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

U.S. Department Of The Treasury

Softcover

ISBN 10: 1506128505 ISBN 13: 9781506128504

Publisher: 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 banksā€™ asset holdings. We draw on a growing strand of theoretical literature that studies the systemic externalities of banksā€™ 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 2001ā€“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.

Edition details

• Publisher: CreateSpace Independent Publishing Platform
• Publication date: 2015
• Language: English
• ISBN 10: 1506128505
• ISBN 13: 9781506128504
• Binding: Paperback
• Number of pages: 30