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http://bura.brunel.ac.uk/handle/2438/27236| Title: | Securitization and Credit Quality |
| Authors: | Marques-Ibanez, D Kara, A Ongena, S |
| Keywords: | WP;securitized loan;loan characteristic;credit quality;loan securitization;loan issuance;loan purpose;securitization;syndicated loans;credit risk;loans;credit;debt default;Europe |
| Issue Date: | 1-Nov-2016 |
| Publisher: | International Monetary Fund |
| Citation: | Marques-Ibanez, D., Kara, A. and Ongena, S. (2016) 'Securitization and Credit Quality', IMF Working Paper, (221), pp. 1 - 41. doi: 10.5089/9781475553765.001. |
| Series/Report no.: | IMF Working Paper;WP/16/221 |
| Abstract: | Banks are usually better informed on the loans they originate than other financial intermediaries. As a result, securitized loans might be of lower credit quality than otherwise similar nonsecuritized loans. We assess the effect of securitization activity on loans’ relative credit quality employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that, at issuance, banks do not seem to select and securitize loans of lower credit quality. Following securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control group. We find tentative evidence suggesting that poorer performance by securitized loans might be linked to banks’ reduced monitoring incentives. |
| Description: | * This work was completed while David Marques-Ibanez was a visiting scholar at the IMF’s Macro Financial Division of the Research Department. It is joint work with Alper Kara and Steven Ongena Legal-disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. |
| URI: | https://bura.brunel.ac.uk/handle/2438/27236 |
| DOI: | https://doi.org/10.5089/9781475553765.001 |
| ISBN: | 978-1-4755-5376-5 |
| ISSN: | 1018-5941 |
| Other Identifiers: | ORCID iD: Alper Kara https://orcid.org/0000-0002-8560-0501 |
| Appears in Collections: | Dept of Economics and Finance Embargoed Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | This file is embargoed and may be obtained online via https://doi.org/10.5089/9781475553765.001. Copyright International Monetary Fund Copyright © 2016. All Rights Reserved, except as outlined at: https://www.imf.org/external/terms.htm - including: * The IMF freely authorizes downloading and/or reprinting files from its website for personal (noncommercial) use by end-users only. An end-user is an individual or entity who uses the Products for a primary research activity. The IMF’s written permission must be obtained for all other uses, including as described below. | 394.93 kB | Adobe PDF | View/Open |
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