[{"doi":"https://doi.org/10.1108/JRF-03-2023-0075","title":"The conditional impact of market consolidation and market power on banking stability – Evidence from Europe","date_created":"2022-12-22T07:28:25Z","author":[{"full_name":"Herwald, Sarah","last_name":"Herwald","first_name":"Sarah"},{"first_name":"Simone","full_name":"Voigt, Simone","last_name":"Voigt"},{"first_name":"André","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","full_name":"Uhde, André","id":"36049"}],"volume":25,"date_updated":"2024-05-14T12:13:51Z","jel":["G15","G21","G38"],"citation":{"bibtex":"@article{Herwald_Voigt_Uhde_2024, title={The conditional impact of market consolidation and market power on banking stability – Evidence from Europe}, volume={25}, DOI={<a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>}, number={3}, journal={Journal of Risk Finance}, author={Herwald, Sarah and Voigt, Simone and Uhde, André}, year={2024}, pages={510–536} }","mla":"Herwald, Sarah, et al. “The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe.” <i>Journal of Risk Finance</i>, vol. 25, no. 3, 2024, pp. 510–36, doi:<a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>.","short":"S. Herwald, S. Voigt, A. Uhde, Journal of Risk Finance 25 (2024) 510–536.","apa":"Herwald, S., Voigt, S., &#38; Uhde, A. (2024). The conditional impact of market consolidation and market power on banking stability – Evidence from Europe. <i>Journal of Risk Finance</i>, <i>25</i>(3), 510–536. <a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>","ieee":"S. Herwald, S. Voigt, and A. Uhde, “The conditional impact of market consolidation and market power on banking stability – Evidence from Europe,” <i>Journal of Risk Finance</i>, vol. 25, no. 3, pp. 510–536, 2024, doi: <a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>.","chicago":"Herwald, Sarah, Simone Voigt, and André Uhde. “The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe.” <i>Journal of Risk Finance</i> 25, no. 3 (2024): 510–36. <a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>.","ama":"Herwald S, Voigt S, Uhde A. The conditional impact of market consolidation and market power on banking stability – Evidence from Europe. <i>Journal of Risk Finance</i>. 2024;25(3):510-536. doi:<a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>"},"page":"510 - 536","intvolume":"        25","year":"2024","issue":"3","publication_status":"published","language":[{"iso":"eng"}],"keyword":["market concentration","market power","banking stability","European banking"],"user_id":"36049","department":[{"_id":"186"},{"_id":"188"}],"_id":"34802","status":"public","abstract":[{"text":"Purpose\r\nAcademic research has intensively analyzed the relationship between market concentration or market power and banking stability but provides ambiguous results, which are summarized under the concentration-stability/fragility view. We provide empirical evidence that the mixed results are due to the difficulty of identifying reliable variables to measure concentration and market power.\r\n\r\nDesign/methodology/approach\r\nUsing data from 3,943 banks operating in the European Union (EU)-15 between 2013 and 2020, we employ linear regression models on panel data. Banking market concentration is measured by the Herfindahl–Hirschman Index (HHI), and market power is estimated by the product-specific Lerner Indices for the loan and deposit market, respectively.\r\n\r\nFindings\r\nOur analysis reveals a significantly stability-decreasing impact of market concentration (HHI) and a significantly stability-increasing effect of market power (Lerner Indices). In addition, we provide evidence for a weak (or even absent) empirical relationship between the (non)structural measures, challenging the validity of the structure-conduct-performance (SCP) paradigm. Our baseline findings remain robust, especially when controlling for a likely reverse causality.