Bank reputation and securitization quality: European evidence

Solomon Deku, Alper Kara and David Marques-Ibanez

Finance Research Letters, 2022, vol. 46, issue PB

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.

Keywords: Securitization; MBS; Issuer reputation (search for similar items in EconPapers)
JEL-codes: G21 G28 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004165

DOI: 10.1016/j.frl.2021.102427

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