Bank Sectoral Concentration and Risk: Evidence from a Worldwide Sample of Banks
提出基于股票回报的新方法衡量银行行业集中的三个维度，发现专业化降低个体和系统性风险，差异化增加个体风险，金融部门关联增加系统性风险。
Abstract 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.