Asset commonality of European banks

Original Article
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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 

JEL Classifications

G21 G28 

Notes

Acknowledgements

The author is grateful to Pr. Diane Pierret for her valuable comments and availability during the exchange semester at HEC Lausanne.

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Copyright information

© Macmillan Publishers Ltd., part of Springer Nature 2018

Authors and Affiliations

  1. 1.LSMRC - EA 4112University of LilleLilleFrance
  2. 2.Skema Business School LilleEuralilleFrance

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