This research explores the effects of securitization on banks equityrisk exposure. A widespread opinion before the crisis of 2007–2008was that securitization enhances financial stability. We provideempirical evidence of the impact of securitization on the market’sperception of the originating banks’ risk exposure before and afterthe crisis, in terms of systematic and idiosyncratic risk. Using asample of Italian listed banks over the period 2000–2009, we findevidence of increasing systematic and idiosyncratic risk for origi-nating banks, in particular in the post-crisis period. We also findthat securitization increases the probability of the originator banksto contribute to a market crisis.

Securitized banking and the Euro financial crisis: evidence from Italian banks risk-taking

MAZZUCA, Maria
2014

Abstract

This research explores the effects of securitization on banks equityrisk exposure. A widespread opinion before the crisis of 2007–2008was that securitization enhances financial stability. We provideempirical evidence of the impact of securitization on the market’sperception of the originating banks’ risk exposure before and afterthe crisis, in terms of systematic and idiosyncratic risk. Using asample of Italian listed banks over the period 2000–2009, we findevidence of increasing systematic and idiosyncratic risk for origi-nating banks, in particular in the post-crisis period. We also findthat securitization increases the probability of the originator banksto contribute to a market crisis.
Securitization; bank equity ; systematic risk
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/20.500.11770/150641
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