\r\n\r\nOriginality/value\r\nOur results suggest that the HHI may reflect other factors beyond market power that influence banking stability. Thus, banking supervisors and competition authorities should investigate market concentration and market power simultaneously while considering their joint impact on banking stability.","lang":"eng"}],"type":"journal_article","publication":"Journal of Risk Finance"},{"status":"public","abstract":[{"lang":"eng","text":"Employing a unique and hand-collected sample of 648 true sale loan securitization transactions issued by 57 stock-listed banks across the EU-12 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the relationship between true sale loan securitization and the issuing banks’ non-performing loans to total assets ratios. Overall, we provide evidence for a negative impact of securitization on NPL exposures suggesting that banks predominantly used securitization as an instrument of credit risk transfer and diversification. In addition, the analysis at hand reveals a time-sensitive relationship between securitization and NPL exposures. While we observe an even stronger NPL-reducing effect through securitization during the non-crisis periods, the effect reverses during and after the global financial crisis suggesting that banks were forced to provide credit enhancement and employ securitization as a funding management tool. Along with the results from a variety of sensitivity analyses our study provides important implications for the recent debate on reducing NPL exposures of European banks by revitalizing the European securitization market."}],"publication":"The Quarterly Review of Economics and Finance","type":"journal_article","language":[{"iso":"eng"}],"keyword":["European Banking","Non-performing Loans","Securitization"],"article_type":"original","department":[{"_id":"186"},{"_id":"188"}],"user_id":"36049","_id":"13147","page":"48-64","jel":["G21","G28","G32"],"citation":{"chicago":"Wengerek, Sascha Tobias, Benjamin Hippert, and André Uhde. “Risk Allocation through Securitization – Evidence from Non-Performing Loans.” <i>The Quarterly Review of Economics and Finance</i> Vol. 86 (11) (2022): 48–64. <a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>.","ieee":"S. T. Wengerek, B. Hippert, and A. Uhde, “Risk allocation through securitization – Evidence from non-performing loans,” <i>The Quarterly Review of Economics and Finance</i>, vol. Vol. 86 (11), pp. 48–64, 2022, doi: <a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>.","ama":"Wengerek ST, Hippert B, Uhde A. Risk allocation through securitization – Evidence from non-performing loans. <i>The Quarterly Review of Economics and Finance</i>. 2022;Vol. 86 (11):48-64. doi:<a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>","short":"S.T. Wengerek, B. Hippert, A. Uhde, The Quarterly Review of Economics and Finance Vol. 86 (11) (2022) 48–64.","mla":"Wengerek, Sascha Tobias, et al. “Risk Allocation through Securitization – Evidence from Non-Performing Loans.” <i>The Quarterly Review of Economics and Finance</i>, vol. Vol. 86 (11), Elsevier, 2022, pp. 48–64, doi:<a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>.","bibtex":"@article{Wengerek_Hippert_Uhde_2022, title={Risk allocation through securitization – Evidence from non-performing loans}, volume={Vol. 86 (11)}, DOI={<a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>}, journal={The Quarterly Review of Economics and Finance}, publisher={Elsevier}, author={Wengerek, Sascha Tobias and Hippert, Benjamin and Uhde, André}, year={2022}, pages={48–64} }","apa":"Wengerek, S. T., Hippert, B., &#38; Uhde, A. (2022). Risk allocation through securitization – Evidence from non-performing loans. <i>The Quarterly Review of Economics and Finance</i>, <i>Vol. 86 (11)</i>, 48–64. <a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>"},"year":"2022","publication_status":"published","doi":"https://doi.org/10.1016/j.qref.2022.06.005","title":"Risk allocation through securitization – Evidence from non-performing loans","volume":"Vol. 86 (11)","date_created":"2019-09-06T08:59:28Z","author":[{"first_name":"Sascha Tobias","last_name":"Wengerek","orcid":"0000-0002-7820-3903","full_name":"Wengerek, Sascha Tobias","id":"48837"},{"full_name":"Hippert, Benjamin","id":"48476","last_name":"Hippert","first_name":"Benjamin"},{"first_name":"André","orcid":"https://orcid.org/0000-0002-8058-8857","last_name":"Uhde","full_name":"Uhde, André","id":"36049"}],"publisher":"Elsevier","date_updated":"2022-12-23T11:27:53Z"},{"publication":"The