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http://bura.brunel.ac.uk/handle/2438/28041
Title: | Bank reputation and securitization quality: European evidence |
Authors: | Deku, SY Kara, A Marques-Ibanez, D |
Keywords: | securitization;MBS;issuer reputation |
Issue Date: | 7-Sep-2021 |
Publisher: | Elsevier |
Citation: | Deku, S.Y., Kara, A. and Marques-Ibanez, D. (2022) 'Bank reputation and securitization quality: European evidence', Finance Research Letters, 46 (B), 102427, pp. 1 - 7. doi: 10.1016/j.frl.2021.102427. |
Abstract: | We examine the link between issuer bank reputation and the performance of mortgage-backed securities (MBS) in the European market. We find that MBS sold by reputable issuer banks are collateralised by higher quality asset pools with lower delinquency rates and are less likely to be downgraded. However, during boom periods – characterized by declining credit standards, MBS originated by reputable issuer banks tend to be collateralised by lower quality assets, compared to normal periods. |
Description: | JEL Classification: G21; G28. |
URI: | https://bura.brunel.ac.uk/handle/2438/28041 |
DOI: | https://doi.org/10.1016/j.frl.2021.102427 |
ISSN: | 1544-6123 |
Other Identifiers: | ORCID iD: Alper Kara https://orcid.org/0000-0002-8560-0501 102427 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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