---
_id: '13147'
abstract:
- lang: eng
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.
article_type: original
author:
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Wengerek ST, Hippert B, Uhde A. Risk allocation through securitization – Evidence
from non-performing loans. The Quarterly Review of Economics and Finance.
2022;Vol. 86 (11):48-64. doi:https://doi.org/10.1016/j.qref.2022.06.005
apa: Wengerek, S. T., Hippert, B., & Uhde, A. (2022). Risk allocation through
securitization – Evidence from non-performing loans. The Quarterly Review of
Economics and Finance, Vol. 86 (11), 48–64. https://doi.org/10.1016/j.qref.2022.06.005
bibtex: '@article{Wengerek_Hippert_Uhde_2022, title={Risk allocation through securitization
– Evidence from non-performing loans}, volume={Vol. 86 (11)}, DOI={https://doi.org/10.1016/j.qref.2022.06.005},
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} }'
chicago: 'Wengerek, Sascha Tobias, Benjamin Hippert, and André Uhde. “Risk Allocation
through Securitization – Evidence from Non-Performing Loans.” The Quarterly
Review of Economics and Finance Vol. 86 (11) (2022): 48–64. https://doi.org/10.1016/j.qref.2022.06.005.'
ieee: 'S. T. Wengerek, B. Hippert, and A. Uhde, “Risk allocation through securitization
– Evidence from non-performing loans,” The Quarterly Review of Economics and
Finance, vol. Vol. 86 (11), pp. 48–64, 2022, doi: https://doi.org/10.1016/j.qref.2022.06.005.'
mla: Wengerek, Sascha Tobias, et al. “Risk Allocation through Securitization – Evidence
from Non-Performing Loans.” The Quarterly Review of Economics and Finance,
vol. Vol. 86 (11), Elsevier, 2022, pp. 48–64, doi:https://doi.org/10.1016/j.qref.2022.06.005.
short: S.T. Wengerek, B. Hippert, A. Uhde, The Quarterly Review of Economics and
Finance Vol. 86 (11) (2022) 48–64.
date_created: 2019-09-06T08:59:28Z
date_updated: 2022-12-23T11:27:53Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1016/j.qref.2022.06.005
jel:
- G21
- G28
- G32
keyword:
- European Banking
- Non-performing Loans
- Securitization
language:
- iso: eng
page: 48-64
publication: The Quarterly Review of Economics and Finance
publication_status: published
publisher: Elsevier
status: public
title: Risk allocation through securitization – Evidence from non-performing loans
type: journal_article
user_id: '36049'
volume: Vol. 86 (11)
year: '2022'
...
---
_id: '17703'
abstract:
- lang: eng
text: Employing a unique sample of 2,849 tariff imposition announcements by and
against the United States (U.S.) over the period from 2018 to 2019, this study
analyzes the impact of recent tariff announcements on share prices from 859 U.S.
companies. We provide evidence for negative (cumulative) average abnormal stock
returns due to tariff announcements during a symmetric three-day event window.
We suggest that stock market investors expect adverse impacts of tariff impositions,
e.g. a decrease in the companies' future cash flows and a threat of retaliation.
The negative wealth effects are observed irrespective of whether the Trump administration
announces safeguard tariffs to protect domestic firms or a retaliation is declared
by foreign countries. Moreover, building several subsamples, we find that the
adverse impact is mostly driven by announcements involving China and is associated
with a variety of sector, tariff, trade and firm characteristics.
author:
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
citation:
ama: Wengerek ST. Share Price Reactions to Tariff Imposition Announcements in
the Trump Era - An Event Study of the Trade Conflict.; 2020.
apa: Wengerek, S. T. (2020). Share price reactions to tariff imposition announcements
in the Trump era - An event study of the trade conflict.
bibtex: '@book{Wengerek_2020, title={Share price reactions to tariff imposition
announcements in the Trump era - An event study of the trade conflict}, author={Wengerek,
Sascha Tobias}, year={2020} }'
chicago: Wengerek, Sascha Tobias. Share Price Reactions to Tariff Imposition
Announcements in the Trump Era - An Event Study of the Trade Conflict, 2020.
ieee: S. T. Wengerek, Share price reactions to tariff imposition announcements
in the Trump era - An event study of the trade conflict. 2020.
