Optimal Bank Capital and Securitization: The Case of Corporate Loans for U.S. Commercial Banks

摘要: This paper derives a bank capital allocation model and applies it in the determinants of securitization. According to Bank for International Settlements (BIS), banks are required prepare regulatory investment loans, based on quality quantity assets. Hence, should be larger when holding riskier In order allocate efficiently, will consider between return risk. For example, could increase loans raise return, or decrease alleviate risk.Securitization is one way By allowing convert illiquid into marketable securities, released. However, risky would yield higher rate returns if not default. Therefore, reduce their yields assets securitized cash. Obviously, there trade-off risk so that choose an optimal ratio securitization maximize utility. To derive model, HJB equation control theory specific utility function used. Besides, stochastic features interest rates considered. verify this we use corporate U.S. commercial banks. Using capitals used low loan, high surplus, determined. The main contribution provide theoretical framework which identify factors affecting