de Vries, C., Slijkerman, J. and Schoenmaker, D. (2013). Systemic Risk and Diversification across European Banks and Insurers Journal of Banking and Finance, 37(3):773--785.
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Affiliated authorCasper de Vries
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Publication year2013
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JournalJournal of Banking and Finance
Abstract: 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