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UID:fa2871efb741bfc75984fed833c93351
CATEGORIES:Seminars
CREATED:20170410T155522
SUMMARY:Ugo Albertazzi - Bank of Italy
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:Asymmetric information and the securitization of SME loans (with Margherita
  Bottero)\nAbstract:\n Based on granular data for the entire population of 
 firms borrowing from Italian banks active in the securitization industry, w
 e test for asymmetric information in this market. We borrow the methodology
  from the empirical literature on insurance, looking at the correlation bet
 ween the degree of risk-transfer and the default (accident) probability. Th
 e methodology adopted also provides information on how loans are selected f
 or securitization based on observable characteristics. In addition, the pre
 sence of multiple lending relationships is exploited to disentangle the adv
 erse selection and the moral hazard components. We document the presence of
  asymmetric information, mainly in the form of adverse selection. Moral haz
 ard is limited to credit exposures characterized by weak relationship ties 
 between the borrower and the lender, indicating that a tight credit relatio
 n is a credible commitment to continue monitoring after securitization. Imp
 ortantly, the selection of securitized loans based on observables is such t
 hat it largely compensates the effects of asymmetric information, rendering
  the unconditional quality of securitized loans significantly better than t
 hat of non-securitized ones. Thus, despite the presence of asymmetric infor
 mation, our results are inconsistent with the view that credit-risk transfe
 r lead to lax credit standards.\n
DTSTAMP:20260405T155405Z
DTSTART:20160331T173000Z
DTEND:20160331T190000Z
SEQUENCE:0
TRANSP:OPAQUE
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