Kara, Alper, Marques-Ibanez, David and Ongena, Steven (2018) Securitization and Credit Quality in the European Market. European Financial Management. ISSN 1468-036X
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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.
Item Type: | Article |
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Uncontrolled Keywords: | Securitization; Credit risk; European market |
Subjects: | H Social Sciences > HG Finance |
Schools: | Huddersfield Business School |
Related URLs: | |
Depositing User: | Jonathan Cook |
Date Deposited: | 08 Jan 2018 10:51 |
Last Modified: | 24 Jan 2021 20:45 |
URI: | http://eprints.hud.ac.uk/id/eprint/34164 |
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