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 |
|
|---|---|
| Title | Systemic risk and portfolio diversification : evidence from the futures market / by Radoslav Raykov. |
| Series title |
|
| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
| Electronic document | |
| Note(s) |
|
| Publishing information |
|
| Author / Contributor |
|
| Description | 1 online resource (ii, 37 pages) : charts. |
| Catalogue number |
|
| Subject terms |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.Page details
- Date modified: