Slijkerman, Jan Frederik
[Verfasser:in]
;
Schoenmaker, Dirk
[Sonstige Person, Familie und Körperschaft];
de Vries, Casper G.
[Sonstige Person, Familie und Körperschaft]
Systemic Risk and Diversification Across European Banks and Insurers
Anmerkungen:
In: Tinbergen Institute Discussion Paper No. 2005-110/2
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 7, 2005 erstellt
Beschreibung:
We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial conglomerates. We discuss the limited value of the normal distribution based correlation concept, and propose an alternative measure which better captures the downside dependence given the fat tail property of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates versus large banks