Analysis of the impact of mortgage backed securitization on financial stability of the Spanish banking system

被引：0

作者：

Otero Gonzalez, Luis ^{[1
]}

Ezcurra Perez, Miguel ^{[2
]}

Martorell Cunil, Onofre ^{[3
]}

Mulet Forteza, Carlos ^{[3
]}

机构：

[1] Univ Santiago de Compostela, Santiago De Compostela 15782, Spain

[2] Swiss Re, Zurich, Switzerland

[3] Univ Islas Baleares, Palma De Mallorca, Spain

来源：

REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD-SPANISH JOURNAL OF FINANCE AND ACCOUNTING | 2013年 / 42卷 / 160期

关键词：

Securitization; Financial stability; Z-score; RISK; CREDIT;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The aim of this work is to analyze the impact of mortgage securitization on financial stability and credit risk of the Spanish financial institutions. In this sense, we have developed a database with the help of Bankscope containing the consolidated financial statements of 87 Spanish credit institutions over the period 2004-2009, and all issuances of mortgage-backed securities held in that period. The result of our work shows how securitization has had a negative impact on financial stability. In addition, the positive effect on risk-weighted assets and negative on the Z-Score and the default rate leads us to conclude that the impact is the consequence of an indirect caused by a riskier credit policy.

引用

页码：513 / 533

页数：21

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