Importance The article addresses risks inherent in asset concentration as a factor of systemic risks in the banking sector. Objectives The purpose of the study is to develop specific measures to reduce the systemic risk exposure of the banking sector based on the analysis of Russian an international practice of risk concentration. Methods In the research, we apply a systems approach, a comparative analysis and expert evaluations. Results We determined the effect of asset concentration as a factor of systemic risks of the banking sector, identified major problems related to regulatory restrictions of large exposures in the Russian banking practice, and proposed measures to improve banking regulation to the extent of major risk identification and control. Conclusions and Relevance The Russian banking sector is rather susceptible to systemic risks. One of major sources of systemic risks is asset concentration at the micro- and macro-level. The paper offers measures to improve the regulation of large risks, namely, to introduce risk limitation based on the credit quality of financial instruments, to consider the economic interrelation when identifying the groups of related counterparties.
Keywords: banking, systemic risk, risk source, risk concentration, group of related borrowers
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