The Yield of Asset-Backed Securities After the Financial Crisis: An Empirical Approach

This dissertation aimed at enabling an understanding of the development of the asset-backed security market after the 2007 financial crisis. To reach this objective, the post-crisis ABS market was investigated using an empirical strategy on three secondary and large-scale data sets. In the wake of the financial crisis that began in the summer of 2007 in the U.S. subprime mortgage market, regulations has been strengthen in various steps by governments of major financial markets throughout the world. Non-surprisingly, a particular focus has been on the securitization market, given the dominant role it played in that crisis and, of course, given the course of events in the securitization market during that crisis. This study offers a comprehensive analysis of the effects of the financial crisis on the primary market of Non-U.S. asset-backed securities. Summarized, this thesis finds significant effects on primary market spreads in the ABS market. Furthermore, this study reveals important changes on the risk profiles of the issued securities and concludes that external influences such as the 2007 financial crisis as well as central bank quantitative easing since 2014 affect also primary market yield determinants and important characteristics of the ABS pricing process such as risk monitoring variables.