On the measurement of bank vulnerability
从系统性风险角度构建了一个银行脆弱性指数，该指数基于规模加权杠杆率和流动性加权的赫芬达尔指数，利用美国银行控股公司（2001-2024年）和大萧条时期国民银行的数据进行实证，可用于监测金融不稳定、激活宏观审慎资本缓冲和分析历史银行危机。
I introduce an index that formulates the vulnerability of the banking sector from a systemic risk perspective. It is expressed in terms of the size-weighted leverage and the illiquidity-weighted Herfindahl–Hirschman Index. The empirical implementation is demonstrated using balance sheet data from U.S. bank holding companies during 2001–2024 and national banks during the Great Depression. The index can be used to monitor financial instability, activate macroprudential capital buffers, and analyse historical banking crises.