Bank reputation and securitization quality: European evidence

Solomon Y. Deku, Alper Kara, David Marques-Ibanez

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
JournalFinance Research Letters
Publication statusAccepted/In press - 2 Sep 2021

Fingerprint

Dive into the research topics of 'Bank reputation and securitization quality: European evidence'. Together they form a unique fingerprint.

Cite this