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.
| Translated title of the contribution | Bank Loan Portfolio and Bank Risk |
|---|---|
| Original language | Korean |
| Pages (from-to) | 28-62 |
| Number of pages | 35 |
| Journal | 경제분석 |
| Volume | 21 |
| Issue number | 2 |
| DOIs | |
| State | Published - Jun 2015 |