Quarterly Review of Economics and Finance","type":"journal_article","abstract":[{"lang":"eng","text":"Employing a unique hand-collected sample of 956 credit risk securitization transactions issued by 64 stock-listed\r\nEuropean banks across the EU-13 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes\r\nthe impact of securitization on the issuing banks’ effective tax rates. Our analysis reveals that banks may reduce their\r\ntax expense through securitization via a direct and indirect channel suggesting that tax avoidance may be a further\r\nmotive for banks to engage in the securitization business. These baseline findings remain robust under various\r\nrobustness checks, especially when implementing structural equation models and controlling for a reverse causality\r\nbetween the banks’ tax burden and their incentive to securitize. Finally, various sensitivity analyses provide further\r\nimportant results and implications for tax policies, banking regulation and the ongoing process of revitalizing the\r\nEuropean securitization market."}],"status":"public","_id":"5163","department":[{"_id":"186"},{"_id":"188"}],"user_id":"81176","keyword":["Securitization","Credit risk transfer","Effective tax rates","European banking"],"language":[{"iso":"eng"}],"year":"2021","page":"411-421","intvolume":"        79","jel":["G21","G28","H25","H71"],"citation":{"ama":"Uhde A. Tax avoidance through securitization. <i>The Quarterly Review of Economics and Finance</i>. 2021;79:411-421. doi:<a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">10.1016/j.qref.2020.07.008</a>","ieee":"A. Uhde, “Tax avoidance through securitization,” <i>The Quarterly Review of Economics and Finance</i>, vol. 79, pp. 411–421, 2021.","chicago":"Uhde, André. “Tax Avoidance through Securitization.” <i>The Quarterly Review of Economics and Finance</i> 79 (2021): 411–21. <a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">https://doi.org/10.1016/j.qref.2020.07.008</a>.","bibtex":"@article{Uhde_2021, title={Tax avoidance through securitization}, volume={79}, DOI={<a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">10.1016/j.qref.2020.07.008</a>}, journal={The Quarterly Review of Economics and Finance}, author={Uhde, André}, year={2021}, pages={411–421} }","short":"A. Uhde, The Quarterly Review of Economics and Finance 79 (2021) 411–421.","mla":"Uhde, André. “Tax Avoidance through Securitization.” <i>The Quarterly Review of Economics and Finance</i>, vol. 79, 2021, pp. 411–21, doi:<a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">10.1016/j.qref.2020.07.008</a>.","apa":"Uhde, A. (2021). Tax avoidance through securitization. <i>The Quarterly Review of Economics and Finance</i>, <i>79</i>, 411–421. <a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">https://doi.org/10.1016/j.qref.2020.07.008</a>"},"date_updated":"2022-01-06T07:01:40Z","volume":79,"author":[{"first_name":"André","full_name":"Uhde, André","id":"36049","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857"}],"date_created":"2018-10-31T09:55:40Z","title":"Tax avoidance through securitization","doi":"10.1016/j.qref.2020.07.008"},{"status":"public","abstract":[{"text":"Employing a unique and hand-collected dataset of securitization transactions by European banks, this paper analyzes the relationship between true sale loan securitization and the issuing banks’ non-performing loans to total assets ratios (NPLRs). We provide evidence for an NPLR-reducing effect during the boom phase of securitizations suggesting that banks (partly) securitized NPLs as the most risky junior tranche. In contrast, we find the reverse effect during the crises period indicating that issuing banks demonstrated `skin in the game'. A variety of sensitivity analyses provides further important implications for the vital debate on reducing NPL exposures and regulating securitization markets.","lang":"eng"}],"type":"working_paper","language":[{"iso":"eng"}],"keyword":["European Banking","Non-performing Loans","Risk Allocation","Securitization"],"department":[{"_id":"186"}],"user_id":"36049","_id":"29316","citation":{"mla":"Hippert, Benjamin, et al. <i>Risk Allocation through Securitization - Evidence from Non-Performing Loans</i>. 