Securitization and credit quality in the European market

被引：16
|
作者：
Kara, Alper [1 ]
Marques-Ibanez, David [2 ]
Ongena, Steven [3 ,4 ,5 ,6 ]
机构：
[1] Univ Huddersfield, Sch Business, Huddersfield, W Yorkshire, England
[2] European Cent Bank, Financial Res Div, Frankfurt, Germany
[3] Univ Zurich, Dept Banking & Finance, Plattenstr, Zurich, Switzerland
[4] SFI, Geneva, Switzerland
[5] Katholieke Univ Leuven, Leuven, Belgium
[6] CEPR, London, England
来源：
EUROPEAN FINANCIAL MANAGEMENT | 2019年 / 25卷 / 02期
关键词：
credit risk; European market; securitization; LENDING STANDARDS EVIDENCE; PROPENSITY SCORE; ADVERSE SELECTION; LOAN SALES; RISK; DERIVATIVES; DISTANCE; MODEL; BANKING;
D O I：
10.1111/eufm.12168
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We assess the effect of securitization activity on relative credit quality employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that at issuance, based on observable characteristics, banks do not seem to select and securitize loans of lower credit quality. Following securitization, the credit quality of borrowers whose loans are securitized deteriorates more than those in the control group. We find that poorer performance by borrowers of securitized loans seems to be connected to banks' reduced monitoring incentives. Our results are supported by two additional methodologies and robust to controlling for predetermined borrower-lender matching.
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页码：407 / 434
页数：28
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