Risk allocation through securitization - Evidence from non-performing loans

Sascha Tobias Wengerek (sascha.tobias.wengerek@upb.de), Benjamin Hippert (benjamin.hippert@upb.de) and André Uhde (andre.uhde@upb.de)
Additional contact information
Sascha Tobias Wengerek: University of Paderborn
Benjamin Hippert: University of Paderborn
André Uhde: University of Paderborn

No 58, Working Papers Dissertations from Paderborn University, Faculty of Business Administration and Economics

Abstract: Employing a unique and hand-collected dataset of securitization transactions by European banks, this paper analyzes the relationship between true sale loan securitization and the issuing banks’ non-performing loans to total assets ratios (NPLRs). We provide evidence for an NPLR-reducing effect during the boom phase of securitizations suggesting that banks (partly) securitized NPLs as the most risky junior tranche. In contrast, we find the reverse effect during the crises period indicating that issuing banks demonstrated `skin in the game'. A variety of sensitivity analyses provides further important implications for the vital debate on reducing NPL exposures and regulating securitization markets.

Keywords: European Banking; Non-performing Loans; Risk Allocation; Securitization (search for similar items in EconPapers)
JEL-codes: G21 G28 G32 (search for similar items in EconPapers)
Pages: 51
Date: 2019-09
New Economics Papers: this item is included in nep-ban and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://groups.uni-paderborn.de/wp-wiwi/RePEc/pdf/dispap/DP58.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pdn:dispap:58

Access Statistics for this paper

More papers in Working Papers Dissertations from Paderborn University, Faculty of Business Administration and Economics Contact information at EDIRC.
Bibliographic data for series maintained by WP-WiWi-Info (christiane.borghoff@uni-paderborn.de).