Beyond the crisis: securitisation and mortgage risk in an evolving regulatory landscape

Segato, S. (2025) Beyond the crisis: securitisation and mortgage risk in an evolving regulatory landscape. PhD thesis, University of Reading. doi: 10.48683/1926.00127585

Abstract/Summary

This thesis examines how financial regulation influences credit risk in the European residential mortgage-backed securities (RMBS) market, with a focus on both post-crisis reforms and emerging environmental priorities. It brings together three empirical chapters that assess the effectiveness of institutional safeguards and risk indicators under macroeconomic stress. Chapters 2 and 3 analyse the impact of the 2018 European Securitisation Regulation using loan-level data from the European DataWarehouse. Chapter 2 shows that the regulation was associated with a significant decline in mortgage delinquency rates, suggesting that enhanced transparency and risk retention improved loan quality. Chapter 3 focuses on the STS framework, finding that STS-labelled deals outperformed non-STS counterparts and were more resilient during the COVID-19 shock. Chapter 4 shifts the focus on emerging regulatory initiatives and explores the role of environmental risk. It investigates whether energy performance certificates (EPCs) improve the predictive accuracy and discriminatory power of mortgage credit risk models. Using harmonised EPC data across several European countries, the chapter finds that incorporating energy efficiency significantly enhances model performance, particularly during periods of high energy inflation when vulnerabilities in household finances become more pronounced. Together, the chapters highlight how evolving regulatory frameworks, ranging from structural reforms to climate-related supervision, can shape the dynamics of credit risk in securitised markets, especially during times of macroeconomic stress.

Item Type	Thesis (PhD)
URI	https://centaur.reading.ac.uk/id/eprint/127585
Identification Number/DOI	10.48683/1926.00127585
Divisions	Henley Business School
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