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Developments in Modelling Risk Aggregation
Year Of Publication: 2009
Month Of Publication: December
Pages: 32
Download Count: 8
View Count: 1409
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 12-3-2010
Publisher: Administrator
Summary
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.
Author(s)
de Vries, Casper G. Sign in to follow this author
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