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- Title
Securitization, financial stability and effective risk retention. A European analysis.
- Authors
Iglesias-Casal, Ana; López-Penabad, María-Celia; López-Andión, Carmen; Maside-Sanfiz, José Manuel
- Abstract
This paper examines the financial stability of banks that issued securitizations in the European market from 2000 to 2017. We use novel event study methodology and find that securitization has a positive impact on European banks' systematic risk during the 2000 to 2007 period and that subsequent securitizations have not any impact on systematic risk. The increase in systematic risk is due to an increase in systemic risk and in banks' idiosyncratic risk. By dividing the sample into those countries on the periphery and those at the core of Europe, it is found that securitization only has an impact on the systematic risk during the pre-crisis period, and only when looking at the peripheral countries does this lead to an increase in systemic risk. For individual countries, there is an observable effect for Spain and the UK prior to the crisis. On controlling for the type of collateral, it is found that this effect occurs when dealing with mortgage-based securitizations.
- Subjects
SPAIN; RISK retention; SYSTEMIC risk (Finance); CORE &; periphery (Economic theory)
- Publication
PLoS ONE, 2020, Vol 15, Issue 2, p1
- ISSN
1932-6203
- Publication type
Article
- DOI
10.1371/journal.pone.0228141