[{"user_id":"36049","department":[{"_id":"186"},{"_id":"188"}],"_id":"13147","language":[{"iso":"eng"}],"article_type":"original","keyword":["European Banking","Non-performing Loans","Securitization"],"type":"journal_article","publication":"The Quarterly Review of Economics and Finance","status":"public","abstract":[{"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.","lang":"eng"}],"author":[{"first_name":"Sascha Tobias","full_name":"Wengerek, Sascha Tobias","id":"48837","last_name":"Wengerek","orcid":"0000-0002-7820-3903"},{"first_name":"Benjamin","last_name":"Hippert","id":"48476","full_name":"Hippert, Benjamin"},{"last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","id":"36049","full_name":"Uhde, André","first_name":"André"}],"date_created":"2019-09-06T08:59:28Z","volume":"Vol. 86 (11)","publisher":"Elsevier","date_updated":"2022-12-23T11:27:53Z","doi":"https://doi.org/10.1016/j.qref.2022.06.005","title":"Risk allocation through securitization – Evidence from non-performing loans","publication_status":"published","jel":["G21","G28","G32"],"citation":{"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>","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>.","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>.","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>","short":"S.T. Wengerek, B. Hippert, A. Uhde, The Quarterly Review of Economics and Finance Vol. 86 (11) (2022) 48–64.","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} }","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>."},"page":"48-64","year":"2022"},{"date_updated":"2022-01-06T07:01:40Z","volume":79,"date_created":"2018-10-31T09:55:40Z","author":[{"id":"36049","full_name":"Uhde, André","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","first_name":"André"}],"title":"Tax avoidance through securitization","doi":"10.1016/j.qref.2020.07.008","year":"2021","intvolume":"        79","page":"411-421","citation":{"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>.","ieee":"A. Uhde, “Tax avoidance through securitization,” <i>The Quarterly Review of Economics and Finance</i>, vol. 79, pp. 411–421, 2021.","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>","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>","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>.","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} }"},"jel":["G21","G28","H25","H71"],"_id":"5163","department":[{"_id":"186"},{"_id":"188"}],"user_id":"81176","keyword":["Securitization","Credit risk transfer","Effective tax rates","European banking"],"language":[{"iso":"eng"}],"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"},{"type":"working_paper","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."}],"status":"public","_id":"29316","user_id":"36049","department":[{"_id":"186"}],"keyword":["European Banking","Non-performing Loans","Risk Allocation","Securitization"],"language":[{"iso":"eng"}],"year":"2021","citation":{"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.","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"],"date_updated":"2024-04-17T13:36:05Z","author":[{"full_name":"Hippert, Benjamin","last_name":"Hippert","first_name":"Benjamin"},{"id":"36049","full_name":"Uhde, André","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","first_name":"André"},{"first_name":"Sascha Tobias","last_name":"Wengerek","full_name":"Wengerek, Sascha Tobias"}],"date_created":"2022-01-13T11:19:28Z","title":"Risk allocation through securitization - Evidence from non-performing loans"},{"author":[{"first_name":"André","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","full_name":"Uhde, André","id":"36049"}],"date_created":"2020-08-01T07:20:33Z","date_updated":"2024-04-17T13:35:56Z","doi":"10.1016/j.qref.2020.07.008","title":"Tax avoidance through securitization","publication_identifier":{"issn":["1062-9769"]},"jel":["G21","G28","H25","H71"],"citation":{"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).","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} }","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>","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>."},"year":"2020","user_id":"36049","department":[{"_id":"19"}],"_id":"17522","language":[{"iso":"eng"}],"article_type":"original","keyword":["Securitization","Credit risk transfer","Effective tax rates","European banking"],"type":"journal_article","publication":"The Quarterly Review of Economics and Finance","status":"public","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"}]},{"date_updated":"2024-04-17T13:36:03Z","date_created":"2020-07-20T06:29:36Z","author":[{"id":"36049","full_name":"Uhde, André","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","first_name":"André"}],"title":"Tax avoidance through securitization","year":"2020","jel":["G21","G28","H25","H71"],"citation":{"ama":"Uhde A. Tax avoidance through securitization. <i>The Quarterly Review of Economics and Finance</i>. Published online 2020.","ieee":"A. Uhde, “Tax avoidance through securitization,” <i>The Quarterly Review of Economics and Finance</i>, 2020.","chicago":"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} }","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.","apa":"Uhde, A. (2020). Tax avoidance through securitization. <i>The Quarterly Review of Economics and Finance</i>."