Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122819792> ?p ?o ?g. }
- W3122819792 endingPage "68" @default.
- W3122819792 startingPage "45" @default.
- W3122819792 abstract "We study the time-varying risk exposures of US bank holding companies for the 1986–2012 period by decomposing total bank risk into systematic banking-industry risk, systematic market-wide risk, and idiosyncratic bank risk. Banking-industry risk factors directly relate to the banks’ financial intermediation functions while market-wide risk factors affect all stocks. In contrast, idiosyncratic risk is driven by individual bank risk characteristics. We analyze the systematic bank risk factors in time series regressions, determine their importance with a democratic orthogonalization technique, and explore the idiosyncratic risk in a panel regression framework. Our results suggest that corporate credit risk and real estate risk are most detrimental in crisis periods, while banks’ interest rate risk sensitivity has changed over the last decade. The banks’ equity ratio, loan-loss provisions, fraction of real estate loans, and proportion of non-interest income relate to the differences in individual bank risk. Moreover, banks’ idiosyncratic risk contains a strong state-level business cycle component. Our results are robust to alternative risk factor specifications. Overall, our study contributes to understanding the structure and time-variation of banks’ systematic and idiosyncratic risks." @default.
- W3122819792 created "2021-02-01" @default.
- W3122819792 creator A5021069591 @default.
- W3122819792 creator A5049319252 @default.
- W3122819792 creator A5064623781 @default.
- W3122819792 date "2015-03-01" @default.
- W3122819792 modified "2023-10-06" @default.
- W3122819792 title "Time-varying systematic and idiosyncratic risk exposures of US bank holding companies" @default.
- W3122819792 cites W1491711721 @default.
- W3122819792 cites W1493094413 @default.
- W3122819792 cites W1972176833 @default.
- W3122819792 cites W1992427594 @default.
- W3122819792 cites W1993346573 @default.
- W3122819792 cites W1993730391 @default.
- W3122819792 cites W1995834279 @default.
- W3122819792 cites W1997271915 @default.
- W3122819792 cites W2001891240 @default.
- W3122819792 cites W2001992115 @default.
- W3122819792 cites W2014157463 @default.
- W3122819792 cites W2017035776 @default.
- W3122819792 cites W2022753826 @default.
- W3122819792 cites W2023010267 @default.
- W3122819792 cites W2031469000 @default.
- W3122819792 cites W2033551233 @default.
- W3122819792 cites W2037636493 @default.
- W3122819792 cites W2039987590 @default.
- W3122819792 cites W2049040993 @default.
- W3122819792 cites W2053483294 @default.
- W3122819792 cites W2054720109 @default.
- W3122819792 cites W2055392973 @default.
- W3122819792 cites W2064401009 @default.
- W3122819792 cites W2075062782 @default.
- W3122819792 cites W2079860685 @default.
- W3122819792 cites W2084775037 @default.
- W3122819792 cites W2086779350 @default.
- W3122819792 cites W2089448231 @default.
- W3122819792 cites W2089876821 @default.
- W3122819792 cites W2089947509 @default.
- W3122819792 cites W2106539152 @default.
- W3122819792 cites W2113292117 @default.
- W3122819792 cites W2117178635 @default.
- W3122819792 cites W2126039255 @default.
- W3122819792 cites W2128298715 @default.
- W3122819792 cites W2128475248 @default.
- W3122819792 cites W2134317772 @default.
- W3122819792 cites W2150114823 @default.
- W3122819792 cites W2150811647 @default.
- W3122819792 cites W2154401967 @default.
- W3122819792 cites W2157509893 @default.
- W3122819792 cites W2160679634 @default.
- W3122819792 cites W2168158876 @default.
- W3122819792 cites W2245668261 @default.
- W3122819792 cites W2315462057 @default.
- W3122819792 cites W2318818482 @default.
- W3122819792 cites W2323051730 @default.
- W3122819792 cites W2887104448 @default.
- W3122819792 cites W3121322140 @default.
- W3122819792 cites W3122586700 @default.
- W3122819792 cites W3122626230 @default.
- W3122819792 cites W3122675613 @default.
- W3122819792 cites W3122863561 @default.
- W3122819792 cites W3122873245 @default.
- W3122819792 cites W3123085324 @default.
- W3122819792 cites W3123095288 @default.
- W3122819792 cites W3123129257 @default.
- W3122819792 cites W3123181404 @default.
- W3122819792 cites W3123207996 @default.
- W3122819792 cites W3123324211 @default.
- W3122819792 cites W3123441798 @default.
- W3122819792 cites W3123505836 @default.
- W3122819792 cites W3123685181 @default.
- W3122819792 cites W3123913209 @default.
- W3122819792 cites W3123917239 @default.
- W3122819792 cites W3124698744 @default.
- W3122819792 cites W3124911340 @default.
- W3122819792 cites W3125473799 @default.
- W3122819792 cites W3125688476 @default.
- W3122819792 cites W3126118018 @default.
- W3122819792 cites W4361866454 @default.
- W3122819792 doi "https://doi.org/10.1016/j.intfin.2014.11.009" @default.
- W3122819792 hasPublicationYear "2015" @default.
- W3122819792 type Work @default.
- W3122819792 sameAs 3122819792 @default.
- W3122819792 citedByCount "22" @default.
- W3122819792 countsByYear W31228197922018 @default.
- W3122819792 countsByYear W31228197922019 @default.
- W3122819792 countsByYear W31228197922020 @default.
- W3122819792 countsByYear W31228197922021 @default.
- W3122819792 countsByYear W31228197922022 @default.
- W3122819792 countsByYear W31228197922023 @default.
- W3122819792 crossrefType "journal-article" @default.
- W3122819792 hasAuthorship W3122819792A5021069591 @default.
- W3122819792 hasAuthorship W3122819792A5049319252 @default.
- W3122819792 hasAuthorship W3122819792A5064623781 @default.
- W3122819792 hasConcept C10138342 @default.
- W3122819792 hasConcept C144133560 @default.
- W3122819792 hasConcept C162118730 @default.
- W3122819792 hasConcept C162324750 @default.