---
_id: '29316'
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.
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
last_name: Wengerek
citation:
ama: Hippert B, Uhde A, Wengerek ST. Risk Allocation through Securitization -
Evidence from Non-Performing Loans.; 2021.
apa: Hippert, B., Uhde, A., & Wengerek, S. T. (2021). Risk allocation through
securitization - Evidence from non-performing loans.
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} }'
chicago: Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. Risk Allocation
through Securitization - Evidence from Non-Performing Loans, 2021.
ieee: B. Hippert, A. Uhde, and S. T. Wengerek, Risk allocation through securitization
- Evidence from non-performing loans. 2021.
mla: Hippert, Benjamin, et al. Risk Allocation through Securitization - Evidence
from Non-Performing Loans. 2021.
short: B. Hippert, A. Uhde, S.T. Wengerek, Risk Allocation through Securitization
- Evidence from Non-Performing Loans, 2021.
date_created: 2022-01-13T11:19:28Z
date_updated: 2024-04-17T13:36:05Z
department:
- _id: '186'
jel:
- G21
- G28
- G32
keyword:
- European Banking
- Non-performing Loans
- Risk Allocation
- Securitization
language:
- iso: eng
status: public
title: Risk allocation through securitization - Evidence from non-performing loans
type: working_paper
user_id: '36049'
year: '2021'
...
---
_id: '5171'
abstract:
- lang: eng
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."
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
citation:
ama: Uhde A, Wengerek ST. The Relationship between Credit Risk Transfer and Non-Performing
Loans. Evidence from European Banks.
apa: Uhde, A., & Wengerek, S. T. (n.d.). The relationship between credit
risk transfer and non-performing loans. Evidence from European banks.
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} }'
chicago: Uhde, André, and Sascha Tobias Wengerek. The Relationship between Credit
Risk Transfer and Non-Performing Loans. Evidence from European Banks, n.d.
ieee: A. Uhde and S. T. Wengerek, The relationship between credit risk transfer
and non-performing loans. Evidence from European banks. .
mla: Uhde, André, and Sascha Tobias Wengerek. The Relationship between Credit
Risk Transfer and Non-Performing Loans. Evidence from European Banks.
short: A. Uhde, S.T. Wengerek, The Relationship between Credit Risk Transfer and
Non-Performing Loans. Evidence from European Banks, n.d.
date_created: 2018-10-31T10:07:26Z
date_updated: 2024-04-17T13:34:47Z
department:
- _id: '186'
- _id: '188'
jel:
- G21
- G28
- G32
keyword:
- European Banking
- Non-performing Loans
- Risk Allocation
- Securitization
language:
- iso: eng
publication_status: submitted
status: public
title: The relationship between credit risk transfer and non-performing loans. Evidence
from European banks
type: working_paper
user_id: '36049'
year: '2017'
...