Bank Loan Portfolio and Bank Risk (in Korean)

Sang Wook Lee () and Sung Wook Cho ()
Additional contact information
Sang Wook Lee: Department of Business Administration, Seoul National University of Science and Technology
Sung Wook Cho: Office of Bank Examination, The Bank of Korea

Economic Analysis (Quarterly), 2015, vol. 21, issue 2, 28-62

Abstract: This paper examines the relationship between the bank loan concentration and bank risk by using 75 industry bank loan portfolio data. We defined the industry bank loan concentration proxy using HHI(Hirshimann-Herfindahl Index) based on the economic market concentration concept as well as RD(Relative Distance) considering the loan portfolio similarity among banks. We used the Bank-Z score, developed by Boyd and Runkle(1993), as the bank risk proxy. Empirical analyses in this paper show that bank loan portfolio concentration might increase bank insolvency risks, possibly by raising earning volatility.

Keywords: Bank loan; Bank risk; Loan portfolio (search for similar items in EconPapers)
JEL-codes: G2 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bok.or.kr/ucms/cmmn/file/fileDown.do?m ... 00001016837&fileSn=1 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:21:y:2015:i:2:p:28-62

Access Statistics for this article

Economic Analysis (Quarterly) is currently edited by Wook Sohn, Hwan-koo Kang and Jaerang Lee

More articles in Economic Analysis (Quarterly) from Economic Research Institute, Bank of Korea Contact information at EDIRC.
Bibliographic data for series maintained by Economic Research Institute ().