2005-12-07
Risk Diversification by European Financial Conglomerates
Publication
Publication
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.
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hdl.handle.net/1765/7426 | |
Tinbergen Institute Discussion Paper Series | |
Organisation | Tinbergen Institute |
Slijkerman, J. F., Schoenmaker, D., & de Vries, C. (2005). Risk Diversification by European Financial Conglomerates (No. TI 05-110/2). Tinbergen Institute Discussion Paper Series. Retrieved from http://hdl.handle.net/1765/7426 |