---
_id: '13147'
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.
article_type: original
author:
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Wengerek ST, Hippert B, Uhde A. Risk allocation through securitization – Evidence
from non-performing loans. The Quarterly Review of Economics and Finance.
2022;Vol. 86 (11):48-64. doi:https://doi.org/10.1016/j.qref.2022.06.005
apa: Wengerek, S. T., Hippert, B., & Uhde, A. (2022). Risk allocation through
securitization – Evidence from non-performing loans. The Quarterly Review of
Economics and Finance, Vol. 86 (11), 48–64. https://doi.org/10.1016/j.qref.2022.06.005
bibtex: '@article{Wengerek_Hippert_Uhde_2022, title={Risk allocation through securitization
– Evidence from non-performing loans}, volume={Vol. 86 (11)}, DOI={https://doi.org/10.1016/j.qref.2022.06.005},
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} }'
chicago: 'Wengerek, Sascha Tobias, Benjamin Hippert, and André Uhde. “Risk Allocation
through Securitization – Evidence from Non-Performing Loans.” The Quarterly
Review of Economics and Finance Vol. 86 (11) (2022): 48–64. https://doi.org/10.1016/j.qref.2022.06.005.'
ieee: 'S. T. Wengerek, B. Hippert, and A. Uhde, “Risk allocation through securitization
– Evidence from non-performing loans,” The Quarterly Review of Economics and
Finance, vol. Vol. 86 (11), pp. 48–64, 2022, doi: https://doi.org/10.1016/j.qref.2022.06.005.'
mla: Wengerek, Sascha Tobias, et al. “Risk Allocation through Securitization – Evidence
from Non-Performing Loans.” The Quarterly Review of Economics and Finance,
vol. Vol. 86 (11), Elsevier, 2022, pp. 48–64, doi:https://doi.org/10.1016/j.qref.2022.06.005.
short: S.T. Wengerek, B. Hippert, A. Uhde, The Quarterly Review of Economics and
Finance Vol. 86 (11) (2022) 48–64.
date_created: 2019-09-06T08:59:28Z
date_updated: 2022-12-23T11:27:53Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1016/j.qref.2022.06.005
jel:
- G21
- G28
- G32
keyword:
- European Banking
- Non-performing Loans
- Securitization
language:
- iso: eng
page: 48-64
publication: The Quarterly Review of Economics and Finance
publication_status: published
publisher: Elsevier
status: public
title: Risk allocation through securitization – Evidence from non-performing loans
type: journal_article
user_id: '36049'
volume: Vol. 86 (11)
year: '2022'
...
---
_id: '5163'
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."
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Uhde A. Tax avoidance through securitization. The Quarterly Review of Economics
and Finance. 2021;79:411-421. doi:10.1016/j.qref.2020.07.008
apa: Uhde, A. (2021). Tax avoidance through securitization. The Quarterly Review
of Economics and Finance, 79, 411–421. https://doi.org/10.1016/j.qref.2020.07.008
bibtex: '@article{Uhde_2021, title={Tax avoidance through securitization}, volume={79},
DOI={10.1016/j.qref.2020.07.008},
journal={The Quarterly Review of Economics and Finance}, author={Uhde, André},
year={2021}, pages={411–421} }'
chicago: 'Uhde, André. “Tax Avoidance through Securitization.” The Quarterly
Review of Economics and Finance 79 (2021): 411–21. https://doi.org/10.1016/j.qref.2020.07.008.'
ieee: A. Uhde, “Tax avoidance through securitization,” The Quarterly Review of
Economics and Finance, vol. 79, pp. 411–421, 2021.
mla: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, vol. 79, 2021, pp. 411–21, doi:10.1016/j.qref.2020.07.008.
short: A. Uhde, The Quarterly Review of Economics and Finance 79 (2021) 411–421.
date_created: 2018-10-31T09:55:40Z
date_updated: 2022-01-06T07:01:40Z
department:
- _id: '186'
- _id: '188'
doi: 10.1016/j.qref.2020.07.008
intvolume: ' 79'
jel:
- G21
- G28
- H25
- H71
keyword:
- Securitization
- Credit risk transfer
- Effective tax rates
- European banking
language:
- iso: eng
page: 411-421
publication: The Quarterly Review of Economics and Finance
status: public
title: Tax avoidance through securitization
type: journal_article
user_id: '81176'
volume: 79
year: '2021'
...
---
_id: '4396'
abstract:
- lang: eng
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.
author:
- first_name: Christian
full_name: Farruggio, Christian
last_name: Farruggio
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Farruggio C, Uhde A. Determinants of loan securitization in European banking.
