Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/27237
Title: | Securitization and credit quality |
Authors: | Kara, A Marques-Ibanez, D Ongena, S |
Keywords: | securitization;credit risk;European market |
Issue Date: | 6-Feb-2017 |
Publisher: | European Central Bank (ECB) |
Citation: | Kara, A., Marques-Ibanez, D. and Ongena, S. (2017) 'Securitization and credit quality', European Central Bank (ECB), Working Paper Series, 2009, pp. 1 - 41. doi: 10.2866/696711. |
Series/Report no.: | European Central Bank (ECB) Working Paper Series;2009 |
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. From our findings it follows that current iniciatives on risk retention by the originator, and more detailed loan-by-loan information on loan credit quality would be useful to reap out the benefits of securitization. |
Description: | This paper can be downloaded without charge from https://www.ecb.europa.eu, from the Social Science Research Network electronic library or from RePEc: Research Papers in Economics. Information on all of the papers published in the ECB Working Paper Series can be found on the ECB’s website. |
URI: | https://bura.brunel.ac.uk/handle/2438/27237 |
DOI: | https://doi.org/10.2866/696711 |
ISBN: | 978-92-899-2731-4 (pdf) |
ISSN: | 1561-0810 |
Other Identifiers: | ORCID iD: Alper Kara https://orcid.org/0000-0002-8560-0501 QB-AR-17-021-EN-N (pdf) |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
FullText.pdf | Copyright © European Central Bank, 2017. All rights reserved (https://www.ecb.europa.eu/services/using-our-site/disclaimer/html/index.en.html). Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the authors. This paper can be downloaded without charge from https://www.ecb.europa.eu/pub/research/working-papers/html/index.en.html, from the Social Science Research Network electronic library or from RePEc: Research Papers in Economics (https://ideas.repec.org/p/ecb/ecbwps/20172009.html). Information on all of the papers published in the ECB Working Paper Series can be found on the ECB’s website. | 675.66 kB | Adobe PDF | View/Open |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.