RT Journal Article
T1 Securitization, financial stability and effective risk retention. A European analysis
A1 Iglesias Casal, Ana
A1 López Penabad, Celia
A1 López Andión, María del Carmen
A1 Maside Sanfiz, José Manuel
AB 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.
PB Public Library of Science
YR 2020
FD 2020-02-03
LK https://hdl.handle.net/10347/37988
UL https://hdl.handle.net/10347/37988
LA eng
NO Iglesias-Casal, A., López-Penabad, M. C., López-Andión, C., & Maside-Sanfiz, J. M. (2020). Securitization, financial stability and effective risk retention. A European analysis. PloS one, 15(2), e0228141. https://doi.org/10.1371/journal.pone.0228141
NO This study was carried out with financial aid from the Applied Financial Evaluation Research Group Xunta de Galicia [grant number GPC GI1866]
DS Minerva
RD 27 abr 2026