},"_id":"17401","department":[{"_id":"19"}],"user_id":"36049","keyword":["Securitization","credit risk transfer","effective tax rates","European banking"],"language":[{"iso":"eng"}],"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":"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":[{"first_name":"André","orcid":"https://orcid.org/0000-0002-8058-8857","last_name":"Uhde","id":"36049","full_name":"Uhde, André"},{"first_name":"Sascha Tobias","full_name":"Wengerek, Sascha Tobias","id":"48837","last_name":"Wengerek","orcid":"0000-0002-7820-3903"}],"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":{"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.","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>. .","ama":"Uhde A, Wengerek ST. <i>The Relationship between Credit Risk Transfer and Non-Performing Loans. Evidence from European Banks</i>."}},{"publication_status":"published","jel":["G21","G28"],"citation":{"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>.","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>","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>","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>.","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} }","short":"C. Farruggio, A. Uhde, Journal of Banking and Finance 56 (2015) 12–27."},"page":"12-27","intvolume":"        56","year":"2015","author":[{"full_name":"Farruggio, Christian","last_name":"Farruggio","first_name":"Christian"},{"last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","full_name":"Uhde, André","id":"36049","first_name":"André"}],"date_created":"2018-09-14T11:26:52Z","volume":56,"date_updated":"2023-01-10T09:37:18Z","doi":"10.1016/j.jbankfin.2015.01.015 ","title":"Determinants of loan securitization in European banking","type":"journal_article","publication":"Journal of Banking and Finance","status":"public","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"}],"user_id":"21810","department":[{"_id":"186"},{"_id":"188"}],"_id":"4396","language":[{"iso":"eng"}],"keyword":["Securitization","Determinants","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."}],"keyword":["Credit risk securitization Bank soundness European banking"],"language":[{"iso":"eng"}],"issue":"3","year":"2012","date_created":"2018-09-14T11:59:26Z","title":" Credit risk securitization and bank soundness: Evidence from the microlevel for Europe","type":"journal_article","status":"public","_id":"4399","user_id":"21810","department":[{"_id":"186"},{"_id":"188"}],"publication_status":"published","jel":["G21","G28"],"citation":{"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>.","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>.","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>","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>","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>.","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} }"},"page":"272-285","intvolume":"        52","date_updated":"2023-01-10T09:32:07Z","author":[{"full_name":"Michalak, Tobias C.","last_name":"Michalak","first_name":"Tobias C."},{"full_name":"Uhde, André","id":"36049","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","first_name":"André"}],"volume":52,"doi":"https://doi.org/10.1016/j.qref.2012.04.008"},{"publication":"Journal of Business Finance and Accounting","abstract":[{"lang":"eng","text":"Using a unique cross‐sectional dataset of 381 cash and synthetic securitizations issued by 53 banks from the EU‐15 plus Switzerland between 1997 and 2007, this paper provides empirical evidence for time‐dependent negative wealth effects of credit risk securitization announcements in European banking. Baseline results hold when comparing estimated wealth effects with a control group of similar but non‐securitizing banks for the relevant time period. Moreover, building several sub samples we find that the nexus between credit risk securitization, the issuing banks’ overall risk exposure and wealth effects is associated with a variety of transaction‐ and bank‐specific factors. "}],"language":[{"iso":"eng"}],"keyword":["wealth effects","credit risk securitization","Europe","event study"],"issue":"1&2","year":"2012","date_created":"2018-09-14T12:44:33Z","title":"Wealth effects of credit risk securitization in European Banking","type":"journal_article","status":"public","user_id":"21810","department":[{"_id":"186"},{"_id":"188"}],"_id":"4403","extern":"1","publication_status":"published","citation":{"short":"C. Farruggio, T.C. Michalak, A. Uhde, Journal of Business Finance and Accounting 39 (2012) 193–228.","mla":"Farruggio, Christian, et al. “Wealth Effects of Credit Risk Securitization in European Banking.” <i>Journal of Business Finance and Accounting</i>, vol. 39, no. 1 &#38; 2, 2012, pp. 193–228, doi:<a href=\"https://doi.org/10.1111/j.1468-5957.2012.02273.x\">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>.","bibtex":"@article{Farruggio_Michalak_Uhde_2012, title={Wealth effects of credit risk securitization in European Banking}, volume={39}, DOI={<a href=\"https://doi.org/10.1111/j.1468-5957.2012.02273.x\">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>}, number={1 &#38; 2}, journal={Journal of Business Finance and Accounting}, author={Farruggio, Christian and Michalak, Tobias C. and Uhde, André}, year={2012}, pages={193–228} }","apa":"Farruggio, C., Michalak, T. C., &#38; Uhde, A. (2012). Wealth effects of credit risk securitization in European Banking. <i>Journal of Business Finance and Accounting</i>, <i>39</i>(1 &#38; 2), 193–228. <a href=\"https://doi.org/10.1111/j.1468-5957.2012.02273.x\">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>","ama":"Farruggio C, Michalak TC, Uhde A. Wealth effects of credit risk securitization in European Banking. <i>Journal of Business Finance and Accounting</i>. 