Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis

Battaglia, Francesca; Gallo, Angela

doi:10.1016/j.irfa.2013.03.002

Cited by 42 publications

(33 citation statements)

References 24 publications

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“…Moreover, Bedendo and Bruno (2012) provide evidence that US banks intensively used securitization to obtain funds, in times of frozen liquidity markets during the financial crises, at the expense of higher overall bank risk. Similar evidence is provided for European banks in Uhde and Michalak (2010) and for Italian banks in Battaglia and Gallo (2013).…”

Section: Bank Risk Channelsupporting

confidence: 73%

Disentangling the impact of securitization on bank profitability

Bakoush

Abouarab

Wolfe

2019

Research in International Business and Finance

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We empirically evaluate the channels through which securitization impacts bank profitability. To this end, we analyze the role played by bank risk, cost of funding, liquidity and regulatory capital in explaining the relationship between securitization and bank profitability. We find that securitization activities tend to boost profitability. We also show that bank risk, cost of funding, liquidity and regulatory capital individually and jointly act as transmission channels in the securitization-profitability relationship. In addition, we break down the securitization effects on bank profitability into direct and indirect effects and identify the contribution of each individual transmission channel in the overall impact on bank profitability. Our findings have several implications for banks, financial markets, and regulators.

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Section: Bank Risk Channelsupporting

confidence: 73%

Disentangling the impact of securitization on bank profitability

Bakoush

Abouarab

Wolfe

2019

Research in International Business and Finance

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“…To avoid credit risk and liquidity problems, banks that followed traditional banking principles shifted from originate to hold the credit risk to originate to distribute credit risk model, which focused on (i) short-term traders of financial products, (ii) complex financial products such as derivatives and funding sources, rather than traditional deposit. Battaglia and Gallo (2013) found that securitising banks have, on average, higher expected losses in case of extreme events.…”

Section: Efficiency Of Aircabs To Avoid Risks In An Agent Bankmentioning

confidence: 98%

An Interest Rate Commission Agent Banking System

Tessema

Kruger

2015

SSRN Journal

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CHAPTER 1: INTRODUCING AN INTEREST RATE COMMISSION AGENT BANKING SYSTEM (AIRCABS) 4.5. Research participants and sample size 4.6. Sample and sampling method 4.7. AIRCABS process flow model 4.8. Material and methods 4.8.1. Measurement instrument 4.8.1.1. Measurement instruments used to collect primary data by survey questionnaires 4.8.1.2. Measures of continuous data type instruments applied in the models 4.9. Method of analysis 4.9.1. Canonical correlation 4.9.1.1. Canonical Correlation Analysis 4.9.2. Multinomial logistic regression 4.9.2.1. Multinomial logistic regressions analysis 4.9.3. Merging individuals survey respondents' perception with quantitative data analysis result 107 4.10. Chapter summary vii CHAPTER 5: TESTING PERFORMANCE OF AN INTEREST RATE COMMISSION AGENT BANKING SYSTEM (AIRCABS) 5.1. Introduction 5.2. Statistical result and analysis 5.2.1. Validity and reliability of survey instruments 5.2.1.1. The statistical result of individual perception responses on Credit risk and liquidity crunch and AIRCABS survey instruments 5.2.1.2. Factor analysis for validity of credit risk and liquidity crunch and AIRCABS survey questionnaires 5.2.1.3. Measuring investor loan funding and discrete market deposit interest incentive survey instrument using the Kuder-Richardson test 5.2.1.4. Factor analysis for validity of investor loan funding and discrete market deposit interest incentive survey questionnaires 5.3. Canonical correlation statistical result 5.3.1. Level of significance of canonical correlation 5.3.2. The magnitude of canonical correlation 5.3.3. Redundancy measure of share variances 5.3.4. Individual perception of credit risk and liquidity crunch and AIRCABS survey questionnaires 5.4. Statistical result of investor loan funding and discrete market deposit interest rate incentive 5.4.1. Model fitting information 5.4.2. Goodness-of-fit 5.4.3. Pseudo R-Square 5.4.4. Likelihood Ratio Tests viii 5.4.5. Parameter estimates 5.4.6. Classification table 5.4.7. Comparing by chance accuracy with model accuracy rate 5.4.8. Individual perception on investor loan funding and discrete market deposit interest incentive 5.5. Chapter

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“…This is the only way to identify the differences that exist among them and to carry out an accurate assessment of the current status of the European securitization market. There are empirical studies that reference European markets which provide evidence that shows that securitization affects the risk profile of issuing entities in the pre-crisis period by increasing their systematic risk [26,10,9,27,28,29,30]. These studies indicate that the decrease in risk derived from securitization is counterbalanced by investments in new riskier assets.…”

Section: Securitization and Financial Stabilitymentioning

confidence: 99%

Securitization, financial stability and effective risk retention. A European analysis

Casal¹,

López-Penabad²,

Andión³

et al. 2020

PLoS ONE

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This paper examines the financial stability of banks that issued securitizations in the European market from 2000 to 2017. We use novel event study methodology and find that securitization has a positive impact on European banks' systematic risk during the 2000 to 2007 period and that subsequent securitizations have not any impact on systematic risk. The increase in systematic risk is due to an increase in systemic risk and in banks' idiosyncratic risk. By dividing the sample into those countries on the periphery and those at the core of Europe, it is found that securitization only has an impact on the systematic risk during the pre-crisis period, and only when looking at the peripheral countries does this lead to an increase in systemic risk. For individual countries, there is an observable effect for Spain and the UK prior to the crisis. On controlling for the type of collateral, it is found that this effect occurs when dealing with mortgage-based securitizations.

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Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis

Cited by 42 publications

References 24 publications

Disentangling the impact of securitization on bank profitability

Disentangling the impact of securitization on bank profitability

An Interest Rate Commission Agent Banking System

Securitization, financial stability and effective risk retention. A European analysis

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