Securitization and credit risk: Empirical evidence from an emerging economy

• This paper shows evidence regarding securitization transactions and credit risk.
• In the Brazilian economy securitizations imply an increase in the credit risk.
• Credit risk is not relevant to explain securitization in Brazil.

This paper presents empirical evidence from the Brazilian experience for the analysis on securitization transactions and credit risk. Based on panel data framework that takes into account 60 financial institutions from October 2002 to September 2012, we observe if there is some effect of the securitization transactions on credit risk and also whether credit risk stimulates securitization. Our findings indicate that securitization transactions imply an increase in the credit risk whereas credit risk is not relevant to explain securitization in Brazil.