A New Measurement of Sectoral Concentration of Credit Portfolios

被引：10

作者：

Chen, Yibing ^{[1
,2
]}

Wei, Xianhua ^{[2
]}

Zhang, Lingling ^{[1
,2
]}

机构：

[1] Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China

[2] Univ Chinese Acad Sci, Sch Management, Beijing 100190, Peoples R China

来源：

FIRST INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT | 2013年 / 17卷

基金：

中国国家自然科学基金;

关键词：

sectoral concentration; bank risk; emerging markets; credit portfolios; BANKS;

D O I：

10.1016/j.procs.2013.05.157

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, we construct a new measurement of sectoral concentration of credit portfolios risk-adjusted HHI. This measurement takes systematic risk of different sectors into consideration by weighting them with their betas. This paper investigates the effects of sectoral concentration on the Chinese banks' risk using panel data on 16 Chinese listed commercial banks during the 2007-2011 period and compares the results of the new measurement with those of more conventional measure Hill. We find that sectoral concentration is associated with higher risk, and our new measurement performs well to capture the change of systematic risk of sectors and exposures to sectors at the same time. Our analysis may provide important implication for regulators and policy makers of the banks in developing markets. (C) 2013 The Authors. Published by Elsevier B.V.

引用

页码：1231 / 1240

页数：10

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