@article{13147,
  abstract     = {{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.}},
  author       = {{Wengerek, Sascha Tobias and Hippert, Benjamin and Uhde, André}},
  journal      = {{The Quarterly Review of Economics and Finance}},
  keywords     = {{European Banking, Non-performing Loans, Securitization}},
  pages        = {{48--64}},
  publisher    = {{Elsevier}},
  title        = {{{Risk allocation through securitization – Evidence from non-performing loans}}},
  doi          = {{https://doi.org/10.1016/j.qref.2022.06.005}},
  volume       = {{Vol. 86 (11)}},
  year         = {{2022}},
}

@techreport{29316,
  abstract     = {{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.}},
  author       = {{Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias}},
  keywords     = {{European Banking, Non-performing Loans, Risk Allocation, Securitization}},
  title        = {{{Risk allocation through securitization - Evidence from non-performing loans}}},
  year         = {{2021}},
}

@techreport{5171,
  abstract     = {{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 loan
to total assets ratios (NPLRs). We provide evidence for an NPLR-reducing effect
during the boom phase of securitizations in Europe suggesting that banks in our
sample may (partly) securitize NPLs as the most risky junior tranche and do not
(fully) retain NPLs as a reputation and quality signal towards less informed investors
in imperfect capital markets. In contrast, we find the reverse effect during the
crises period in Europe indicating that issuing banks provided credit enhancement
and demonstrated `skin in the game'. Our baseline result remains robust when
controlling for endogeneity concerns and a potential persistence in the time series
of the NPL data. Moreover, results from a variety of sensitivity analysis reveal
that the NPLR-reducing effect is stronger for opaque securitization transactions,
for issuing banks exhibiting higher average levels of NPLRs and for banks operating
from non-PIIGS countries. In addition, a reduction of NPLRs through securitization
is observed for issued collateralized debt obligations, residential mortgage-backed
securities, consumer and other unspecied loans as well as for non-frequently issuing,
systemically less important and worse-rated banks. Our analysis offers essential
insights into the loan risk allocation process through securitization and provides
important implications for the vital debate on reducing NPL exposures and the
process of revitalizing and regulating the European securitization market.}},
  author       = {{Uhde, André and Wengerek, Sascha Tobias}},
  keywords     = {{European Banking, Non-performing Loans, Risk Allocation, Securitization}},
  title        = {{{The relationship between credit risk transfer and non-performing loans. Evidence from European banks}}},
  year         = {{2017}},
}