We propose a comprehensive, pan-European scheme to address the issue of non-performing exposures. We contend that securitisation is the most effective way to sell the bulk of troubled loans because it can rise the transfer price at a level closer to the real economic value, reducing the loss for the banks at bearable levels. Through a numerical example, we describe the main characteristics of a blueprint of securitisation to be implemented at a national level. We argue that this scheme could attract funds from a wide array of investors, while forms of public support can be worked out in terms compatible with the current European rules on state aid.
Brunella Bruno
Tenured researcher, Department of Finance, Bocconi University. National scientific qualification, Associate professor, since 2014. Academic Visitor at Saïd Business School (Feb-Aug 2016). Visiting Professor at Bangor Business School (Jan-Aug 2013). Main research interests: empirical banking (credit risk management and regulation). Recent publications: Market Reaction to Bank Liquidity Regulation (with E. Onali e K. Schaeck), Journal of Financial Quantitative Analysis, forthcoming; Financial structure and corporate investment in Europe: Evidence from the crisis years (with A. D'Onofrio e I. Marino), in C. Mayer et al. (eds), Finance and Investment: The European Case, Oxford University Press, forthcoming 2018; Credit Risk Transfer in U.S. Commercial Banks. What Changed during the 2007-09 Crisis (with M. Bedendo), Journal of Banking and Finance (36) 2012.