Financial Stability in the EU
Financiële stabiliteit in de EU
Is our financial system stable? Can we quantify the probability that a large shock reduces the value of our banks and insurers? In this research the joint losses of banks and insurers in the EU are estimated. The policy questions for financial sector regulation are described and theoretical explanations for the simultaneous losses of multiple financial institutions are given, based on the statistical toolset known as extreme value theory. This way, the joint behavior of the returns of banks, insurers and reinsurers is investigated. Special attention is devoted to sector and country risk. The empirical evaluation is relevant for policymakers. The theoretical approach offers interesting insights into the diversification properties of downside risk.
|Keywords||bank, dependence, extreme value theory, insurer, regulation, reinsurance, systemic risk|
|Promotor||C.G. de Vries (Casper) , D. Schoenmaker (Dirk)|
|Publisher||Erasmus University Rotterdam , Thela Thesis, Amsterdam|
Slijkerman, J.F. (2007, September 14). Financial Stability in the EU. Thela Thesis, Amsterdam. Retrieved from http://hdl.handle.net/1765/10507
|FEW Slijkerman 20070914 Stellingen.pdf , 25kb|