University of Pennsylvania.
22. Greenbaum, S., and A. Thakor. 1987. Bank funding modes: Securitization versus deposits. Journal of Banking & Finance 11: 379-401.
23. Hall, J., T. King, A. Meyer, and M. Vaughn. 2001. What can bank supervisors learn from equity markets? A comparison of the factors affecting market-based risk measures and BOPEC scores. Supervisory Policy Analysis Working Paper No. 2002-06. St. Louis, MO: Federal Reserve Bank of St. Louis.
24. Hamada, R. 1972. The effect of the firm's capital structure on the systematic risk of common stocks. The Journal of Finance 27: 435-452.
25. Hansel, D., and J. Krahnen. 2007. Does credit securitization reduce bank risk? Evidence from the European CDO market. Working paper, Goethe University, Frankfurt.
26. Hassan, M., G. Karels, and M. Peterson. 1994. Deposit insurance, market discipline and off-balance sheet banking risk of large U.S. commercial banks. Journal of Banking & Finance 18: 575-593.
27. Hentschel, L., and S. Kothari. 2001. Are corporations reducing or taking risks with derivatives? Journal of Financial and Quantitative Analysis 36: 93-118.
28. Higgins, E. J., and J. Mason. 2004. What is the value of recourse to asset backed securities? A clinical study of credit card banks. Journal of Banking & Finance 28: 875-899.
29. Huang, D., C. Liu, and S. Ryan. 2005. Risk-based capital adequacy disclosures: Evidence of their usefulness in predicting bank asset risk. Working paper, National Dong Hwa University.
30. Imhoff, E., R. Lipe, and D. Wright. 1993. The effects of recognition versus disclosure on shareholder risk and executive compensation. Journal of Accounting, Auditing & Finance 8: 335-368.
31. Jones, D. 2000. Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues. Journal of Banking & Finance 24: 35-58.
32. Karaoglu, N. 2005. Regulatory capital and earnings management in banks: The case of loan sales and securitizations. Working paper, University of Southern California.
33. Keeley, M., and F. Furlong. 1990. A reexamination of the mean-variance analysis of bank capital regulation. Journal of Banking & Finance 14: 69-84.
34. Kim, D., and A. Santomero. 1988. Risk in banking and capital regulation. The Journal of Finance 43 (5): 1219-1233.
35. Koehn, M., and A. Santomero. 1980. Regulation of bank capital and portfolio risk. The Journal of Finance 35 (5): 1235-1250.
36. Landsman, W., K. Peasnell, and C. Shakespeare. 2006. Are asset securitizations sales or loans? Working paper, The University of North Carolina at Chapel Hill.
37. McAnally, M. 1996. Banks, risk, and FAS 105 disclosures. Journal of Accounting, Auditing & Finance II: 453-496.
38. Minton, B., A. Sanders, and P. Strahan. 2004. Securitization by banks and finance companies: Efficient financial contracting or regulatory arbitrage? Working paper, The Ohio State University.
39. Moody's Investors Service. 2002. Securitization and its effect on the credit strength of companies: Moody's perspective 1987-2002. New York, NY: Moody's.
40. Niu, F., and G. Richardson. 2006. Are securitizations in substance sales or secured borrowings: Capital market evidence. Contemporary Accounting Research 23: 1105-1133.
41. Nolan, A. 2005. Sweet Basel II: The Regulatory Capital Treatment of Securitization and Credit Derivatives Activities of Banking Institutions. New York, NY: Goodwin Procter LLP.
42. Office of the Comptroller of the Currency, Federal Deposit Insurance Corporation, Board of Governors of the Federal Reserve System, and Office of Thrift Supervision. 2002. Interagency guidance on implicit recourse in asset securitizations. Washington, D.C.: Government Printing Office.
43. Pavel, C., and D. Phillis. 1987. Why commercial banks sell loans: An empirical analysis. Federal Reserve Bank of Chicago Economic Perspectives 14: 3-14.
44. Petersen, M. 2007. Estimating standard errors in finance panel data sets: Comparing approaches. Working paper, Northwestern University.
45. Rime, B. 2001. Capital requirements and bank behaviour: Empirical evidence for Switzerland. Journal of Banking & Finance 25: 789-805.
46. Ryan, S. 1997. A survey of research relating accounting numbers to systematic equity risk, with implications for risk disclosure policy and future research. Accounting Horizons (11): 82-95.
47. -. 2007. Financial Instruments and Institutions: Accounting and Disclosure Rules. 2nd edition. Hoboken, NJ: John Wiley & Sons.
48. -. 2008. Accounting in and for the subprime crisis. Working paper, New York University.
49. Schipper, K., and T. Yohn. 2007. Standard-setting issues and academic research related to the accounting for financial asset transfers. Accounting Horizons 21: 59-80.
50. Schrand, C. 1997. The association between stock-price interest rate sensitivity and disclosures about derivative instruments. The Accounting Review 72: 87-110.
51. Shakespeare, C. 2004. Accounting for asset securitizations: Fair values and earnings management. Thesis, University of Illinois at Urbana-Champaign.
52. Shrieves, R., and D. Dahl. 1992. The relationship between risk and capital in commercial banks. Journal of Banking & Finance 16: 439-457.
53. Treacy, W., and M. Carey. 1998. Credit risk rating at large U.S. banks. Federal Reserve Bulletin 84: 897-921.
54. U.S. Government Accountability Office. 2007. Information on recent default and foreclosure trends and associated economic and market developments. GAO-08-78R. Washington, D.C.: Government Printing Office.
55. Vander Vennet, R., L. Baele, and O. De Jonghe. 2005. Determinants of systematic and idiosyncratic banking risk in Europe. Working paper, Ghent University.