Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

systemic risk sign in to follow this
interdepence sign in to follow this
crisis period sign in to follow this
insurance companies sign in to follow this
banks sign in to follow this

VaR Methods sign in to follow this
--Systemic Risk sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Developments in Modelling Risk Aggregation
Year Of Publication: 2009
Month Of Publication: December
Pages: 32
Download Count: 8
View Count: 1527
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 12-3-2010
Publisher: Administrator
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
de Vries, Casper G. Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile