Systemic risk and portfolio diversification : evidence from the futures market / by Radoslav Raykov.: FB3-5/2021-50E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.904072&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Systemic risk and portfolio diversification : evidence from the futures market / by Radoslav Raykov. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-50 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "Last updated: October 13, 2021." Includes bibliographical references (pages 34-37). |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 |
| Author / Contributor | Raykov, Radoslav S., author. |
| Description | 1 online resource (ii, 37 pages) : charts. |
| Catalogue number |
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| Subject terms | Investments -- Risk assessment. Futures market. Investissements -- Évaluation du risque. Marchés à terme. |
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