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

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

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.

Suggested Citation

  • Wei, Lu & Miao, Xiyuan & Jing, Haozhe & Liu, Zhidong & Xie, Zezhong, 2023. "Bank risk aggregation based on the triple perspectives of bank managers, credit raters, and financial analysts," Finance Research Letters, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005858
    DOI: 10.1016/j.frl.2023.104213
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    References listed on IDEAS

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    More about this item

    Keywords

    Bank risk aggregation; Text mining; Financial statements; Credit rating reports; Financial analyst reports;
    All these keywords.

    JEL classification:

    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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