Systemic risk and diversification across European banks and insurers

Jan Frederik Slijkerman, Dirk Schoenmaker and Casper de Vries

Journal of Banking & Finance, 2013, vol. 37, issue 3, 773-785

Abstract: 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.

Keywords: Financial conglomerates; Diversification; Extreme value theory (search for similar items in EconPapers)
JEL-codes: C49 G21 G22 G28 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:3:p:773-785

DOI: 10.1016/j.jbankfin.2012.10.027

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