2012;39(1 &#38; 2):193-228. doi:<a href=\"https://doi.org/10.1111/j.1468-5957.2012.02273.x\">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>","chicago":"Farruggio, Christian, Tobias C. Michalak, and André Uhde. “Wealth Effects of Credit Risk Securitization in European Banking.” <i>Journal of Business Finance and Accounting</i> 39, no. 1 &#38; 2 (2012): 193–228. <a href=\"https://doi.org/10.1111/j.1468-5957.2012.02273.x\">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>.","ieee":"C. Farruggio, T. C. Michalak, and A. Uhde, “Wealth effects of credit risk securitization in European Banking,” <i>Journal of Business Finance and Accounting</i>, vol. 39, no. 1 &#38; 2, pp. 193–228, 2012, doi: <a href=\"https://doi.org/10.1111/j.1468-5957.2012.02273.x\">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>."},"jel":["G","F"],"page":"193-228","intvolume":"        39","author":[{"full_name":"Farruggio, Christian","last_name":"Farruggio","first_name":"Christian"},{"last_name":"Michalak","full_name":"Michalak, Tobias C.","first_name":"Tobias C."},{"orcid":"https://orcid.org/0000-0002-8058-8857","last_name":"Uhde","id":"36049","full_name":"Uhde, André","first_name":"André"}],"volume":39,"date_updated":"2023-01-10T09:35:34Z","doi":"https://doi.org/10.1111/j.1468-5957.2012.02273.x"},{"status":"public","abstract":[{"text":"Using a unique dataset of 592 cash and synthetic securitizations issued by 54 banks from the EU-15 plus Switzerland over the period from 1997 to 2007 this paper provides empirical evidence that credit risk securitization has a positive impact on the increase of European banks’ systematic risk. Baseline results hold when comparing estimated beta coefficients with a control group of similar non-securitizing banks. Building several sub-samples we additionally find that (a) the increase in systematic risk is more relevant for larger banks that repeatedly engage in securitization, (b) securitization is more important for small and medium financial institutions, (c) banks have a higher incentive to retain the larger part of credit risk as a quality signal at the beginning of the securitization business in Europe, and (d) the overall risk-shifting effect due to securitization is more distinct when the pre-event systematic risk is low.","lang":"eng"}],"publication":"Journal of Banking & Finance","type":"journal_article","extern":"1","language":[{"iso":"eng"}],"keyword":["Credit risk transfer","Securitization","Systematic risk","Event study"],"department":[{"_id":"186"},{"_id":"188"}],"user_id":"21810","_id":"4404","page":"3061-3077","intvolume":"        34","citation":{"ieee":"A. Uhde and T. C. Michalak, “Securitization and systematic risk in European banking: Empirical evidence,” <i>Journal of Banking &#38; Finance</i>, vol. 34, no. 12, pp. 3061–3077, 2010, doi: <a href=\"https://doi.org/10.1016/j.jbankfin.2010.07.012\">https://doi.org/10.1016/j.jbankfin.2010.07.012</a>.","chicago":"Uhde, André, and Tobias C. Michalak. “Securitization and Systematic Risk in European Banking: Empirical Evidence.” <i>Journal of Banking &#38; Finance</i> 34, no. 12 (2010): 3061–77. <a href=\"https://doi.org/10.1016/j.jbankfin.2010.07.012\">https://doi.org/10.1016/j.jbankfin.2010.07.012</a>.","ama":"Uhde A, Michalak TC. Securitization and systematic risk in European banking: Empirical evidence. <i>Journal of Banking &#38; Finance</i>. 2010;34(12):3061-3077. doi:<a href=\"https://doi.org/10.1016/j.jbankfin.2010.07.012\">https://doi.org/10.1016/j.jbankfin.2010.07.012</a>","apa":"Uhde, A., &#38; Michalak, T. C. (2010). Securitization and systematic risk in European banking: Empirical evidence. <i>Journal of Banking &#38; Finance</i>, <i>34</i>(12), 3061–3077. <a href=\"https://doi.org/10.1016/j.jbankfin.2010.07.012\">https://doi.org/10.1016/j.jbankfin.2010.07.012</a>","mla":"Uhde, André, and Tobias C. Michalak. “Securitization and Systematic Risk in European Banking: Empirical Evidence.” <i>Journal of Banking &#38; Finance</i>, vol. 34, no. 12, 2010, pp. 3061–77, doi:<a href=\"https://doi.org/10.1016/j.jbankfin.2010.07.012\">https://doi.org/10.1016/j.jbankfin.2010.07.012</a>.","bibtex":"@article{Uhde_Michalak_2010, title={Securitization and systematic risk in European banking: Empirical evidence}, volume={34}, DOI={<a href=\"https://doi.org/10.1016/j.jbankfin.2010.07.012\">https://doi.org/10.1016/j.jbankfin.2010.07.012</a>}, number={12}, journal={Journal of Banking &#38; Finance}, author={Uhde, André and Michalak, Tobias C.}, year={2010}, pages={3061–3077} }","short":"A. Uhde, T.C. Michalak, Journal of Banking &#38; Finance 34 (2010) 3061–3077."},"jel":["G14","G21","G28","G32"],"year":"2010","issue":"12","doi":"https://doi.org/10.1016/j.jbankfin.2010.07.012","title":"Securitization and systematic risk in European banking: Empirical evidence","volume":34,"date_created":"2018-09-14T12:48:35Z","author":[{"full_name":"Uhde, André","id":"36049","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","first_name":"André"},{"first_name":"Tobias C.","full_name":"Michalak, Tobias C.","last_name":"Michalak"}],"date_updated":"2023-01-10T09:35:58Z"}]