Systemic risk and diversification across European banks and insurers

Jan Frederik Slijkerman; Dirk Schoenmaker; Casper G. de Vries

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Systemic risk and diversification across European banks and insurers

机译：欧洲银行和保险公司的系统性风险和多元化

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The mutual and cross company exposures to fat-tail distributed risks determine the potential impact of a financial crisis on banks and insurers. We examine the systemic interdependencies within and across the European banking and insurance sectors during times of stress by means of extreme value analysis. While insurers exhibit a slightly higher interdependency in comparison with banks, the interdependency across the two sectors turns out to be considerably lower. This suggests that downside risk can be lowered through financial conglomeration.

机译：公司之间和公司之间的共同风险暴露于发尾分布的风险决定了金融危机对银行和保险公司的潜在影响。通过极端价值分析，我们在压力时期检查了欧洲银行业和保险业内部和整个系统间的相互依赖性。尽管与银行相比，保险公司的相互依存度略高，但两个部门之间的相互依存度却明显较低。这表明可以通过金融集团降低下行风险。

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来源
《Journal of banking & finance》 |2013年第3期|773-785|共13页
作者
Jan Frederik Slijkerman; Dirk Schoenmaker; Casper G. de Vries;
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作者单位

AECON Asset Management, AECONplein 50, PO Box 202, 2501 CE The Hague, Netherlands ,Erasmus University Rotterdam, B. Oudlaan 50, 3062 PA Rotterdam, Netherlands;

VU University Amsterdam, De Boelelaan 1705, 7087 HV Amsterdam, Netherlands ,Duisenberg School of Finance, Gustav Mahlerplein 117, 1082 MS Amsterdam, Netherlands;

Erasmus University Rotterdam, B. Oudlaan 50, 3062 PA Rotterdam, Netherlands ,Duisenberg School of Finance, Gustav Mahlerplein 117, 1082 MS Amsterdam, Netherlands;

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正文语种 eng
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关键词
financial conglomerates; diversification; extreme value theory;

机译：金融集团多样化;极值理论;

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Systemic risk and diversification across European banks and insurers

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