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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP11785 |
DP11785 Asymmetric information and the securitization of SME loans | |
Leonardo Gambacorta; Ugo Albertazzi; Margherita Bottero; Steven Ongena | |
发表日期 | 2017-01-16 |
出版年 | 2017 |
语种 | 英语 |
摘要 | Using credit register data for loans to Italian firms we test for the presence of asymmetric information in the securitization market by looking at the correlation between the securitization (risk-transfer) and the default (accident) probability. We can disentangle the adverse selection from the moral hazard component for the many firms with multiple bank relationships. We find that adverse selection is widespread but that moral hazard is confined to weak relationships, indicating that a strong relationship is a credible enough commitment to monitor after securitization. Importantly, the selection of which loans to securitize based on observables is such that it largely offsets the (negative) effects of asymmetric information, rendering the overall unconditional quality of securitized loans significantly better than that of non-securitized ones. Thus, despite the presence of asymmetric information, our results do not accord with the view that credit-risk transfer leads to lax credit standards. |
主题 | Financial Economics |
关键词 | Securitization Sme loans Moral hazard Adverse selection |
URL | https://cepr.org/publications/dp11785 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540599 |
推荐引用方式 GB/T 7714 | Leonardo Gambacorta,Ugo Albertazzi,Margherita Bottero,et al. DP11785 Asymmetric information and the securitization of SME loans. 2017. |
条目包含的文件 | 条目无相关文件。 |
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