{"publication_status":"published","type":"journal_article","volume":"Vol. 86 (11)","jel":["G21","G28","G32"],"publisher":"Elsevier","date_updated":"2022-12-23T11:27:53Z","publication":"The Quarterly Review of Economics and Finance","department":[{"_id":"186"},{"_id":"188"}],"title":"Risk allocation through securitization – Evidence from non-performing loans","page":"48-64","user_id":"36049","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."}],"date_created":"2019-09-06T08:59:28Z","status":"public","keyword":["European Banking","Non-performing Loans","Securitization"],"citation":{"short":"S.T. Wengerek, B. Hippert, A. Uhde, The Quarterly Review of Economics and Finance Vol. 86 (11) (2022) 48–64.","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","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.","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} }","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."},"author":[{"last_name":"Wengerek","full_name":"Wengerek, Sascha Tobias","first_name":"Sascha Tobias","id":"48837","orcid":"0000-0002-7820-3903"},{"id":"48476","first_name":"Benjamin","last_name":"Hippert","full_name":"Hippert, Benjamin"},{"orcid":"https://orcid.org/0000-0002-8058-8857","last_name":"Uhde","full_name":"Uhde, André","first_name":"André","id":"36049"}],"year":"2022","doi":"https://doi.org/10.1016/j.qref.2022.06.005","language":[{"iso":"eng"}],"article_type":"original","_id":"13147"}