Purpose – This paper aims to answer the following research questions: To what extent do banks use credit derivatives (CDs)? What are the differences between users and non-users? What are the main underlying motivations? Design/methodology/approach –The annual reports of 112 Italian banks are...

Purpose – The purpose of this study was to examine the 2007-2009 financial crisis to analyze how securitization relates to the Italian bank risk profile, both in terms of credit and liquidity risks. Design/methodology/approach – To test our research hypotheses, we adopt ordered probit...

Purpose – The purpose of this paper is to develop a model to hedge annuity portfolios against increases in life expectancy. Across the globe, and in the industrial nations in particular, people have seen an unprecedented increase in their life expectancy over the past decades. The benefits of...

Purpose – Before the 2007 financial crisis, securitized products accounted for half the credit market. Once regarded as one of the biggest financial innovations of the last century, securitization is now viewed as a contributory factor to the crisis. Until recently research has focused on the...

Purpose – The purpose of this paper is to study bank executive compensation and securitization, two important strategic developments in finance that are central to the debate on the cause of the crisis. Design/methodology/approach – We study the relationship between securitization and...

Purpose – The purpose of this paper is to illustrate the limitations and potential bias in securitized residential mortgage data and examine the importance of such data issues for typical studies of residential mortgage-backed security (RMBS) market and the financial crisis....

This research explores the effects of securitization on banks equity risk exposure. A widespread opinion before the crisis of 2007–2008 was that securitization enhances financial stability. We provide empirical evidence of the impact of securitization on the market's perception of the...

Purpose – With reference to IAS/IFRS, the purpose of this paper is to examine the value relevance of the two amortised cost/fair value measurement methods applied to loans, and test whether loan fair values are an incremental explanatory factor for a bank's stock price, beyond that provided by...

Purpose – The purpose of this study was to examine the 2007-2009 financial crisis to analyze how securitization relates to the Italian bank risk profile, both in terms of credit and liquidity risks. Design/methodology/approach -To test our research hypotheses, we adopt ordered probit models,...