Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/248311 
Year of Publication: 
2021
Series/Report no.: 
Bank of Canada Staff Working Paper No. 2021-50
Publisher: 
Bank of Canada, Ottawa
Abstract: 
This paper explores the extent to which correlated investments in the futures market concentrated systemic risk on large Canadian banks around the 2008 crisis. We find that core banks took positions against the periphery, increasing their systemic risk as a group. On the portfolio level, position similarity was the main systemic risk driver for core banks, while crossprice correlations drove the systemic risk of noncore banks. Core banks were more diversified, but their portfolios also overlapped more. By contrast, non-core banks were less diversified, but also overlapped less. This significantly nuances the debate on concentration versus diversification as systemic risk sources.
Subjects: 
Financial markets
Financial institutions
JEL: 
G10
G20
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
720.52 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.