EconPapers    
Economics at your fingertips  
 

Similarity and Clustering of Banks: Application to the Credit Exposures of the Czech Banking Sector

Josef Brechler, Václav Hausenblas, Zlatuse Komarkova () and Miroslav Plašil

Research and Policy Notes from Czech National Bank, Research and Statistics Department

Abstract: After the recent events in the global financial system there has been significant progress in the literature focusing on the sources of systemic importance of financial institutions. However, the concept of systemic importance is in practice often simplified to the problem of size and contagion due to interbank market interconnectedness. Against this backdrop, we explore additional features of systemic importance stemming from similarities between bank asset portfolios and investigate whether they can contribute to the build-up of systemic risks. We propose a set of descriptive methods to address this aspect empirically in the context of the Czech banking system. Our main findings suggest that the overall measure of the portfolio similarity of individual banks is relatively stable over time and is driven mainly by large and well-established banks. However, we identified several clusters of very similar banks whose market share is small individually but which could become systemically important when considered as a group. After taking into account the credit risk characteristics of portfolios we conclude that the importance of these clusters is even higher.

Keywords: Contagion; correlation; financial stability; systemic risk; too-many-to-fail (search for similar items in EconPapers)
JEL-codes: B12 B52 (search for similar items in EconPapers)
Date: 2014-12
New Economics Papers: this item is included in nep-ban, nep-hme, nep-rmg and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cnb.cz/export/sites/cnb/en/economic-re ... nload/rpn_4_2014.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:cnb:rpnrpn:2014/04

Access Statistics for this paper

More papers in Research and Policy Notes from Czech National Bank, Research and Statistics Department Contact information at EDIRC.
Bibliographic data for series maintained by Tomas Karhanek ().

 
Page updated 2025-03-31
Handle: RePEc:cnb:rpnrpn:2014/04