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Securitization of assets and risk transfer in a large emerging market: Evidence from Brazil

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  • Helder Ferreira de Mendonça
  • Vívian Íris Barcelos

Abstract

This study analyzes the impact of securitization on the soundness of financial institutions through the two main securitization products in Brazil: Credit Rights Investment Funds (FIDC) and Real Estate Receivables Certificates (CRI). On the basis of a panel data analysis regarding 92 financial institutions from 2003 to 2016, we performed several regressions for different samples and methods. The findings suggest that securitization may increase the insolvency risk. In particular, we observe that the effect on the insolvency risk caused by securitization from CRI operations is higher than from FIDC operations.

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  • Helder Ferreira de Mendonça & Vívian Íris Barcelos, 2021. "Securitization of assets and risk transfer in a large emerging market: Evidence from Brazil," Bulletin of Economic Research, Wiley Blackwell, vol. 73(4), pages 580-605, October.
    • Handle: RePEc:bla:buecrs:v:73:y:2021:i:4:p:580-605
    DOI: 10.1111/boer.12267
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