Systemic Risk & Diversification across European Banks and Insurers

J.F. Slijkerman, D. Schoenmaker, C.G. de Vries

Research output: Contribution to JournalArticleAcademicpeer-review

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. © 2012 Elsevier B.V.
Original languageEnglish
Pages (from-to)773-785
JournalJournal of Banking and Finance
Volume37
Issue number3
DOIs
Publication statusPublished - 2013

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