2021.","short":"B. Hippert, A. Uhde, S.T. Wengerek, Risk Allocation through Securitization - Evidence from Non-Performing Loans, 2021.","bibtex":"@book{Hippert_Uhde_Wengerek_2021, title={Risk allocation through securitization - Evidence from non-performing loans}, author={Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias}, year={2021} }","apa":"Hippert, B., Uhde, A., &#38; Wengerek, S. T. (2021). <i>Risk allocation through securitization - Evidence from non-performing loans</i>.","ama":"Hippert B, Uhde A, Wengerek ST. <i>Risk Allocation through Securitization - Evidence from Non-Performing Loans</i>.; 2021.","chicago":"Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. <i>Risk Allocation through Securitization - Evidence from Non-Performing Loans</i>, 2021.","ieee":"B. Hippert, A. Uhde, and S. T. Wengerek, <i>Risk allocation through securitization - Evidence from non-performing loans</i>. 2021."},"jel":["G21","G28","G32"],"year":"2021","title":"Risk allocation through securitization - Evidence from non-performing loans","date_created":"2022-01-13T11:19:28Z","author":[{"last_name":"Hippert","full_name":"Hippert, Benjamin","first_name":"Benjamin"},{"first_name":"André","orcid":"https://orcid.org/0000-0002-8058-8857","last_name":"Uhde","full_name":"Uhde, André","id":"36049"},{"last_name":"Wengerek","full_name":"Wengerek, Sascha Tobias","first_name":"Sascha Tobias"}],"date_updated":"2024-04-17T13:36:05Z"},{"type":"journal_article","publication":"The Quarterly Review of Economics and Finance","abstract":[{"text":"Employing a unique hand-collected sample of 956 credit risk securitization transactions issued by 64 stock-listed European banks across the EU-13 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the impact of securitization on the issuing banks’ effective tax rates. Our analysis reveals that banks may reduce their tax expense through securitization via a direct and indirect channel suggesting that tax avoidance may be a further motive for banks to engage in the securitization business. These baseline findings remain robust under various robustness checks, especially when implementing structural equation models and controlling for a reverse causality between the banks’ tax burden and their incentive to securitize. Finally, various sensitivity analyses provide further important results and implications for tax policies, banking regulation and the ongoing process of revitalizing the European securitization market.","lang":"eng"}],"status":"public","_id":"17522","user_id":"36049","department":[{"_id":"19"}],"article_type":"original","keyword":["Securitization","Credit risk transfer","Effective tax rates","European banking"],"language":[{"iso":"eng"}],"publication_identifier":{"issn":["1062-9769"]},"year":"2020","jel":["G21","G28","H25","H71"],"citation":{"apa":"Uhde, A. (2020). Tax avoidance through securitization. <i>The Quarterly Review of Economics and Finance</i>. <a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">https://doi.org/10.1016/j.qref.2020.07.008</a>","bibtex":"@article{Uhde_2020, title={Tax avoidance through securitization}, DOI={<a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">10.1016/j.qref.2020.07.008</a>}, journal={The Quarterly Review of Economics and Finance}, author={Uhde, André}, year={2020} }","mla":"Uhde, André. “Tax Avoidance through Securitization.” <i>The Quarterly Review of Economics and Finance</i>, 2020, doi:<a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">10.1016/j.qref.2020.07.008</a>.","short":"A. Uhde, The Quarterly Review of Economics and Finance (2020).","ama":"Uhde A. Tax avoidance through securitization. <i>The Quarterly Review of Economics and Finance</i>. Published online 2020. doi:<a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">10.1016/j.qref.2020.07.008</a>","ieee":"A. Uhde, “Tax avoidance through securitization,” <i>The Quarterly Review of Economics and Finance</i>, 2020, doi: <a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">10.1016/j.qref.2020.07.008</a>.","chicago":"Uhde, André. “Tax Avoidance through Securitization.” <i>The Quarterly Review of Economics and Finance</i>, 2020. <a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">https://doi.org/10.1016/j.qref.2020.07.008</a>."