Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153971
Authors: 
Sarkisyan, Anna
Casu, Barbara
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1538
Abstract: 
Using US bank holding company data for the period 2001 to 2007, this paper examines the relationship between banks' retained interests in securitisations and insolvency risk. We find that the provision of credit enhancements and guarantees significantly increases bank insolvency risk, albeit this varies for different levels of securitisation outstanding. Specifically, retained interests increase insolvency risk for “large-scale” securitisers while having a risk-reducing effect for “small-scale” and/or first-time securitisers. In addition, we find that the type of facility provided has implications for bank risk, with those with the most subordinated (first-loss) position having the greater impact on banks' default risk. Finally, we find that engagement in third-party securitisations has no significant effect on bank risk.
Subjects: 
insolvency risk
retained interests
securitisation
JEL: 
G21
G32
Document Type: 
Working Paper

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