Bank sectoral concentration and risk: Evidence from a worldwide sample of banks

Autor:	Thorsten Beck, Olivier De Jonghe, Klaas Mulier
Přispěvatelé:	Department of Finance, Research Group: Finance
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	Business and Economics SELECTION Economics and Econometrics bank concentration factor model Accounting systemic stability sectoral specialization GOVERNANCE differentiation Finance bank risk
Zdroj:	Journal of Money, Credit and Banking, 54(6), 1705-1739. Wiley-Blackwell JOURNAL OF MONEY CREDIT AND BANKING
ISSN:	0022-2879 1538-4616
Popis:	Published online: 09 February 2022 We propose a novel, stock-return based, technique to measure three aspects of banks' sectoral concentration that feature prominently in episodes of bank risk: specialization (capturing high exposures), differentiation (capturing deviation from peer banks), and financial sector exposure (capturing direct connectedness) and show external validity for these measures. We find that both individual and systemic bank risk decrease with specialization. Differentiation is particularly and positively related to individual bank risk, whereas direct connectedness of banks is particularly and positively related to systemic bank risk. These findings inform the theoretical and policy debate on the relationship between sectoral concentration and banks' stability. This article was published Open Access with the support from the EUI Library through the CRUI - Wiley Transformative Agreement (2020-2023)
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7b9584d4eb9725c6dd8b33141fdfd1eb https://research.tilburguniversity.edu/en/publications/5263c7db-5818-4e5e-ace9-e9c22fd58bfe Zobrazit plný text záznamu Plný text