Securitization and Credit Quality

Alper Kara, David Marques-Ibanez and Steven Ongena

No 15013, Working Papers from Bangor Business School, Prifysgol Bangor University (Cymru / Wales)

Abstract: Banks are usually better informed on the loans they originate than other financial intermediaries. As a result, securitized loans might be of lower credit quality than otherwise similar non- securitized loans. We assess the effect of securitization activity on credit quality employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that, at issuance, banks do not select and securitize loans of lower credit quality. Following securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control group. We find tentative evidence suggesting that poorer performance by securitized loans might be linked to banks reduced monitoring incentives.

Keywords: Securitization; syndicated loans; credit risk (search for similar items in EconPapers)
JEL-codes: G21 G28 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2015-11
New Economics Papers: this item is included in nep-ban, nep-cfn and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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http://www.bangor.ac.uk/business/research/documents/BBSWP-15-13.pdf (application/pdf)

Related works:
Working Paper: Securitization and credit quality (2017)
Working Paper: Securitization and Credit Quality (2016)
Working Paper: Securitization and Credit Quality (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bng:wpaper:15013

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