Abstract
The global financial crisis highlights the importance of securitization and crash risk. We analyze the relationship between securitization and crash risk in a sample of large European banks listed on the EuroStoxx 600 between 2000 and 2017. We use a dynamic panel data approach to establish a causal relationship. We test the robustness of results with different tail risk measures. Our evidence shows that crash risk declines in the year of securitization and increases the following year. This effect is driven by less complex securitization deals. The risk reduction effect is weaker in crisis periods relative to normal times. Our findings have policy implications as regulators attempt reviving European securitization markets.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Journal of International Financial Markets, Institutions and Money
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
