全球智库信息集成服务系统(G2TT): DP17355 Securitization, Covered Bonds and the Risk Taking Behavior of European Banks

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP17355
	DP17355 Securitization, Covered Bonds and the Risk Taking Behavior of European Banks
	laura bottazzi; Ahmed Arif; Sergio Pastorello
发表日期	2022-06-04
出版年	2022
语种	英语
摘要	This study investigates the impact of securitization and the issuance of covered bonds on the credit risk taking behavior of banks. We collected data for seven major European economies for the period between 2001 and 2014, that is, both before and after the global financial crisis of 2008. In this paper. we address self-selection concerns about the endogeneity of the decision to securitize or issue covered bonds by using the Covariance Balancing Propensity Score method. We inquire whether securitizing banks hold portfolios that contain riskier assets than those of banks that issue covered bonds and whether the risk taking behavior of banks changed after the recent financial crisis. Our results suggest that European banks typically view securitization as a financing rather than a risk management tool. Therefore, our findings do not support the conventional wisdom that the absence of skin in the game causes banks to assume more risk. Instead, we find evidence that securitizing banks have been opting for lower risk asset portfolios after the 2008 crisis.
主题	Financial Economics
关键词	Securitization Credit risk Covered bonds European banks Risk retention Propensity score methods
URL	https://cepr.org/publications/dp17355
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/546405
推荐引用方式 GB/T 7714	laura bottazzi,Ahmed Arif,Sergio Pastorello. DP17355 Securitization, Covered Bonds and the Risk Taking Behavior of European Banks. 2022.