Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212056 
Authors: 
Year of Publication: 
2006
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 31/2006
Publisher: 
Bank of Finland, Helsinki
Abstract: 
Although innovative credit risk transfer techniques help to allocate risk more optimally, policy-makers worry that they may detrimentally affect the effort spent by financial intermediaries in screening and monitoring credit exposures.This paper examines the equity market's response to loan announcements.In common with the literature it reports a significantly positive average excess return – the well known 'bank certification' effect.However, if the lending bank is known to actively manage its credit risk exposure through large scale securitization programmes then the magnitude of the effect falls by two-thirds.The equity market does not appear to place any value on news of loans extended by banks that are known to transfer credit risk off their books.
Subjects: 
bank loans
credit derivatives
bank certification
JEL: 
G12
G21
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-341-4
Document Type: 
Working Paper

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