Securitization and credit quality in the European market

Alper Kara, David Marques-Ibanez, Steven Ongena

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

We assess the effect of securitization activity on relative credit quality employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that at issuance, based on observable characteristics, banks do not seem to select and securitize loans of lower credit quality. Following securitization, the credit quality of borrowers whose loans are securitized deteriorates more than those in the control group. We find that poorer performance by borrowers of securitized loans seems to be connected to banks’ reduced monitoring incentives. Our results are supported by two additional methodologies and robust to controlling for predetermined borrower-lender matching.
LanguageEnglish
Pages407-434
Number of pages28
JournalEuropean Financial Management
Volume25
Issue number2
Early online date13 Jan 2018
DOIs
Publication statusPublished - Mar 2019

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Loans
Securitization
Credit
Syndicated loans
Incentives
Monitoring
Methodology

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Kara, Alper ; Marques-Ibanez, David ; Ongena, Steven. / Securitization and credit quality in the European market. In: European Financial Management. 2019 ; Vol. 25, No. 2. pp. 407-434.
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Securitization and credit quality in the European market. / Kara, Alper; Marques-Ibanez, David; Ongena, Steven.

In: European Financial Management, Vol. 25, No. 2, 03.2019, p. 407-434.

Research output: Contribution to journalArticle

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