Risk Diversification by European Financial Conglomerates

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 05-110/2

Classification and Topics

• Classification: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Insurance; Insurance Companies; Actuarial Studies ; Financial Institutions and Services: Government Policy and Regulation ; Econometric and Statistical Methods: Special Topics: Other
• Subject: Financial conglomerates ; Banking ; Insurance ; Diversification ; Extreme Value Theory

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Slijkerman, Jan Frederik ; Schoenmaker, Dirk ; de Vries, Casper
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/86211
• Last update: 10.03.2025, 11:44 AM CET