The Impact of Regulatory Stress Tests on Banks' Portfolio Similarity and Implications for Systemic Risk
研究发现美国大型银行自2012年压力测试开始后投资组合相似性增加，银行转向类似分散化组合，导致系统集中度上升和系统性风险贡献增大，这种调整由压力测试中损失较大的贷款供给收缩驱动。
Abstract Portfolio similarity among the largest U.S. banks has increased since stress testing began in 2012. Using aggregate and detailed loan‐level data, we find that, as a result of stress testing, banks rebalance their portfolio toward similarly diversified portfolios, leading to higher concentration in the aggregate banking system and raising financial stability concerns as systemic risk contributions increase. The rebalancing is driven by a supply contraction in loans that cause larger losses under stress testing, especially by banks with high capital losses in past stress tests. This rebalancing holds conditional on assets that have identical contributions to regulatory capital requirements.