%0 Journal Article %1 Slijkerman2013Systemic %A Slijkerman, Jan F. %A Schoenmaker, Dirk %A de Vries, Casper G. %D 2013 %J Journal of Banking & Finance %K time-series banks systemic-risk insurers extreme-value-analysis %N 3 %P 773--785 %R 10.1016/j.jbankfin.2012.10.027 %T Systemic risk and diversification across European banks and insurers %U http://dx.doi.org/10.1016/j.jbankfin.2012.10.027 %V 37 %X 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. ► The systemic interdependencies in European banking and insurance are examined. ► Extreme value analysis identifies the potential impact of a financial crisis. ► Inter sector dependencies are significantly lower than intra sector dependencies. ► Going against the trend, we find financial conglomeration lowers downside risk

@article{Slijkerman2013Systemic, 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. \^{a}–º The systemic interdependencies in European banking and insurance are examined. \^{a}–º Extreme value analysis identifies the potential impact of a financial crisis. \^{a}–º Inter sector dependencies are significantly lower than intra sector dependencies. \^{a}–º Going against the trend, we find financial conglomeration lowers downside risk}}, added-at = {2019-06-10T14:53:09.000+0200}, author = {Slijkerman, Jan F. and Schoenmaker, Dirk and de Vries, Casper G.}, biburl = {https://www.bibsonomy.org/bibtex/29b292e5f3f4d8b7ccde55735d485046b/nonancourt}, citeulike-article-id = {11715389}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jbankfin.2012.10.027}, doi = {10.1016/j.jbankfin.2012.10.027}, interhash = {b57babb2b605f2b4713afaac2b4e6256}, intrahash = {9b292e5f3f4d8b7ccde55735d485046b}, issn = {03784266}, journal = {Journal of Banking \& Finance}, keywords = {time-series banks systemic-risk insurers extreme-value-analysis}, month = mar, number = 3, pages = {773--785}, posted-at = {2017-07-18 11:20:22}, priority = {2}, timestamp = {2019-08-01T16:19:31.000+0200}, title = {{Systemic risk and diversification across European banks and insurers}}, url = {http://dx.doi.org/10.1016/j.jbankfin.2012.10.027}, volume = 37, year = 2013 }