Asset Commonality and Systemic Risk Among Large Banks in the United States - Couverture souple

U.S. Department Of The Treasury

 
9781506128504: Asset Commonality and Systemic Risk Among Large Banks in the United States
Couverture souple
ISBN 10 : 1506128505 ISBN 13 : 9781506128504
Editeur : CreateSpace Independent Publishing Platform, 2015

Synopsis

In this paper, we present a compellingly simple yet innovative approach to capturing the buildup of systemic risk associated with commonalities in banks’ asset holdings. We draw on a growing strand of theoretical literature that studies the systemic externalities of banks’ balance sheet asset side allocations. By applying data aggregation and clustering techniques to publically available balance sheet data, we uncover interesting patterns in the asset holdings of the major bank holding companies in the United States during the years 2001–2013. We augment our findings with theoretical analysis and insight. Based on our analysis, we construct a novel measure of systemic risk, ACRISK, where AC stands for asset commonality. This measure captures well the buildup of systemic risk that culminated in the global credit crisis, and provides empirical support to the asset commonality theoretical notions.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

In this paper, we present a compellingly simple yet innovative approach to capturing the buildup of systemic risk associated with commonalities in banks’ asset holdings. We draw on a growing strand of theoretical literature that studies the systemic externalities of banks’ balance sheet asset side allocations. By applying data aggregation and clustering techniques to publically available balance sheet data, we uncover interesting patterns in the asset holdings of the major bank holding companies in the United States during the years 2001–2013. We augment our findings with theoretical analysis and insight. Based on our analysis, we construct a novel measure of systemic risk, ACRISK, where AC stands for asset commonality. This measure captures well the buildup of systemic risk that culminated in the global credit crisis, and provides empirical support to the asset commonality theoretical notions.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
CreateSpace Independent Publishing Platform
Date d'édition
2015
Langue
anglais
ISBN 10 
1506128505
ISBN 13 
9781506128504
Reliure
Broché
Nombre de pages
30
Coordonnées du fabricant
non disponible
Personne responsable
non disponible

Autres éditions populaires du même titre

9781507563496: Asset Commonality and Systemic Risk Among Large Banks in the United States

Edition présentée

ISBN 10 :  1507563493 ISBN 13 :  9781507563496
Editeur : CreateSpace Independent Publishi..., 2015
Couverture souple