},"date_updated":"2024-04-17T13:35:56Z","author":[{"first_name":"André","id":"36049","full_name":"Uhde, André","orcid":"https://orcid.org/0000-0002-8058-8857","last_name":"Uhde"}],"date_created":"2020-08-01T07:20:33Z","title":"Tax avoidance through securitization","doi":"10.1016/j.qref.2020.07.008"},{"year":"2020","citation":{"chicago":"Uhde, André. “Tax Avoidance through Securitization.” <i>The Quarterly Review of Economics and Finance</i>, 2020.","ieee":"A. Uhde, “Tax avoidance through securitization,” <i>The Quarterly Review of Economics and Finance</i>, 2020.","ama":"Uhde A. Tax avoidance through securitization. <i>The Quarterly Review of Economics and Finance</i>. Published online 2020.","apa":"Uhde, A. (2020). Tax avoidance through securitization. <i>The Quarterly Review of Economics and Finance</i>.","short":"A. Uhde, The Quarterly Review of Economics and Finance (2020).","mla":"Uhde, André. “Tax Avoidance through Securitization.” <i>The Quarterly Review of Economics and Finance</i>, 2020.","bibtex":"@article{Uhde_2020, title={Tax avoidance through securitization}, journal={The Quarterly Review of Economics and Finance}, author={Uhde, André}, year={2020} }"},"jel":["G21","G28","H25","H71"],"date_updated":"2024-04-17T13:36:03Z","author":[{"id":"36049","full_name":"Uhde, André","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","first_name":"André"}],"date_created":"2020-07-20T06:29:36Z","title":"Tax avoidance through securitization","publication":"The Quarterly Review of Economics and Finance","type":"journal_article","abstract":[{"text":"Employing a unique hand-collected sample of 956 credit risk securitization transactions issued by 64 stock-listed European banks across the EU-13 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the impact of securitization on the issuing banks’ effective tax rates. Our analysis reveals that banks may reduce their tax expense through securitization via a direct and indirect channel suggesting that tax avoidance may be a further motive for banks to engage in the securitization business. These baseline findings remain robust under various robustness checks, especially when implementing structural equation models and controlling for a reverse causality between the banks’ tax burden and their incentive to securitize. Finally, various sensitivity analyses provide further important results and implications for tax policies, banking regulation and the ongoing process of revitalizing the European securitization market.","lang":"eng"}],"status":"public","_id":"17401","department":[{"_id":"19"}],"user_id":"36049","keyword":["Securitization","credit risk transfer","effective tax rates","European banking"],"language":[{"iso":"eng"}]},{"_id":"5171","department":[{"_id":"186"},{"_id":"188"}],"user_id":"36049","keyword":["European Banking","Non-performing Loans","Risk Allocation","Securitization"],"language":[{"iso":"eng"}],"type":"working_paper","abstract":[{"text":"Employing a unique and hand-collected sample of 648 true sale loan securitization\r\ntransactions issued by 57 stock-listed banks across the EU-12 plus Switzerland\r\nover the period from 1997 to 2010, this paper empirically analyzes the relationship\r\nbetween true sale loan securitization and the issuing banks' non-performing loan\r\nto total assets ratios (NPLRs). We provide evidence for an NPLR-reducing effect\r\nduring the boom phase of securitizations in Europe suggesting that banks in our\r\nsample may (partly) securitize NPLs as the most risky junior tranche and do not\r\n(fully) retain NPLs as a reputation and quality signal towards less informed investors\r\nin imperfect capital markets. In contrast, we fi\fnd the reverse effect during the\r\ncrises period in Europe indicating that issuing banks provided credit enhancement\r\nand demonstrated `skin in the game'. Our baseline result remains robust when\r\ncontrolling for endogeneity concerns and a potential persistence in