Artikel
Diversification and systemic risk: A financial network perspective
In this paper, we study the implications of diversification in the asset portfolios of banks for financial stability and systemic risk. Adding to the existing literature, we analyse this issue in a network model of the interbank market. We carry out a simulation study that determines the probability of a systemic crisis in the banking network as a function of both the level of diversification, and the connectivity and structure of the financial network. In contrast to earlier studies we find that diversification at the level of individual banks may be beneficial for financial stability even if it does lead to a higher asset return correlation across banks.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 2 ; Pages: 1-11 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
systemic risk
financial network
diversification
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Frey, Rüdiger
Hledik, Juraj
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2018
- DOI
-
doi:10.3390/risks6020054
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Frey, Rüdiger
- Hledik, Juraj
- MDPI
Entstanden
- 2018
Ähnliche Objekte (12)
Barriers to financial innovation: Corporate finance perspective
Overconfidence, financial advice seeking and household portfolio under-diversification
Regularized maximum diversification investment strategy
On the diversification of fixed income assets
Cryptocurrencies, diversification and the COVID-19 pandemic
Determinants of related and unrelated export diversification
A mean-variance diagnosis of the financial crisis: International diversification and safe havens
Spatial risk measures and rate of spatial diversification
Antecedents of technological diversification: A resource dependence logic
The Solvency II Standard Formula, linear geometry, and diversification
Financial stability board: Mandate and implementation of its systemic risks standards
The impact of systemic risk on the diversification benefits of a risk portfolio
Barriers to financial innovation: Corporate finance perspective
Overconfidence, financial advice seeking and household portfolio under-diversification
Regularized maximum diversification investment strategy
On the diversification of fixed income assets
Cryptocurrencies, diversification and the COVID-19 pandemic
Determinants of related and unrelated export diversification
A mean-variance diagnosis of the financial crisis: International diversification and safe havens
Spatial risk measures and rate of spatial diversification
Antecedents of technological diversification: A resource dependence logic
The Solvency II Standard Formula, linear geometry, and diversification
Financial stability board: Mandate and implementation of its systemic risks standards
The impact of systemic risk on the diversification benefits of a risk portfolio
Barriers to financial innovation: Corporate finance perspective
Overconfidence, financial advice seeking and household portfolio under-diversification
Regularized maximum diversification investment strategy
On the diversification of fixed income assets
Cryptocurrencies, diversification and the COVID-19 pandemic
Determinants of related and unrelated export diversification
A mean-variance diagnosis of the financial crisis: International diversification and safe havens
Spatial risk measures and rate of spatial diversification
Antecedents of technological diversification: A resource dependence logic
The Solvency II Standard Formula, linear geometry, and diversification
Financial stability board: Mandate and implementation of its systemic risks standards