[{"type":"working_paper","status":"public","abstract":[{"lang":"eng","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."}],"department":[{"_id":"186"}],"user_id":"36049","_id":"29316","language":[{"iso":"eng"}],"keyword":["European Banking","Non-performing Loans","Risk Allocation","Securitization"],"citation":{"ieee":"B. Hippert, A. Uhde, and S. T. Wengerek, <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.","ama":"Hippert B, Uhde A, Wengerek ST. <i>Risk Allocation through Securitization - Evidence from Non-Performing Loans</i>.; 2021.","apa":"Hippert, B., Uhde, A., &#38; Wengerek, S. T. (2021). <i>Risk allocation through securitization - Evidence from non-performing loans</i>.","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} }","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."},"jel":["G21","G28","G32"],"year":"2021","date_created":"2022-01-13T11:19:28Z","author":[{"full_name":"Hippert, Benjamin","last_name":"Hippert","first_name":"Benjamin"},{"last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","full_name":"Uhde, André","id":"36049","first_name":"André"},{"last_name":"Wengerek","full_name":"Wengerek, Sascha Tobias","first_name":"Sascha Tobias"}],"date_updated":"2024-04-17T13:36:05Z","title":"Risk allocation through securitization - Evidence from non-performing loans"},{"keyword":["European Banking","Non-performing Loans","Risk Allocation","Securitization"],"language":[{"iso":"eng"}],"_id":"5171","user_id":"36049","department":[{"_id":"186"},{"_id":"188"}],"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","type":"working_paper","title":"The relationship between credit risk transfer and non-performing loans. Evidence from European banks","date_updated":"2024-04-17T13:34:47Z","author":[{"first_name":"André","orcid":"https://orcid.org/0000-0002-8058-8857","last_name":"Uhde","id":"36049","full_name":"Uhde, André"},{"first_name":"Sascha Tobias","id":"48837","full_name":"Wengerek, Sascha Tobias","orcid":"0000-0002-7820-3903","last_name":"Wengerek"}],"date_created":"2018-10-31T10:07:26Z","year":"2017","jel":["G21","G28","G32"],"citation":{"ama":"Uhde A, Wengerek ST. <i>The Relationship between Credit Risk Transfer and Non-Performing Loans. Evidence from European Banks</i>.","ieee":"A. Uhde and S. T. Wengerek, <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.","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>.","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."},"publication_status":"submitted"}]