the time series\r\nof the NPL data. Moreover, results from a variety of sensitivity analysis reveal\r\nthat the NPLR-reducing effect is stronger for opaque securitization transactions,\r\nfor issuing banks exhibiting higher average levels of NPLRs and for banks operating\r\nfrom non-PIIGS countries. In addition, a reduction of NPLRs through securitization\r\nis observed for issued collateralized debt obligations, residential mortgage-backed\r\nsecurities, consumer and other unspeci\fed loans as well as for non-frequently issuing,\r\nsystemically less important and worse-rated banks. Our analysis offers essential\r\ninsights into the loan risk allocation process through securitization and provides\r\nimportant implications for the vital debate on reducing NPL exposures and the\r\nprocess of revitalizing and regulating the European securitization market.","lang":"eng"}],"status":"public","date_updated":"2024-04-17T13:34:47Z","date_created":"2018-10-31T10:07:26Z","author":[{"last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","id":"36049","full_name":"Uhde, André","first_name":"André"},{"first_name":"Sascha Tobias","orcid":"0000-0002-7820-3903","last_name":"Wengerek","full_name":"Wengerek, Sascha Tobias","id":"48837"}],"title":"The relationship between credit risk transfer and non-performing loans. Evidence from European banks","publication_status":"submitted","year":"2017","jel":["G21","G28","G32"],"citation":{"mla":"Uhde, André, and Sascha Tobias Wengerek. <i>The Relationship between Credit Risk Transfer and Non-Performing Loans. Evidence from European Banks</i>.","bibtex":"@book{Uhde_Wengerek, title={The relationship between credit risk transfer and non-performing loans. Evidence from European banks}, author={Uhde, André and Wengerek, Sascha Tobias} }","short":"A. Uhde, S.T. Wengerek, The Relationship between Credit Risk Transfer and Non-Performing Loans. Evidence from European Banks, n.d.","apa":"Uhde, A., &#38; Wengerek, S. T. (n.d.). <i>The relationship between credit risk transfer and non-performing loans. Evidence from European banks</i>.","ama":"Uhde A, Wengerek ST. <i>The Relationship between Credit Risk Transfer and Non-Performing Loans. Evidence from European Banks</i>.","chicago":"Uhde, André, and Sascha Tobias Wengerek. <i>The Relationship between Credit Risk Transfer and Non-Performing Loans. Evidence from European Banks</i>, n.d.","ieee":"A. Uhde and S. T. Wengerek, <i>The relationship between credit risk transfer and non-performing loans. Evidence from European banks</i>. ."}},{"keyword":["Securitization","Determinants","European banking"],"language":[{"iso":"eng"}],"_id":"4396","user_id":"21810","department":[{"_id":"186"},{"_id":"188"}],"abstract":[{"text":"Analyzing 75 securitizing and non-securitizing stock-listed banks in the EU-13 plus Switzerland over the period from 1997 to 2010, this paper provides empirical evidence that loan securitization in Europe is a composite decision based on bank-specific as well as market- and country-specific determinants. In addition, we find that these determinants remarkably change when separately investigating securitization transactions during the pre-crisis and crisis period. Moreover, results from several subsample regressions reveal that determinants of loan securitizations in Europe depend on the transaction type, the underlying asset portfolio and the regulatory and institutional environment under which banks operate.","lang":"eng"}],"status":"public","type":"journal_article","publication":"Journal of Banking and Finance","title":"Determinants of loan securitization in European banking","doi":"10.1016/j.jbankfin.2015.01.015 ","date_updated":"2023-01-10T09:37:18Z","date_created":"2018-09-14T11:26:52Z","author":[{"first_name":"Christian","last_name":"Farruggio","full_name":"Farruggio, Christian"},{"first_name":"André","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","id":"36049","full_name":"Uhde, André"}],"volume":56,"year":"2015","citation":{"ama":"Farruggio C, Uhde A. Determinants of loan securitization in European banking. <i>Journal of Banking and Finance</i>. 