Securitization and credit quality in the European market
利用欧元计价银团贷款市场的独特详细数据，评估证券化活动对相对信贷质量的影响，发现证券化后借款人信贷质量恶化与银行监管激励减弱有关。
Abstract We assess the effect of securitization activity on relative credit quality employing a uniquely detailed dataset from the euro‐denominated syndicated loan market. We find that at issuance, based on observable characteristics, banks do not seem to select and securitize loans of lower credit quality. Following securitization, the credit quality of borrowers whose loans are securitized deteriorates more than those in the control group. We find that poorer performance by borrowers of securitized loans seems to be connected to banks’ reduced monitoring incentives. Our results are supported by two additional methodologies and robust to controlling for predetermined borrower–lender matching.