This research explores the effects of securitization on banks equity risk exposure. A widespread opinion before the … crisis of 2007–2008 was that securitization enhances financial stability. We provide empirical evidence of the impact of … securitization on the market's perception of the originating banks’ risk exposure before and after the crisis, in terms of systematic …

This research examines the effects of securitization on the bank's risk exposure both in terms of individual expected … shortfall and marginal expected shortfall as a measure of systemic risk. The relationship between securitization activity and … securitization is relatively insignificant compared to the risk retained by the originating bank. We show that this risk retention is …