2015;56:12-27. doi:<a href=\"https://doi.org/10.1016/j.jbankfin.2015.01.015 \">10.1016/j.jbankfin.2015.01.015 </a>","chicago":"Farruggio, Christian, and André Uhde. “Determinants of Loan Securitization in European Banking.” <i>Journal of Banking and Finance</i> 56 (2015): 12–27. <a href=\"https://doi.org/10.1016/j.jbankfin.2015.01.015 \">https://doi.org/10.1016/j.jbankfin.2015.01.015 </a>.","ieee":"C. Farruggio and A. Uhde, “Determinants of loan securitization in European banking,” <i>Journal of Banking and Finance</i>, vol. 56, pp. 12–27, 2015, doi: <a href=\"https://doi.org/10.1016/j.jbankfin.2015.01.015 \">10.1016/j.jbankfin.2015.01.015 </a>.","bibtex":"@article{Farruggio_Uhde_2015, title={Determinants of loan securitization in European banking}, volume={56}, DOI={<a href=\"https://doi.org/10.1016/j.jbankfin.2015.01.015 \">10.1016/j.jbankfin.2015.01.015 </a>}, journal={Journal of Banking and Finance}, author={Farruggio, Christian and Uhde, André}, year={2015}, pages={12–27} }","mla":"Farruggio, Christian, and André Uhde. “Determinants of Loan Securitization in European Banking.” <i>Journal of Banking and Finance</i>, vol. 56, 2015, pp. 12–27, doi:<a href=\"https://doi.org/10.1016/j.jbankfin.2015.01.015 \">10.1016/j.jbankfin.2015.01.015 </a>.","short":"C. Farruggio, A. Uhde, Journal of Banking and Finance 56 (2015) 12–27.","apa":"Farruggio, C., &#38; Uhde, A. (2015). Determinants of loan securitization in European banking. <i>Journal of Banking and Finance</i>, <i>56</i>, 12–27. <a href=\"https://doi.org/10.1016/j.jbankfin.2015.01.015 \">https://doi.org/10.1016/j.jbankfin.2015.01.015 </a>"},"jel":["G21","G28"],"page":"12-27","intvolume":"        56","publication_status":"published"},{"user_id":"21810","department":[{"_id":"186"},{"_id":"188"}],"_id":"4399","type":"journal_article","status":"public","author":[{"full_name":"Michalak, Tobias C.","last_name":"Michalak","first_name":"Tobias C."},{"first_name":"André","full_name":"Uhde, André","id":"36049","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857"}],"volume":52,"date_updated":"2023-01-10T09:32:07Z","doi":"https://doi.org/10.1016/j.qref.2012.04.008","publication_status":"published","jel":["G21","G28"],"citation":{"apa":"Michalak, T. C., &#38; Uhde, A. (2012).  Credit risk securitization and bank soundness: Evidence from the microlevel for Europe. <i>Quarterly Review of Economics and Finance</i>, <i>52</i>(3), 272–285. <a href=\"https://doi.org/10.1016/j.qref.2012.04.008\">https://doi.org/10.1016/j.qref.2012.04.008</a>","short":"T.C. Michalak, A. Uhde, Quarterly Review of Economics and Finance 52 (2012) 272–285.","bibtex":"@article{Michalak_Uhde_2012, title={ Credit risk securitization and bank soundness: Evidence from the microlevel for Europe}, volume={52}, DOI={<a href=\"https://doi.org/10.1016/j.qref.2012.04.008\">https://doi.org/10.1016/j.qref.2012.04.008</a>}, number={3}, journal={Quarterly Review of Economics and Finance}, author={Michalak, Tobias C. and Uhde, André}, year={2012}, pages={272–285} }","mla":"Michalak, Tobias C., and André Uhde. “ Credit Risk Securitization and Bank Soundness: Evidence from the Microlevel for Europe.” <i>Quarterly Review of Economics and Finance</i>, vol. 52, no. 3, 2012, pp. 272–85, doi:<a href=\"https://doi.org/10.1016/j.qref.2012.04.008\">https://doi.org/10.1016/j.qref.2012.04.008</a>.","ama":"Michalak TC, Uhde A.  Credit risk securitization and bank soundness: Evidence from the microlevel for Europe. <i>Quarterly Review of Economics and Finance</i>. 2012;52(3):272-285. doi:<a href=\"https://doi.org/10.1016/j.qref.2012.04.008\">https://doi.org/10.1016/j.qref.2012.04.008</a>","chicago":"Michalak, Tobias C., and André Uhde. “ Credit Risk Securitization and Bank Soundness: Evidence from the Microlevel for Europe.” <i>Quarterly Review of Economics and Finance</i> 52, no. 3 (2012): 272–85. <a href=\"https://doi.org/10.1016/j.qref.2012.04.008\">https://doi.org/10.1016/j.qref.2012.04.008</a>.","ieee":"T. C. Michalak and A. Uhde, “ Credit risk securitization and bank soundness: Evidence from the microlevel for Europe,” <i>Quarterly Review of Economics and Finance</i>, vol. 52, no. 3, pp. 272–285, 2012, doi: <a href=\"https://doi.org/10.1016/j.qref.2012.04.008\">https://doi.org/10.1016/j.qref.2012.04.008</a>."