mla: Wengerek, Sascha Tobias. Share Price Reactions to Tariff Imposition Announcements
in the Trump Era - An Event Study of the Trade Conflict. 2020.
short: S.T. Wengerek, Share Price Reactions to Tariff Imposition Announcements in
the Trump Era - An Event Study of the Trade Conflict, 2020.
date_created: 2020-08-07T09:34:29Z
date_updated: 2022-01-06T06:53:17Z
department:
- _id: '186'
jel:
- F14
- F18
- F23
- F51
keyword:
- event study
- international relations
- protectionism
- strategic trade policy
- tariffs
- trade conflict
language:
- iso: eng
main_file_link:
- url: https://ideas.repec.org/p/pdn/dispap/59.html
page: '63'
status: public
title: Share price reactions to tariff imposition announcements in the Trump era -
An event study of the trade conflict
type: working_paper
user_id: '48837'
year: '2020'
...
---
_id: '17730'
article_number: '101717'
author:
- first_name: Regina
full_name: Ortmann, Regina
id: '10020'
last_name: Ortmann
- first_name: Matthias
full_name: Pelster, Matthias
id: '67265'
last_name: Pelster
orcid: ' https://orcid.org/0000-0001-5740-2420'
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
citation:
ama: Ortmann R, Pelster M, Wengerek ST. COVID-19 and investor behavior. Finance
Research Letters. 2020;37. doi:10.1016/j.frl.2020.101717
apa: Ortmann, R., Pelster, M., & Wengerek, S. T. (2020). COVID-19 and investor
behavior. Finance Research Letters, 37. https://doi.org/10.1016/j.frl.2020.101717
bibtex: '@article{Ortmann_Pelster_Wengerek_2020, title={COVID-19 and investor behavior},
volume={37}, DOI={10.1016/j.frl.2020.101717},
number={101717}, journal={Finance Research Letters}, author={Ortmann, Regina and
Pelster, Matthias and Wengerek, Sascha Tobias}, year={2020} }'
chicago: Ortmann, Regina, Matthias Pelster, and Sascha Tobias Wengerek. “COVID-19
and Investor Behavior.” Finance Research Letters 37 (2020). https://doi.org/10.1016/j.frl.2020.101717.
ieee: R. Ortmann, M. Pelster, and S. T. Wengerek, “COVID-19 and investor behavior,”
Finance Research Letters, vol. 37, 2020.
mla: Ortmann, Regina, et al. “COVID-19 and Investor Behavior.” Finance Research
Letters, vol. 37, 101717, 2020, doi:10.1016/j.frl.2020.101717.
short: R. Ortmann, M. Pelster, S.T. Wengerek, Finance Research Letters 37 (2020).
date_created: 2020-08-08T08:52:14Z
date_updated: 2022-01-06T06:53:19Z
department:
- _id: '186'
- _id: '578'
doi: 10.1016/j.frl.2020.101717
intvolume: ' 37'
language:
- iso: eng
publication: Finance Research Letters
publication_identifier:
issn:
- 1544-6123
publication_status: published
status: public
title: COVID-19 and investor behavior
type: journal_article
user_id: '67265'
volume: 37
year: '2020'
...
---
_id: '41180'
article_number: '101717'
author:
- first_name: Regina
full_name: Ortmann, Regina
id: '10020'
last_name: Ortmann
- first_name: Matthias
full_name: Pelster, Matthias
id: '67265'
last_name: Pelster
orcid: ' https://orcid.org/0000-0001-5740-2420'
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
citation:
ama: Ortmann R, Pelster M, Wengerek ST. COVID-19 and investor behavior. Finance
Research Letters. 2020;37. doi:10.1016/j.frl.2020.101717
apa: Ortmann, R., Pelster, M., & Wengerek, S. T. (2020). COVID-19 and investor
behavior. Finance Research Letters, 37, Article 101717. https://doi.org/10.1016/j.frl.2020.101717
bibtex: '@article{Ortmann_Pelster_Wengerek_2020, title={COVID-19 and investor behavior},
volume={37}, DOI={10.1016/j.frl.2020.101717},
number={101717}, journal={Finance Research Letters}, publisher={Elsevier BV},
author={Ortmann, Regina and Pelster, Matthias and Wengerek, Sascha Tobias}, year={2020}
}'
chicago: Ortmann, Regina, Matthias Pelster, and Sascha Tobias Wengerek. “COVID-19
and Investor Behavior.” Finance Research Letters 37 (2020). https://doi.org/10.1016/j.frl.2020.101717.
