Title: Securitisation, loan specialisation and bank risk

Authors: Kenneth A. Tah

Addresses: Stetson School of Business and Economics, Mercer University, 1501 Mercer University Drive, Macon, GA, 31207, USA

Abstract: This study examines the effect of securitisation on the loan portfolio, investigating its impact on bank loan specialisation. Using US bank holding company data from 2001: Q2 to 2014: Q1, I find a positive relation between securitisation and bank loan specialisation, driven primarily by securitised mortgages. This study in addition examines securitisation's effect on the negative relationship (as observed in previous studies) between loan specialisation and bank risk, finding that within the period of our studies, securitisation weakens that relationship. Such results suggest that within the focus period of this study, mortgage backed securitisation in particular resulted in an overall specialisation of credit, in ways that weakens the risk benefit associated with loan specialisation.

Keywords: securitisation; loan specialisation; bank risk; bank holding company; BHC; mortgage backed securitisation.

DOI: 10.1504/IJBAAF.2019.099432

International Journal of Banking, Accounting and Finance, 2019 Vol.10 No.2, pp.213 - 229

Accepted: 30 Jan 2018
Published online: 02 May 2019 *

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