A New Measurement of Sectoral Concentration of Credit Portfolios | Zendy

Yibing Chen | Zendy; Xianhua Wei | Zendy; Lingling Zhang | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

A New Measurement of Sectoral Concentration of Credit Portfolios

Author(s) -

Yibing Chen,

Xianhua Wei,

Lingling Zhang

Publication year - 2013

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2013.05.157

Subject(s) - weighting , computer science , construct (python library) , credit risk , systematic risk , panel data , measure (data warehouse) , econometrics , data mining , business , actuarial science , economics , medicine , radiology , programming language

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 HHI. 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

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research