Retained interests in securitisations and implications for bank solvency

Anna Sarkisyan and Barbara Casu

No 1538, Working Paper Series from European Central Bank

Abstract: Using US bank holding company data for the period 2001 to 2007, this paper examines the relationship between banks' retained interests in securitisations and insolvency risk. We find that the provision of credit enhancements and guarantees significantly increases bank insolvency risk, albeit this varies for different levels of securitisation outstanding. Specifically, retained interests increase insolvency risk for JEL Classification: G21, G32

Keywords: insolvency risk; retained interests; securitisation (search for similar items in EconPapers)
Date: 2013-04
New Economics Papers: this item is included in nep-ban and nep-cba
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20131538

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