Journal of Banking and Finance. 2015;56:12-27. doi:10.1016/j.jbankfin.2015.01.015
apa: Farruggio, C., & Uhde, A. (2015). Determinants of loan securitization in
European banking. Journal of Banking and Finance, 56, 12–27. https://doi.org/10.1016/j.jbankfin.2015.01.015
bibtex: '@article{Farruggio_Uhde_2015, title={Determinants of loan securitization
in European banking}, volume={56}, DOI={10.1016/j.jbankfin.2015.01.015 }, journal={Journal of Banking and Finance},
author={Farruggio, Christian and Uhde, André}, year={2015}, pages={12–27} }'
chicago: 'Farruggio, Christian, and André Uhde. “Determinants of Loan Securitization
in European Banking.” Journal of Banking and Finance 56 (2015): 12–27.
https://doi.org/10.1016/j.jbankfin.2015.01.015
.'
ieee: 'C. Farruggio and A. Uhde, “Determinants of loan securitization in European
banking,” Journal of Banking and Finance, vol. 56, pp. 12–27, 2015, doi:
10.1016/j.jbankfin.2015.01.015
.'
mla: Farruggio, Christian, and André Uhde. “Determinants of Loan Securitization
in European Banking.” Journal of Banking and Finance, vol. 56, 2015, pp.
12–27, doi:10.1016/j.jbankfin.2015.01.015
.
short: C. Farruggio, A. Uhde, Journal of Banking and Finance 56 (2015) 12–27.
date_created: 2018-09-14T11:26:52Z
date_updated: 2023-01-10T09:37:18Z
department:
- _id: '186'
- _id: '188'
doi: '10.1016/j.jbankfin.2015.01.015 '
intvolume: ' 56'
jel:
- G21
- G28
keyword:
- Securitization
- Determinants
- European banking
language:
- iso: eng
page: 12-27
publication: Journal of Banking and Finance
publication_status: published
status: public
title: Determinants of loan securitization in European banking
type: journal_article
user_id: '21810'
volume: 56
year: '2015'
...
---
_id: '4399'
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.
author:
- first_name: Tobias C.
full_name: Michalak, Tobias C.
last_name: Michalak
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: 'Michalak TC, Uhde A. Credit risk securitization and bank soundness: Evidence
from the microlevel for Europe. Quarterly Review of Economics and Finance.
2012;52(3):272-285. doi:https://doi.org/10.1016/j.qref.2012.04.008'
apa: 'Michalak, T. C., & Uhde, A. (2012). Credit risk securitization and bank
soundness: Evidence from the microlevel for Europe. Quarterly Review of Economics
and Finance, 52(3), 272–285. https://doi.org/10.1016/j.qref.2012.04.008'
bibtex: '@article{Michalak_Uhde_2012, title={ Credit risk securitization and bank
soundness: Evidence from the microlevel for Europe}, volume={52}, DOI={https://doi.org/10.1016/j.qref.2012.04.008},
number={3}, journal={Quarterly Review of Economics and Finance}, author={Michalak,
Tobias C. and Uhde, André}, year={2012}, pages={272–285} }'
chicago: 'Michalak, Tobias C., and André Uhde. “ Credit Risk Securitization and
Bank Soundness: Evidence from the Microlevel for Europe.” Quarterly Review
of Economics and Finance 52, no. 3 (2012): 272–85. https://doi.org/10.1016/j.qref.2012.04.008.'
ieee: 'T. C. Michalak and A. Uhde, “ Credit risk securitization and bank soundness:
Evidence from the microlevel for Europe,” Quarterly Review of Economics and
Finance, vol. 52, no. 3, pp. 272–285, 2012, doi: https://doi.org/10.1016/j.qref.2012.04.008.'
mla: 'Michalak, Tobias C., and André Uhde. “ Credit Risk Securitization and Bank
Soundness: Evidence from the Microlevel for Europe.” Quarterly Review of Economics
and Finance, vol. 52, no. 3, 2012, pp. 272–85, doi:https://doi.org/10.1016/j.qref.2012.04.008.'
short: T.C. Michalak, A. Uhde, Quarterly Review of Economics and Finance 52 (2012)
272–285.
date_created: 2018-09-14T11:59:26Z
date_updated: 2023-01-10T09:32:07Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1016/j.qref.2012.04.008
intvolume: ' 52'
issue: '3'
jel:
- G21
- G28
keyword:
- Credit risk securitization Bank soundness European banking
language:
- iso: eng
page: 272-285
publication: Quarterly Review of Economics and Finance
publication_status: published
status: public
title: ' Credit risk securitization and bank soundness: Evidence from the microlevel
for Europe'
type: journal_article
user_id: '21810'
volume: 52
year: '2012'
...