@article{4399,
  abstract     = {{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.}},
  author       = {{Michalak, Tobias C. and Uhde, André}},
  journal      = {{Quarterly Review of Economics and Finance}},
  keywords     = {{Credit risk securitization Bank soundness European banking}},
  number       = {{3}},
  pages        = {{272--285}},
  title        = {{{ Credit risk securitization and bank soundness: Evidence from the microlevel for Europe}}},
  doi          = {{https://doi.org/10.1016/j.qref.2012.04.008}},
  volume       = {{52}},
  year         = {{2012}},
}

@techreport{36021,
  abstract     = {{Using a sample of stock-listed bank holding companies located in Western Europe over the period from 1997 to 2008 this paper provides empirical evidence that an increase in short-term interest rates as well as an extended period of expansionary monetary policy has a negative impact on European stock-listed banks’ soundness as measured by the Expected Default Frequency. Against this background and in order to evaluate interactions between the risk-taking channel of monetary policy and the competitiveness of a country’s banking market we find a negative impact of an increase in competition in the loan market – proxied by the Boone-indicator – on financial soundness. Referring to the structural-conduct performance (SCP) paradigm, this paper provides further evidence that an increase in concentration in the banking market spurs financial soundness. }},
  author       = {{Michalak, Tobias C. and Uhde, André}},
  keywords     = {{risk-taking channel, competition, concentration, bank soundness, European banking}},
  publisher    = {{Paderborn University}},
  title        = {{{The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking}}},
  year         = {{2011}},
}