Working Papers
Synthetic, but How Much Risk Transfer? (2025), with Glenn Schepens
[Job Market Paper]
Abstract:
Banks use synthetic risk transfers (SRTs) to lay off potential losses in their loan portfolios to non-bank investors while retaining the loans on their balance sheets. We investigate this trillion-euro market using transaction-level data from the euro area, the largest SRT market, and highlight three channels of potential risks to financial stability. First, we causally show that banks synthetically transfer loans that are capital-expensive relative to their riskiness. As banks redeploy the freed capital, they become effectively less capitalized. Second, after entering an SRT, banks reduce their monitoring efforts compared to other banks lending to the same firm. Third, banks and non-bank investors are interconnected. Banks are more likely to sell SRTs to investors to which they also grant credit, and total bank credit to these investors increases before the SRT investment, suggesting that SRTs are partially debt-financed. The investors' leverage, however, remains modest.
Presentations, incl. scheduled (all personally presented): BdE-CEMFI Conference on Financial Stability; Madrid, Spain (2025). ECB-New York Fed Conference on Nonbank Financial Institutions; Frankfurt, Germany (2025). 11th IWH-FIN-FIRE Workshop on "Challenges to Financial Stability"; Halle, Germany (2025). NYU Stern Brown Bag Lunch Seminar; New York City, US (2025). BIS-ECB-CEPR conference on "Technological innovations in financial markets – Risks and opportunities in banking and regulation"; Frankfurt, Germany (2025). HEC Paris Finance PhD Workshop; Paris, France (2025). Naples School of Economics: 4th PhD and Post-Doctoral Workshop; Naples, Italy (2025). Frankfurt Summer School; Eltville, Germany (2025). ECB Banking Supervision Research Seminar; online (2025). Tri-City Bridge Workshop on Empirical Research in Finance; Zurich, Switzerland (2025).
Additional material: Recording of the presentation at the BdE-CEMFI Conference on Financial Stability; Madrid, Spain (2025)
Joining Forces: Why Banks Syndicate Credit (2024), with Steven Ongena and Glenn Schepens
Abstract:
Banks can grant loans to firms bilaterally or in syndicates. We study this choice by combining bilateral loan data with syndicated loan data. We show that loan size alone does not adequately explain syndication. Instead, banks’ ability to manage risks and firm riskiness drive the choice to syndicate. Banks are more likely to syndicate loans if their risk-bearing capacity is low and if screening and monitoring come at a high cost. Syndicated loans are more expensive and more sensitive to loan risk than bilateral loans. Our findings contradict the hypothesis that reputable borrowers graduate to the syndicated loan market.
Presentations (* personally presented): IBEFA conference; San Francisco, US (2025)*. Tri-City PhD Workshop; Frankfurt, Germany (2024)*. Banca d’Italia, Collegio Carlo Alberto and Norges Bank conference; Oslo, Norway (keynote, 2024). Finance in the Tuscan Hills; Florence, Italy (2024). 8th Annual Workshop of the ESCB Research Cluster on Financial Stability; Rome, Italy (2024). 5th Financial Economics Meeting; Paris, France (keynote, 2024). Banco de España; Madrid, Spain (2024). Central Bank of Ireland; Dublin, Ireland (2024). Humboldt University of Berlin; Berlin, Germany (2024). Toulouse Business School; Toulouse, France (2024). University College Dublin; Dublin, Ireland (2024). University of Munster; Munster, Germany (2024). University of Padua; Padua, Italy (2024). Swiss Finance Institute Research Days; Gerzensee, Switzerland (2023)*. UZH Brown Bag Lunch Seminar; Zurich, Switzerland (2023)*. ECB Internal Research Seminar; Frankfurt, Germany (2023).
Work in Progress
Reporting Biases in Syndicated Loans, with Steven Ongena and Glenn Schepens
Information Asymmetries in Syndicates
Book Chapter
Competition in Banking - When Banks Compete with Non-Banks (2024), with Hans Degryse, Paola Morales-Acevedo, and Steven Ongena
In: Oxford Handbook of Banking, fourth edition