Bank Risk Aggregation Based on Triple Perspectives of Bank Managers, Credit Rating Agencies and Analysts

The bank risk aggregation method based on financial statements has been widely used in recent years. However, previous studies neglect the textual risk disclosures of credit rating agencies and analysts meanwhile ignoring textual sentiment. Therefore, this paper first incorporates textual sentiment into bank risk aggregation and expands the source of textual risk disclosure to the triple perspectives of bank managers, credit rating agencies and analysts to obtain more reasonable depiction of bank risks. Based on the numerical data and textual risk disclosures from 275 U.S. listed commercial banks, we find that the total risks in 2018 and 2019 were underestimated while the total risks in remaining years overestimated. Further mechanism analysis finds that, compared with introducing the textual risk disclosures of credit rating agencies and analysts, the introduction of textual sentiment into bank risk aggregation is more significant, indicating that market sentiment plays an important role in bank risk measurement