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Die Universität Paderborn im Februar 2023 Bildinformationen anzeigen

Die Universität Paderborn im Februar 2023

Foto: Universität Paderborn, Hannah Brauckhoff

Dr. Sascha Tobias Wengerek

Dr. Sascha Tobias Wengerek

Betriebswirtschaftslehre, insb. Bank- und Finanzwirtschaft

Ehemaliger - Forschung und Lehre

+49 5251 60-5559
+49 5251 60-4207

nach Vereinbarung

Warburger Str. 100
33098 Paderborn
Dr. Sascha Tobias Wengerek
04/2020 - heute

Postdoctoral researcher, Paderborn University, Paderborn

03/2014 - 04/2020

Ph.D. studies, Paderborn University, Paderborn

Essays on Empirical Banking and Finance

10/2011 - 09/2013

Working student at the institute of Kredit- und Finanzwirtschaft (ikf), Bochum

10/2011 - 09/2013

Master of Science in Management and Economics, Ruhr University, Bochum

Focus: Banking and Finance

10/2008 - 09/2011

Bachelor of Science in Management and Economics, Ruhr University, Bochum

02/2011 - 04/2011

Internship at IKB Deutsche Industriebank, Düsseldorf

Department for sales and distribution

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Risk allocation through securitization – Evidence from non-performing loans

S.T. Wengerek, B. Hippert, A. Uhde, The Quarterly Review of Economics and Finance (2022), Vol. 86 (11), pp. 48-64

Employing a unique and hand-collected sample of 648 true sale loan securitization transactions issued by 57 stock-listed banks across the EU-12 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the relationship between true sale loan securitization and the issuing banks’ non-performing loans to total assets ratios. Overall, we provide evidence for a negative impact of securitization on NPL exposures suggesting that banks predominantly used securitization as an instrument of credit risk transfer and diversification. In addition, the analysis at hand reveals a time-sensitive relationship between securitization and NPL exposures. While we observe an even stronger NPL-reducing effect through securitization during the non-crisis periods, the effect reverses during and after the global financial crisis suggesting that banks were forced to provide credit enhancement and employ securitization as a funding management tool. Along with the results from a variety of sensitivity analyses our study provides important implications for the recent debate on reducing NPL exposures of European banks by revitalizing the European securitization market.


Share price reactions to tariff imposition announcements in the Trump era - An event study of the trade conflict

S.T. Wengerek, 2020, pp. 63

Employing a unique sample of 2,849 tariff imposition announcements by and against the United States (U.S.) over the period from 2018 to 2019, this study analyzes the impact of recent tariff announcements on share prices from 859 U.S. companies. We provide evidence for negative (cumulative) average abnormal stock returns due to tariff announcements during a symmetric three-day event window. We suggest that stock market investors expect adverse impacts of tariff impositions, e.g. a decrease in the companies' future cash flows and a threat of retaliation. The negative wealth effects are observed irrespective of whether the Trump administration announces safeguard tariffs to protect domestic firms or a retaliation is declared by foreign countries. Moreover, building several subsamples, we find that the adverse impact is mostly driven by announcements involving China and is associated with a variety of sector, tariff, trade and firm characteristics.

COVID-19 and investor behavior

R. Ortmann, M. Pelster, S.T. Wengerek, Finance Research Letters (2020), 37, 101717


COVID-19 and investor behavior

R. Ortmann, M. Pelster, S.T. Wengerek, Finance Research Letters (2020), 37, 101717



Portfolio Benefits of Adding Corporate Credit Default Swap Indices: Evidence from North America and Europe

B. Hippert, A. Uhde, S.T. Wengerek, Review of Derivatives Research (2019), 22(2), pp. 203-259

Employing main and sector-specific investment-grade CDS indices from the North American and European CDS market and performing mean-variance out-of-sample analyses for conservative and aggressive investors over the period from 2006 to 2014, this paper analyzes portfolio benefits of adding corporate CDS indices to a traditional financial portfolio consisting of stock and sovereign bond indices. As a baseline result, we initially find an increase in portfolio (downside) risk-diversification when adding CDS indices, which is observed irrespective of both CDS markets, investor-types and different sub-periods, including the global financial crisis and European sovereign debt crisis. In addition, the analysis reveals higher portfolio excess returns and performance in CDS index portfolios, however, these effects clearly differ between markets, investor-types and sub-periods. Overall, portfolio benefits of adding CDS indices mainly result from the fact that institutional investors replace sovereign bond indices rather than stock indices by CDS indices due to better risk-return characteristics. Our baseline findings remain robust under a variety of robustness checks. Results from sensitivity analyses provide further important implications for institutional investors with a strategic focus on a long-term conservative portfolio management.

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