Bank reputation and securitization quality: European evidence

Deku, S. ORCID: 0000-0003-1579-8708, Kara, A. and Marques-Ibanez, D., 2022. Bank reputation and securitization quality: European evidence. Finance Research Letters, 46 B: 102427. ISSN 1544-6123

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Abstract

We examine the link between issuer bank reputation and the performance of mortgage-backed securities (MBS) in the European market. We find that MBS sold by reputable issuer banks are collateralised by higher quality asset pools with lower delinquency rates and are less likely to be downgraded. However, during boom periods – characterized by declining credit standards, MBS originated by reputable issuer banks tend to be collateralised by lower quality assets, compared to normal periods.

Item Type:	Journal article
Publication Title:	Finance Research Letters
Creators:	Deku, S., Kara, A. and Marques-Ibanez, D.
Publisher:	Elsevier BV
Date:	May 2022
Volume:	46 B
ISSN:	1544-6123
Identifiers:	Number Type 10.1016/j.frl.2021.102427 DOI S1544612321004165 Publisher Item Identifier 1756628 Other
Rights:	Copyright: © 2021 Elsevier Inc. All rights reserved.
Divisions:	Schools > Nottingham Business School
Record created by:	Linda Sullivan
Date Added:	10 May 2023 07:56
Last Modified:	10 May 2023 07:56
URI:	https://irep.ntu.ac.uk/id/eprint/48908

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