This paper studies the relationship between bank holding company affiliation and the individual and systemic risk of … banks. Using the 2005 hurricane season in the US as an exogenous shock to bank balance sheets, we show that banks that are …

subject to the same macro shocks? This paper decomposes the comovements of bank trading losses into two orthogonal channels …: portfolio overlap and common shocks. While portfolio overlap generates strong comovements, I find that the sensitivity to common … reductions in portfolio overlap can increase the comovement of trading losses by adding exposures to macro shocks. …