EconPapers    
Economics at your fingertips  
 

Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model

Jacob Bikker (jabikker@hotmail.com)

Banca Nazionale del Lavoro Quarterly Review, 2002, vol. 55, issue 223, 363-389

Abstract: Risk diversification is one of the many reasons for cross-sector mergers of financialinstitutes. This paper presents a fair-value type asset and liability model in order to identify diversification effects for financial conglomerates (PCs) under various shocks. My analysis for the Netherlands reveals that diversification effects on PCs of especially interest rate shocks are very strong. In principle, substantial diversificationeffects argue for lower capital requirements for PCs. However, there are other non-negligible risks run by PCs to consider, namely contagion risk, regulatory arbitrage andcross-sector and TBTF moral hazard risks, which have not yet been quantified.

Keywords: merger (search for similar items in EconPapers)
JEL-codes: G12 G21 G22 G28 G34 G38 M41 (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9915/9797 (application/pdf)

Related works:
Journal Article: Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model (2002) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:psl:bnlqrr:2002:42

Ordering information: This journal article can be ordered from
http://www.economiacivile.it

Access Statistics for this article

Banca Nazionale del Lavoro Quarterly Review is currently edited by Alessandro Roncaglia

More articles in Banca Nazionale del Lavoro Quarterly Review from Banca Nazionale del Lavoro
Bibliographic data for series maintained by Carlo D'Ippoliti (pslqr@uniroma1.it).

 
Page updated 2025-03-22
Handle: RePEc:psl:bnlqrr:2002:42