Asset commonality of European banks

Sonia Dissem ()
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Sonia Dissem: University of Lille

Journal of Banking Regulation, 2019, vol. 20, issue 1, No 1, 33 pages

Abstract: Abstract In this paper, we investigate the notion of asset commonality. We describe the evolution of asset commonality, for 43 European banks over 15 countries, by comparing the 2011 and 2016 EU-wide stress test reporting. We determine the main variables that influence asset commonality and its evolution. We notice that asset commonality can be used as a complementary measure to other market systemic risk measures. Furthermore, we find that asset commonality can influence the returns negatively and the volatility of the bank positively. We also find that some banks, which have no funding problems or fire sales, have experienced a decrease in their performance. Asset commonality can be seen as an interesting tool than can be used by regulators.

Keywords: Asset commonality; Bank regulation; Systemic risk; G21; G28 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1057/s41261-018-0064-5

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