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

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Abstract
We propose a novel, stock-return based, technique to measure three aspects ofbanks’ sectoral concentration that feature prominently in episodes of intensified (sys-temic) bank risk: specialization (capturing high exposures), differentiation (capturingdeviation from peer banks), and financial sector exposure (capturing direct connect-edness) and show external validity for these measures. We find that both individualand systemic bank risk decrease with specialization. Differentiation is particularly andpositively related to individual bank risk, whereas direct connectedness of banks isparticularly and positively related to systemic bank risk. These findings inform thetheoretical and policy debate on the relationship between sectoral concentration andbanks’ stability.
Keywords
bank concentration, sectoral specialization, differentiation, bank risk, systemic stability, factor model, GOVERNANCE, SELECTION

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Citation

Please use this url to cite or link to this publication:

MLA
Beck, Thorsten, et al. “Bank Sectoral Concentration and Risk : Evidence from a Worldwide Sample of Banks.” JOURNAL OF MONEY CREDIT AND BANKING, 2022, doi:10.1111/jmcb.12920.
APA
Beck, T., De Jonghe, O., & Mulier, K. (2022). Bank sectoral concentration and risk : evidence from a worldwide sample of banks. JOURNAL OF MONEY CREDIT AND BANKING. https://doi.org/10.1111/jmcb.12920
Chicago author-date
Beck, Thorsten, Olivier De Jonghe, and Klaas Mulier. 2022. “Bank Sectoral Concentration and Risk : Evidence from a Worldwide Sample of Banks.” JOURNAL OF MONEY CREDIT AND BANKING. https://doi.org/10.1111/jmcb.12920.
Chicago author-date (all authors)
Beck, Thorsten, Olivier De Jonghe, and Klaas Mulier. 2022. “Bank Sectoral Concentration and Risk : Evidence from a Worldwide Sample of Banks.” JOURNAL OF MONEY CREDIT AND BANKING. doi:10.1111/jmcb.12920.
Vancouver
1.
Beck T, De Jonghe O, Mulier K. Bank sectoral concentration and risk : evidence from a worldwide sample of banks. JOURNAL OF MONEY CREDIT AND BANKING. 2022;
IEEE
[1]
T. Beck, O. De Jonghe, and K. Mulier, “Bank sectoral concentration and risk : evidence from a worldwide sample of banks,” JOURNAL OF MONEY CREDIT AND BANKING, 2022.
@article{8708231,
  abstract     = {{We  propose  a  novel,  stock-return  based,  technique  to  measure  three  aspects  ofbanks’ sectoral concentration that feature prominently in episodes of intensified (sys-temic) bank risk:  specialization (capturing high exposures), differentiation (capturingdeviation from peer banks), and financial sector exposure (capturing direct connect-edness) and show external validity for these measures.  We find that both individualand systemic bank risk decrease with specialization.  Differentiation is particularly andpositively  related  to  individual  bank  risk,  whereas  direct  connectedness  of  banks  isparticularly and positively related to systemic bank risk.  These findings inform thetheoretical and policy debate on the relationship between sectoral concentration andbanks’ stability.}},
  author       = {{Beck, Thorsten and De Jonghe, Olivier and Mulier, Klaas}},
  issn         = {{0022-2879}},
  journal      = {{JOURNAL OF MONEY CREDIT AND BANKING}},
  keywords     = {{bank concentration,sectoral specialization,differentiation,bank risk,systemic stability,factor model,GOVERNANCE,SELECTION}},
  language     = {{eng}},
  pages        = {{41}},
  title        = {{Bank sectoral concentration and risk : evidence from a worldwide sample of banks}},
  url          = {{http://dx.doi.org/10.1111/jmcb.12920}},
  year         = {{2022}},
}

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