ieee: 'R. Ortmann, M. Pelster, and S. T. Wengerek, “COVID-19 and investor behavior,”
Finance Research Letters, vol. 37, Art. no. 101717, 2020, doi: 10.1016/j.frl.2020.101717.'
mla: Ortmann, Regina, et al. “COVID-19 and Investor Behavior.” Finance Research
Letters, vol. 37, 101717, Elsevier BV, 2020, doi:10.1016/j.frl.2020.101717.
short: R. Ortmann, M. Pelster, S.T. Wengerek, Finance Research Letters 37 (2020).
date_created: 2023-01-31T12:35:33Z
date_updated: 2023-01-31T12:41:28Z
department:
- _id: '590'
doi: 10.1016/j.frl.2020.101717
intvolume: ' 37'
keyword:
- Finance
language:
- iso: eng
publication: Finance Research Letters
publication_identifier:
issn:
- 1544-6123
publication_status: published
publisher: Elsevier BV
quality_controlled: '1'
status: public
title: COVID-19 and investor behavior
type: journal_article
user_id: '21222'
volume: 37
year: '2020'
...
---
_id: '4562'
abstract:
- lang: eng
text: Employing main and sector-specific investment-grade CDS indices from the North
American and European CDS market and performing mean-variance out-of-sample analyses
for conservative and aggressive investors over the period from 2006 to 2014, this
paper analyzes portfolio benefits of adding corporate CDS indices to a traditional
financial portfolio consisting of stock and sovereign bond indices. As a baseline
result, we initially find an increase in portfolio (downside) risk-diversification
when adding CDS indices, which is observed irrespective of both CDS markets, investor-types
and different sub-periods, including the global financial crisis and European
sovereign debt crisis. In addition, the analysis reveals higher portfolio excess
returns and performance in CDS index portfolios, however, these effects clearly
differ between markets, investor-types and sub-periods. Overall, portfolio benefits
of adding CDS indices mainly result from the fact that institutional investors
replace sovereign bond indices rather than stock indices by CDS indices due to
better risk-return characteristics. Our baseline findings remain robust under
a variety of robustness checks. Results from sensitivity analyses provide further
important implications for institutional investors with a strategic focus on a
long-term conservative portfolio management.
article_type: original
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
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
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
citation:
ama: 'Hippert B, Uhde A, Wengerek ST. Portfolio Benefits of Adding Corporate Credit
Default Swap Indices: Evidence from North America and Europe. Review of Derivatives
Research . 2019;22(2):203-259. doi:https://doi.org/10.1007/s11147-018-9148-8'
apa: 'Hippert, B., Uhde, A., & Wengerek, S. T. (2019). Portfolio Benefits of
Adding Corporate Credit Default Swap Indices: Evidence from North America and
Europe. Review of Derivatives Research , 22(2), 203–259. https://doi.org/10.1007/s11147-018-9148-8'
bibtex: '@article{Hippert_Uhde_Wengerek_2019, title={Portfolio Benefits of Adding
Corporate Credit Default Swap Indices: Evidence from North America and Europe},
volume={22}, DOI={https://doi.org/10.1007/s11147-018-9148-8},
number={2}, journal={Review of Derivatives Research }, author={Hippert, Benjamin
and Uhde, André and Wengerek, Sascha Tobias}, year={2019}, pages={203–259} }'
chicago: 'Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. “Portfolio
Benefits of Adding Corporate Credit Default Swap Indices: Evidence from North
America and Europe.” Review of Derivatives Research 22, no. 2 (2019):
203–59. https://doi.org/10.1007/s11147-018-9148-8.'
ieee: 'B. Hippert, A. Uhde, and S. T. Wengerek, “Portfolio Benefits of Adding Corporate
Credit Default Swap Indices: Evidence from North America and Europe,” Review
of Derivatives Research , vol. 22, no. 2, pp. 203–259, 2019, doi: https://doi.org/10.1007/s11147-018-9148-8.'
