00000nam 2200000zi 4500 9.904072 CaOODSP 20221107180436 m o d f cr |n||||||||| 211013t20212021oncd ob f|0| 0 eng d CaOODSP eng rda CaOODSP n-cn--- FB3-5/2021-50E-PDF Raykov, Radoslav S., author. Systemic risk and portfolio diversification : evidence from the futures market / by Radoslav Raykov. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 1 online resource (ii, 37 pages) : charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-50 "Last updated: October 13, 2021." Includes bibliographical references (pages 34-37). "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 cross price correlations drove the systemic risk of non-core 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"--Abstract. Investments Risk assessment. Futures market. Investissements Évaluation du risque. Marchés à terme. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2021-50. (CaOODSP)9.806221 PDF 721 KB https://publications.gc.ca/collections/collection_2021/banque-bank-canada/FB3-5-2021-50-eng.pdf