Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 407-434 |
| Number of pages | 28 |
| Journal | European Financial Management |
| Volume | 25 |
| Issue number | 2 |
| Early online date | 13 Jan 2018 |
| DOIs | |
| Publication status | Published - Mar 2019 |
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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 journal › Article
TY - JOUR
T1 - Securitization and credit quality in the European market
AU - Kara, Alper
AU - Marques-Ibanez, David
AU - Ongena, Steven
PY - 2019/3
Y1 - 2019/3
N2 - 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.
AB - 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.
KW - Securitization
KW - Credit risk
KW - European market
UR - http://www.scopus.com/inward/record.url?scp=85043304278&partnerID=8YFLogxK
U2 - 10.1111/eufm.12168
DO - 10.1111/eufm.12168
M3 - Article
VL - 25
SP - 407
EP - 434
JO - European Financial Management
JF - European Financial Management
SN - 1354-7798
IS - 2
ER -