mla: 'Hippert, Benjamin, et al. “Portfolio Benefits of Adding Corporate Credit Default
Swap Indices: Evidence from North America and Europe.” Review of Derivatives
Research , vol. 22, no. 2, 2019, pp. 203–59, doi:https://doi.org/10.1007/s11147-018-9148-8.'
short: B. Hippert, A. Uhde, S.T. Wengerek, Review of Derivatives Research 22 (2019)
203–259.
date_created: 2018-10-01T12:17:35Z
date_updated: 2022-05-04T06:15:02Z
department:
- _id: '188'
- _id: '186'
doi: https://doi.org/10.1007/s11147-018-9148-8
intvolume: ' 22'
issue: '2'
jel:
- C61
- G01
- G11
- G15
- G23
keyword:
- Corporate credit default swap indices
- Mean-variance asset allocation
- Out-of-sample portfolio optimization
- Portfolio risk-diversification
- Portfolio performance evaluation
language:
- iso: eng
page: 203-259
publication: 'Review of Derivatives Research '
publication_status: published
status: public
title: 'Portfolio Benefits of Adding Corporate Credit Default Swap Indices: Evidence
from North America and Europe'
type: journal_article
user_id: '36049'
volume: 22
year: '2019'
...
---
_id: '13145'
abstract:
- lang: eng
text: 'Employing credit default swap (CDS) data for a sample of 52 major banks across
18 countries from 2008 to 2016, this paper investigates determinants of the outstanding
net notional amount of CDS which are written on banks. We extend the current literature
dealing with CDS trading by analyzing further CDS trading-specific, fundamental
bank-specific as well as macroeconomic and institutional determinants with a focus
on bank CDS trading. We find that, next to well-discussed determinants for corporate
firms in the literature, especially a bank''s tail risk, capital adequacy, loan
portfolio and business model affect a bank''s outstanding CDS net notional. This
finding indicates that investors in the bank CDS market partly have a recourse
to a fundamental analysis for their investment decision. Our study fills an important
gap since empirical studies have solely focused on sovereign and corporate CDS
yet. In addition, the analysis at hand provides important implications for both
academics and practitioners since understanding the trading motives of bank CDS
investors gives deeper insights into the still opaque CDS market. '
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
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
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
citation:
ama: Hippert B, Uhde A, Wengerek ST. Determinants of CDS Trading on Major Banks.;
2019.
apa: Hippert, B., Uhde, A., & Wengerek, S. T. (2019). Determinants of CDS
trading on major banks.
bibtex: '@book{Hippert_Uhde_Wengerek_2019, place={Working Papers Dissertations from
Paderborn University, Faculty of Business Administration and Economics}, series={No
51}, title={Determinants of CDS trading on major banks}, author={Hippert, Benjamin
and Uhde, André and Wengerek, Sascha Tobias}, year={2019}, collection={No 51}
}'
chicago: Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. Determinants
of CDS Trading on Major Banks. No 51. Working Papers Dissertations from Paderborn
University, Faculty of Business Administration and Economics, 2019.
ieee: B. Hippert, A. Uhde, and S. T. Wengerek, Determinants of CDS trading on
major banks. Working Papers Dissertations from Paderborn University, Faculty
of Business Administration and Economics, 2019.
mla: Hippert, Benjamin, et al. Determinants of CDS Trading on Major Banks.
2019.
short: B. Hippert, A. Uhde, S.T. Wengerek, Determinants of CDS Trading on Major
Banks, Working Papers Dissertations from Paderborn University, Faculty of Business
Administration and Economics, 2019.
date_created: 2019-09-06T07:46:50Z
date_updated: 2024-04-17T13:35:52Z
department:
- _id: '186'
- _id: '188'
jel:
- G10
- G12
- G21
keyword:
- banking
- outstanding CDS net notional
- determinants of bank CDS trading
language:
- iso: eng
place: Working Papers Dissertations from Paderborn University, Faculty of Business
Administration and Economics
series_title: No 51
status: public
title: Determinants of CDS trading on major banks
type: working_paper
user_id: '36049'
year: '2019'
...
---
_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'
...