Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86211
Authors: 
Slijkerman, Jan Frederik
Schoenmaker, Dirk
de Vries, Casper
Year of Publication: 
2005
Series/Report no.: 
Tinbergen Institute Discussion Paper 05-110/2
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.
Subjects: 
Financial conglomerates
Banking
Insurance
Diversification
Extreme Value Theory
JEL: 
G21
G22
G28
C49
Document Type: 
Working Paper

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