},"intvolume":"        52","page":"272-285","language":[{"iso":"eng"}],"keyword":["Credit risk securitization Bank soundness European banking"],"publication":"Quarterly Review of Economics and Finance","abstract":[{"lang":"eng","text":"Using a unique sample of 749 cash and synthetic securitization transactions issued by 60 stock-listed bank holdings in the EU-13 plus Switzerland over the period from 1997 to 2007 this paper provides empirical evidence that credit risk securitization has a negative impact on the issuing banks’ financial soundness. Baseline findings hold even when controlling for likely reverse causality by employing instrumental variable techniques and substituting the accounting-based z-score ratio by market-based indicators of bank risk. Moreover, investigating the relationship between credit risk securitization and single z-score components in order to evaluate significant transmission channels proposed by relevant theoretical literature, we find a negative impact of securitization on bank profitability and capital environment as well as a positive relationship between securitization and the issuing bank's return volatility. Against the background of our empirical results we underline that the decision by the Basel Committee to enhance the new Basel III framework in the field of securitization is a step in the right direction."}],"date_created":"2018-09-14T11:59:26Z","title":" Credit risk securitization and bank soundness: Evidence from the microlevel for Europe","issue":"3","year":"2012"},{"language":[{"iso":"eng"}],"keyword":["risk-taking channel","competition","concentration","bank soundness","European banking"],"user_id":"21810","department":[{"_id":"186"},{"_id":"188"}],"_id":"36021","status":"public","abstract":[{"lang":"eng","text":"Using a sample of stock-listed bank holding companies located in Western Europe over the period from 1997 to 2008 this paper provides empirical evidence that an increase in short-term interest rates as well as an extended period of expansionary monetary policy has a negative impact on European stock-listed banks’ soundness as measured by the Expected Default Frequency. Against this background and in order to evaluate interactions between the risk-taking channel of monetary policy and the competitiveness of a country’s banking market we find a negative impact of an increase in competition in the loan market – proxied by the Boone-indicator – on financial soundness. Referring to the structural-conduct performance (SCP) paradigm, this paper provides further evidence that an increase in concentration in the banking market spurs financial soundness. "}],"type":"working_paper","title":"The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking","date_created":"2023-01-11T11:04:30Z","author":[{"last_name":"Michalak","full_name":"Michalak, Tobias C.","first_name":"Tobias C."},{"last_name":"Uhde","id":"36049","full_name":"Uhde, André","first_name":"André"}],"publisher":"Paderborn University","date_updated":"2024-04-17T13:35:15Z","citation":{"ama":"Michalak TC, Uhde A. <i>The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking</i>. Paderborn University; 2011.","chicago":"Michalak, Tobias C., and André Uhde. <i>The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking</i>. Paderborn University, 2011.","ieee":"T. C. Michalak and A. Uhde, <i>The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking</i>. Paderborn University, 2011.","short":"T.C. Michalak, A. Uhde, The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking, Paderborn University, 2011.","mla":"Michalak, Tobias C., and André Uhde. <i>The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking</i>. Paderborn University, 2011.","bibtex":"@book{Michalak_Uhde_2011, title={The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking}, publisher={Paderborn University}, author={Michalak, Tobias C. and Uhde, André}, year={2011} }","apa":"Michalak, T. C., &#38; Uhde, A. (2011). <i>The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking</i>. Paderborn University."},"jel":["E43","E44","E52","G01","G28"],"year":"2011","publication_status":"published"}]