Besides, the additional use of the SE index is to check whether our regression results are sensitive to the choice of different portfolio diversification measures. Hence, we build up the SE measure using the formula as: (3) S E i t = ? s = 1 n x s i t ? l n 1 x s i t (3)
Due to the heterogeneous banking profiles in research markets, prior works indicate slightly different ways of calculating loan portfolio diversification measures. For instance, Acharya et al. ( 2006 ) design a disaggregated sector decomposition based on each bank’s top five industrial exposures with a sixth exposure covering the sum of the remaining exposures (where some exposures could be to any of the 23 industries). Hayden et al. ( 2007 ) use the German classification system with 23 economic sectors, noting that these sectors account for the largest outstanding loans at most banks surveyed. For the Brazilian market, thanks to the standardization of financial information published by all banks, Tabak et al. ( 2011 ) efficiently compute consistent diversification measures with 21 classified economic sectors. Regarding the Chinese ) start from original loan portfolios with 13 industries, then make some adjustments to reduce to 9 industries before calculating their portfolio diversification measures.
We have to pay careful attention when setting up the formats of calculating sectoral loan portfolio diversification measures in the Vietnamese banking context. Unlike banks in many developed markets using standard sector classification systems and publishing adequate financial information, Vietnamese banks show no consensus in dealing with their sectoral loan portfolio structures. Читать далее »