{"title":"Does nonperforming loan securitization affect credit default swap spreads? Evidence from European banks","authors":"Caterina Di Tommaso, Vincenzo Pacelli","doi":"10.1111/jifm.12147","DOIUrl":null,"url":null,"abstract":"<p>We contribute to the growing literature on bank risk management by examining the credit risk implications of nonperforming loan (NPL) management during the period 2012–2020. We construct a unique database with 116 NPL deals by 31 European Union (EU) banks. Our study is motivated by the hypothesis that NPL securitization has a beneficial effect on bank loan quality and that this effect is incorporated in the bank's credit default swap (CDS) spread. Our analysis finds a statistically significant decline in a bank's CDS spread in the days leading up to and shortly after the announcement of an NPL securitization. This suggests that the CDS market views NPL securitization as a de-risking activity and a means of risk mitigation. The impact is even more evident for NPL securitization with a government guarantee which may offer additional credibility to these de-risking activities.</p>","PeriodicalId":46659,"journal":{"name":"Journal of International Financial Management & Accounting","volume":"33 2","pages":"285-306"},"PeriodicalIF":9.4000,"publicationDate":"2022-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Financial Management & Accounting","FirstCategoryId":"91","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jifm.12147","RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We contribute to the growing literature on bank risk management by examining the credit risk implications of nonperforming loan (NPL) management during the period 2012–2020. We construct a unique database with 116 NPL deals by 31 European Union (EU) banks. Our study is motivated by the hypothesis that NPL securitization has a beneficial effect on bank loan quality and that this effect is incorporated in the bank's credit default swap (CDS) spread. Our analysis finds a statistically significant decline in a bank's CDS spread in the days leading up to and shortly after the announcement of an NPL securitization. This suggests that the CDS market views NPL securitization as a de-risking activity and a means of risk mitigation. The impact is even more evident for NPL securitization with a government guarantee which may offer additional credibility to these de-risking activities.
期刊介绍：
The Journal of International Financial Management & Accounting publishes original research dealing with international aspects of financial management and reporting, banking and financial services, auditing and taxation. Providing a forum for the interaction of ideas from both academics and practitioners, the JIFMA keeps you up-to-date with new developments and emerging trends.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
