---
_id: '4404'
abstract:
- lang: eng
  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.
author:
- first_name: André
  full_name: Uhde, André
  id: '36049'
  last_name: Uhde
  orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Tobias C.
  full_name: Michalak, Tobias C.
  last_name: Michalak
citation:
  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>'
  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} }'
  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>.'
  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>.'
  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>.'
  short: A. Uhde, T.C. Michalak, Journal of Banking &#38; Finance 34 (2010) 3061–3077.
date_created: 2018-09-14T12:48:35Z
date_updated: 2023-01-10T09:35:58Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1016/j.jbankfin.2010.07.012
extern: '1'
intvolume: '        34'
issue: '12'
jel:
- G14
- G21
- G28
- G32
keyword:
- Credit risk transfer
- Securitization
- Systematic risk
- Event study
language:
- iso: eng
page: 3061-3077
publication: Journal of Banking & Finance
status: public
title: 'Securitization and systematic risk in European banking: Empirical evidence'
type: journal_article
user_id: '21810'
volume: 34
year: '2010'
...