The global financial crisis highlights the importance of securitization and crash risk. We analyze the relationship between securitization and crash risk in a sample of large European banks listed on the EuroStoxx 600 between 2000 and 2017. We use a dynamic panel data approach to establish a causal relationship. We test the robustness of results with different tail risk measures. Our evidence shows that crash risk declines in the year of securitization and increases the following year. This effect is driven by less complex securitization deals. The risk reduction effect is weaker in crisis periods relative to normal times. Our findings have policy implications as regulators attempt reviving European securitization markets.
Battaglia, F., Buchanan, B.G., Fiordelisi, F., Ricci, O. (2021). Securitization and crash risk: Evidence from large European banks. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS & MONEY, 72, 101339 [10.1016/j.intfin.2021.101339].
Securitization and crash risk: Evidence from large European banks
Battaglia F.;Fiordelisi F.;Ricci O.
2021-01-01
Abstract
The global financial crisis highlights the importance of securitization and crash risk. We analyze the relationship between securitization and crash risk in a sample of large European banks listed on the EuroStoxx 600 between 2000 and 2017. We use a dynamic panel data approach to establish a causal relationship. We test the robustness of results with different tail risk measures. Our evidence shows that crash risk declines in the year of securitization and increases the following year. This effect is driven by less complex securitization deals. The risk reduction effect is weaker in crisis periods relative to normal times. Our findings have policy implications as regulators attempt reviving European securitization markets.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
