Why Did Holdings of Highly Rated Securitization Tranches Differ So Much across Banks?
研究了美国银行控股公司在金融危机前持有高评级证券化分层的情况，发现持有量大的银行在危机中表现更差，且持有量与银行的证券化活动相关，而非“不良激励”或“风险管理不善”等理论。
We provide estimates of holdings of highly rated securitization tranches of U.S. bank holding companies before the credit crisis and evaluate hypotheses that have been advanced to explain them. Whereas holdings exceeded Tier 1 capital for some large banks, they were economically trivial for the typical bank. Banks with high holdings were not riskier before the crisis using conventional measures, but they performed poorly during the crisis. We find that holdings of highly rated tranches were correlated with a bank's securitization activity. Theories unrelated to the securitization activity, such as “bad incentives” or “bad risk management,” are not supported in the data.