Credit risk securitization and bank soundness: Evidence from the microlevel for Europe

T.C. Michalak, A. Uhde, Quarterly Review of Economics and Finance 52 (2013) 272–285.

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Journal Article | Published | English
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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.
Publishing Year
Journal Title
Quarterly Review of Economics and Finance
Volume
52
Issue
3
Page
272-285
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Michalak TC, Uhde A. Credit risk securitization and bank soundness: Evidence from the microlevel for Europe. Quarterly Review of Economics and Finance. 2013;52(3):272-285. doi:https://doi.org/10.1016/j.qref.2012.04.008
Michalak, T. C., & Uhde, A. (2013). Credit risk securitization and bank soundness: Evidence from the microlevel for Europe. Quarterly Review of Economics and Finance, 52(3), 272–285. https://doi.org/10.1016/j.qref.2012.04.008
@article{Michalak_Uhde_2013, title={ Credit risk securitization and bank soundness: Evidence from the microlevel for Europe}, volume={52}, DOI={https://doi.org/10.1016/j.qref.2012.04.008}, number={3}, journal={Quarterly Review of Economics and Finance}, author={Michalak, Tobias C. and Uhde, André}, year={2013}, pages={272–285} }
Michalak, Tobias C., and André Uhde. “ Credit Risk Securitization and Bank Soundness: Evidence from the Microlevel for Europe.” Quarterly Review of Economics and Finance 52, no. 3 (2013): 272–85. https://doi.org/10.1016/j.qref.2012.04.008.
T. C. Michalak and A. Uhde, “ Credit risk securitization and bank soundness: Evidence from the microlevel for Europe,” Quarterly Review of Economics and Finance, vol. 52, no. 3, pp. 272–285, 2013.
Michalak, Tobias C., and André Uhde. “ Credit Risk Securitization and Bank Soundness: Evidence from the Microlevel for Europe.” Quarterly Review of Economics and Finance, vol. 52, no. 3, 2013, pp. 272–85, doi:https://doi.org/10.1016/j.qref.2012.04.008.

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