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Determinants of Asset Securitization in Russia

Student: Sofya Smetankina

Supervisor: Nikolay I. Berzon

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Engineering (Master)

Final Grade: 8

Year of Graduation: 2019

This paper is a research of factors affecting asset securitization in Russia. To verify such determinants as the level of GDP, the volume of mortgage loans issued, the interest rate of loans, average salaries, net assets and return on equity of the originator bank, the econometric OLS regression model is used. The results indicate that it is the internal motifs of the originator that encourage securitization transactions. The results revealed that the size of the net assets and the return on equity of the originator bank are the most significant factors in the model used. However, the volume of securitization increases with the volume of loans issued, it is based on the assumption that originator banks will be able to increase liquidity in this way.

Full text (added May 27, 2019)

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