000	00000nam 2200000zi 4500
001	9.904072
003	CaOODSP
005	20221107180436
006	m     o  d f
007	cr |n|||||||||
008	211013t20212021oncd    ob   f|0| 0 eng d
040	|aCaOODSP|beng|erda|cCaOODSP
043	|an-cn---
086	1 |aFB3-5/2021-50E-PDF
100	1 |aRaykov, Radoslav S., |eauthor.
245	10|aSystemic risk and portfolio diversification : |bevidence from the futures market / |cby Radoslav Raykov.
264	1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2021.
264	4|c©2021
300	|a1 online resource (ii, 37 pages) : |bcharts.
336	|atext|btxt|2rdacontent
337	|acomputer|bc|2rdamedia
338	|aonline resource|bcr|2rdacarrier
490	1 |aStaff working paper = |aDocument de travail du personnel, |x1701-9397 ; |v2021-50
500	|a"Last updated: October 13, 2021."
504	|aIncludes bibliographical references (pages 34-37).
520	|a"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.
650	0|aInvestments|xRisk assessment.
650	0|aFutures market.
650	6|aInvestissements|xÉvaluation du risque.
650	6|aMarchés à terme.
710	2 |aBank of Canada, |eissuing body.
830	#0|aStaff working paper (Bank of Canada)|v2021-50.|w(CaOODSP)9.806221
856	40|qPDF|s721 KB|uhttps://publications.gc.ca/collections/collection_2021/banque-bank-canada/FB3-5-2021-50-eng.pdf