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Carrying the (paper) burden: a portfolio view of systemic risk and optimal bank size

Jaap WB Bos, Martien Lamers UGent and Victoria Purice UGent (2014) Working Paper Series Faculteit Economie en Bedrijfskunde. 2014/882.
abstract
We examine the relationship between bank size and financial stability by viewing the supervisor of a banking system as an 'investor' holding a portfolio of banks. Based on this view, we investigate the role of large banks in determining the systemic risk in this portfolio. Our results, based on book data of U.S. banks and Bank Holding Companies, indicate that the largest banks are consistently overrepresented in the current portfolio compared with the minimum variance portfolio. Moreover, the risk level of the portfolio can be reduced by limiting concentration without sacrificing returns.
Please use this url to cite or link to this publication:
author
organization
year
type
misc (report)
publication status
published
subject
keyword
U.S. banking, Systemic risk, Modern Portfolio Theory
in
Working Paper Series Faculteit Economie en Bedrijfskunde
volume
2014/882
publisher
Faculteit Economie en Bedrijfskunde, UGent
language
English
UGent publication?
yes
classification
V
copyright statement
I have retained and own the full copyright for this publication
id
4390343
handle
http://hdl.handle.net/1854/LU-4390343
date created
2014-05-22 09:12:51
date last changed
2016-12-19 15:47:51
@misc{4390343,
  abstract     = {We examine the relationship between bank size and financial stability by viewing the supervisor of a banking system as an 'investor' holding a portfolio of banks. Based on this view, we investigate the role of large banks in determining the systemic risk in this portfolio. Our results, based on book data of U.S. banks and Bank Holding Companies, indicate that the largest banks are consistently overrepresented in the current portfolio compared with the minimum variance portfolio. Moreover, the risk level of the portfolio can be reduced by limiting concentration without sacrificing returns.},
  author       = {Bos, Jaap WB and Lamers, Martien and Purice, Victoria},
  keyword      = {U.S. banking,Systemic risk,Modern Portfolio Theory},
  language     = {eng},
  publisher    = {Faculteit Economie en Bedrijfskunde, UGent},
  series       = {Working Paper Series Faculteit Economie en Bedrijfskunde},
  title        = {Carrying the (paper) burden: a portfolio view of systemic risk and optimal bank size},
  volume       = {2014/882},
  year         = {2014},
}

Chicago
Bos, Jaap WB, Martien Lamers, and Victoria Purice. 2014. “Carrying the (paper) Burden: a Portfolio View of Systemic Risk and Optimal Bank Size.” Working Paper Series Faculteit Economie En Bedrijfskunde. Faculteit Economie en Bedrijfskunde, UGent.
APA
Bos, J. W., Lamers, M., & Purice, V. (2014). Carrying the (paper) burden: a portfolio view of systemic risk and optimal bank size. Working Paper Series Faculteit Economie en Bedrijfskunde. Faculteit Economie en Bedrijfskunde, UGent.
Vancouver
1.
Bos JW, Lamers M, Purice V. Carrying the (paper) burden: a portfolio view of systemic risk and optimal bank size. Working Paper Series Faculteit Economie en Bedrijfskunde. Faculteit Economie en Bedrijfskunde, UGent; 2014.
MLA
Bos, Jaap WB, Martien Lamers, and Victoria Purice. “Carrying the (paper) Burden: a Portfolio View of Systemic Risk and Optimal Bank Size.” Working Paper Series Faculteit Economie en Bedrijfskunde 2014 : n. pag. Print.