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 …

The agency conflicts inherent in securitization are viewed by many as having been a key contributor to the recent … research for the U.S. home mortgage market suggests that securitization itself may not have been a problem, but rather the …

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 …

The agency conflicts inherent in securitization are viewed by many as having been a key contributor to the recent … research for the U.S. home mortgage market suggests that securitization itself may not have been a problem, but rather the …

The 2008 global financial crisis highlights the importance of securitization and crash risk. Yet there is a dearth of … papers exploring the link between securitization and crash risk. We analyze 7,096 securitization deals made by large European … listed banks between 2000 and 2017. Our paper provides evidence that bank risk declines in the year of the securitization and …