CREDIT RISK TRANSFER MECHANISMS IN THE EU BANKING SECTOR

Angela Roman and Alina Sargu

Revista Economica, 2012, vol. Supplement, issue 4, 552-560

Abstract: In the last two decades the usage of innovative financial instruments has increased in the European banking sector. Traditional instruments like loans sales have been complemented by new ones like the credit derivatives instruments. In this context, the aim of our research is to test if and how the usage of the credit derivatives instruments and the loans sales operations can be influenced by a series of banks characteristics. In order to achieve this we have used a multiple linear regression analysis, where the independent variables were represented by a series of banks characteristics, like banks size, their profitability or capitalisation ratio and the dependent variables were represented by the estimations made regarding the major European banks presence on credit derivatives and loans sales markets. The sample used was comprised from the major 20 banking groups located in the European Union and the analysed period was 2007-2009. The obtained results suggest that larger banks, well capitalised and strongly geographically diversified tend to be the most active in credit derivatives instruments operations, while loans sales operations tend to be dominated by the banks well diversified, highly capitalise and that have very good loaning opportunities.

Date: 2012
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