Market Power and Bank Systemic Risk: Role of Securitization and Bank Capital

Yener Yener Altunbas, David Marques-Ibanez, Michiel van Leuvensteijn, Tianshu Zhao

    Research output: Contribution to journalArticlepeer-review

    Abstract

    We examine how banks’ market power in the run-up to the 2007-2009 crisis affected banks’ systemic risk during the crisis and whether this effect was influenced by two key bank characteristics: securitization and bank capital. Using a sample of the largest listed banks from 15 countries, we find that more market power prior to the crisis is connected to larger levels of realized systemic risk during the crisis. The use of securitization exacerbates the effect of market power on systemic risk, while capitalization partially mitigates it.
    Original languageEnglish
    JournalJournal of Banking & Finance
    DOIs
    Publication statusPublished - 2022

    Keywords

    • securitization: competition; market power; bank risk

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