The global financial crisis highlights the importance of securitization and crash risk. We analyze the relationship between securitization and crash risk in a sample of large European banks listed on the EuroStoxx 600 between 2000 and 2017. We use a dynamic panel data approach to establish a causal relationship. We test the robustness of results with different tail risk measures. Our evidence shows that crash risk declines in the year of securitization and increases the following year. This effect is driven by less complex securitization deals. The risk reduction effect is weaker in crisis periods relative to normal times. Our findings have policy implications as regulators attempt reviving European securitization markets.

全球金融危机凸显了证券化和崩溃风险的重要性。我们分析了2000年至2017年间在EuroStoxx 600上上市的大型欧洲银行样本中证券化与崩溃风险之间的关系。我们使用动态面板数据方法建立因果关系。我们使用不同的尾部风险度量来测试结果的稳健性。我们的证据表明，崩溃风险在证券化年度有所下降，而在第二年有所增加。这种影响是由不太复杂的证券化交易驱动的。相对于正常时间，在危机时期，降低风险的作用较弱。当监管机构试图复兴欧洲证券化市场时，我们的发现具有政策含义。