Stock price effects of asset securitization: The case of liquidity facility providers

Securitization of assets and risk transfer in a large emerging market: Evidence from Brazil

“…where ROAA i,t denotes the return on average assets of the financial institution i in the quarter t, CAP i,t represents the ratio of equity to total assets, and σ(ROAA) i,t is the standard deviation of the returns on average assets that is calculated using a rolling window for 12 quarters (see, e.g, Beck, Chen, Lin, & Song, 2016;Bertay, Dermirgüç-Kunt, & Huizinga, 2013;Chen et al, 2017;Michalak & Uhde, 2012;Nicolo et al, 2006). 20 In addition to RISK, based on accounting variables, we also calculated: capitalization (CAP = Equity/Total assets; see Aysun & Hepp, 2011;Ben Salah & Fedhila, 2012), liquidity (LIQ = Liquid assets/Total assets ratio; see Hollander & Prokop, 2015;López-Andión et al, 2015), and profitability (ROE = Net income/Shareholder's equity ratio; see Berger & Bouwman, 2013;Jiangli & Pritsker, 2008).…”

“…See, for example,Aysun and Hepp (2011), Ben Salah andFedhila (2012),Hollander and Prokop (2015),López-Andión et al (2015),Jiangli and Pritsker (2008), andBerger and Bouwman (2013).12 For sample FIDC, i = 1, 2, ..., 60, and for sample CRI, i = 1, 2, ..., 32 in Equations (2)-(4).13 SeeCalomiris and Mason (2004),Jiangli and Pritsker (2008),Krainer andLaderman (2014), andBeck, Chen, Lin, andSong (2016).14 We use the MM-estimation type, which takes into account the presence of outliers in both the dependent and independent variables.…”

Credit Enhancement and Pricing in Financial Innovation- A Case Study of Asset Securitization

“…It includes the reservation of assets, purchasing or retaining the dependent claims and the risk of partition [1].The third-party enhancement is provided by a third party other than the main initiator. It includes corporate guarantees, cash collateral accounts, insurance and letters of credit.When companies issue bonds in order to achieve asset securitization, it often use a variety of measures of credit enhancement types combined.As shown in Table 1, the "Far East first phase of the leased asset benefit support plans" used the senior / subordinated structure and Sinochem guarantee these two types of credit enhancement mode.…”