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Lai Van Vo and Huong Thi Thu Le
(March 11, 2011). Asset Securitization and Bank Risk Taking. Available at SSRN: http://ssrn.com/abstract=1784046

Abstract: This paper investigates the relationship between asset securitization and risk taking behaviors in the banking industry. We find that bank holding companies with higher loan losses and net charge-offs have significantly higher probability to engage in asset securitization. Further, once actively securitizing their assets, banks tend to take riskier loans with higher non-performing ratios, higher net charge-offs and higher provisions for loan and lease loss ratios to earn higher profits. These risk taking behaviors are the main reasons to explain why some banks frequently securitize their assets while others rarely do. The above conclusions are, however, valid only in the normal economic conditions. During the recent financial crisis, securitizing banks follow a more conservative investment strategy by not taking riskier loans.

Keywords: bank holding companies, asset securitization, bank risk taking, loan losses.