Risk Diversification by European Financial Conglomerates

Jan Frederik Slijkerman (), Dirk Schoenmaker and Casper de Vries
Additional contact information
Jan Frederik Slijkerman: Faculty of Economics, Erasmus Universiteit Rotterdam

No 05-110/2, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: 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.

Keywords: Financial conglomerates; Banking; Insurance; Diversification; Extreme Value Theory (search for similar items in EconPapers)
JEL-codes: C49 G21 G22 G28 (search for similar items in EconPapers)
Date: 2005-12-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://papers.tinbergen.nl/05110.pdf (application/pdf)

Related works:
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:tin:wpaper:20050110

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().