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- W106217829 abstract "We examine, in this paper, whether or not subprime mortgage crisis-related write-downs are mainly due to banks involvement in credit risk transfer market (CRT). Using data from 288 European banks over the period 2004-2007, we find that, for different types of CRT involvement, different patterns of risk-taking behavior and performance do exist (i.e., hypothesis of intra-groups differences). The main results show that, European banks that are ended-up with negative performance at year-end 2007 are more likely to be engaged in some securitization-related activities (ABS) and are characterized by higher leverage ratio, higher Basel ratio, higher liquid asset ratio, higher maturity mismatch ratio, and large size but, by contrast, are characterized by lower non-performing loans and lower intermediation ratios. As such, banks involvement in CRT market, per se, is not sufficient to explain why some banks may culminate in suffering negative performance unless it is related to some risky patterns. Our findings state that results provided by previous works may be overstated or biased by the omitting of this effect." @default.
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- W106217829 date "2012-01-01" @default.
- W106217829 modified "2023-10-05" @default.
- W106217829 title "Banks Involvement in Credit Risk Transfer Markets: Come Back on the European Pattern of the Subprime Mortgage Crisis's Write-Downs" @default.
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- W106217829 doi "https://doi.org/10.2139/ssrn.2079432" @default.
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