Bank risk aggregation based on the triple perspectives of bank managers, credit raters, and financial analysts

Lu Wei, Xiyuan Miao, Haozhe Jing, Zhidong Liu and Zezhong Xie

Finance Research Letters, 2023, vol. 57, issue C

Abstract: Previous studies have incorporated only textual risk information disclosed by bank managers into bank risk aggregation. Besides bank managers, credit raters and financial analysts are important sources of risk information. Thus, this study expands the sources of textual risk disclosures in bank risk aggregation to include the triple perspectives of bank managers, credit raters, and financial analysts to obtain more reasonable bank risk aggregation results. By aggregating credit, market, and operational risk in the U.S. banking system, we find that disregarding textual risk disclosures from credit rating reports and financial analyst reports leads to biased bank risk aggregation results.

Keywords: Bank risk aggregation; Text mining; Financial statements; Credit rating reports; Financial analyst reports (search for similar items in EconPapers)
JEL-codes: C80 G21 G32 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005858

DOI: 10.1016/j.frl.2023.104213

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