Publication: Asymmetric information and the securitization of SME loans
Asymmetric information and the securitization of SME loans
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Albertazzi, U., Bottero, M., Gambacorta, L., & Ongena, S. (2023). Asymmetric information and the securitization of SME loans (Swiss Finance Institute Research Paper).
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Using all loans granted to firms recorded in the Italian credit register, we estimate correlations between risk-transfer and default probabilities to gauge the severity of informational asymmetries in the loan securitization market. First, the analysis confirms the presence of information frictions in the SME loan securitisation market. Second, the unconditional quality of securitized loans remains significantly better than that of non-securitized ones, in line with the notion that markets anticipate the presence of information fricti
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Albertazzi, U., Bottero, M., Gambacorta, L., & Ongena, S. (2023). Asymmetric information and the securitization of SME loans (Swiss Finance Institute Research Paper).
