| Asset Commonality and Systemic Risk Among Large Banks in the United States Contributor(s): U. S. Department of the Treasury (Author) |
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ISBN: 1507563493 ISBN-13: 9781507563496 Publisher: Createspace Independent Publishing Platform OUR PRICE: $12.30 Product Type: Paperback - Other Formats Published: January 2015 |
| Additional Information |
| BISAC Categories: - Business & Economics | Banks & Banking |
| Physical Information: 0.06" H x 8.5" W x 11.02" (0.21 lbs) 30 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: In this book, we present a compellingly simple yet innovative approach to capturing the buildup of systemic risk associated with commonalities in bank's 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. |
