G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11785
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
URLhttps://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.
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