EconPapers    
Economics at your fingertips  
 

Asymmetric information and the securitization of SME loans

Ugo Albertazzi, Margherita Bottero, Leonardo Gambacorta () and Steven Ongena ()

No 11785, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Using credit register data for loans to Italian firms we test for the presence of asymmetric information in the securitization market by looking at the correlation between the securitization (risk-transfer) and the default (accident) probability. We can disentangle the adverse selection from the moral hazard component for the many firms with multiple bank relationships. We find that adverse selection is widespread but that moral hazard is confined to weak relationships, indicating that a strong relationship is a credible enough commitment to monitor after securitization. Importantly, the selection of which loans to securitize based on observables is such that it largely offsets the (negative) effects of asymmetric information, rendering the overall unconditional quality of securitized loans significantly better than that of non-securitized ones. Thus, despite the presence of asymmetric information, our results do not accord with the view that credit-risk transfer leads to lax credit standards.

Keywords: Adverse Selection; moral hazard; Securitization; SME loans (search for similar items in EconPapers)
JEL-codes: D82 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn and nep-sbm
Date: 2017-01
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=11785 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: Asymmetric information and the securitization of SME loans (2017) Downloads
Working Paper: Asymmetric information and the securitization of SME loans (2016) Downloads
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: http://EconPapers.repec.org/RePEc:cpr:ceprdp:11785

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... rs/dp.php?dpno=11785

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ..
Series data maintained by (). This e-mail address is bad, please contact .

 
Page updated 2017-09-09
Handle: RePEc:cpr:ceprdp:11785