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.
- 出版日期2013-12