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首页> 外文期刊>The quarterly review of economics and finance >Credit risk securitization and bank soundness in Europe
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Credit risk securitization and bank soundness in Europe

机译：欧洲信用风险证券化和银行稳健性

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摘要

Using a unique sample of 749 cash and synthetic securitization transactions issued by 60 stock-listed bank holdings in the EU-13 plus Switzerland over the period from 1997 to 2007 this paper provides empirical evidence that credit risk securitization has a negative impact on the issuing banks' financial soundness. Baseline findings hold even when controlling for likely reverse causality by employing instrumental variable techniques and substituting the accounting-based z-score ratio by market-based indicators of bank risk. Moreover, investigating the relationship between credit risk securitization and single z-score components in order to evaluate significant transmission channels proposed by relevant theoretical literature, we find a negative impact of securitization on bank profitability and capital environment as well as a positive relationship between securitization and the issuing bank's return volatility. Against the background of our empirical results we underline that the decision by the Basel Committee to enhance the new Basel III framework in the field of securitization is a step in the right direction.
机译：使用1997年至2007年期间由EU-13和瑞士的60家股票上市银行发行的749笔现金和合成证券化交易的独特样本，本文提供了经验证据，表明信贷风险证券化对发行银行有负面影响财务稳健。即使采用工具变量技术并用基于市场的银行风险指标代替基于会计的z值比率来控制可能的反向因果关系，基线结果仍然成立。此外，通过研究信贷风险证券化与单一z得分成分之间的关​​系，以评估相关理论文献提出的重要传播渠道，我们发现证券化对银行盈利能力和资本环境的负面影响，以及证券化与证券化之间的正向关系。开证行的收益波动率。在我们的经验结果的背景下，我们强调，巴塞尔委员会决定在证券化领域加强新的《巴塞尔协议III》框架是朝着正确方向迈出的一步。

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