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

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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.
Keywords
U.S. banking, Systemic risk, Modern Portfolio Theory

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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.
@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},
}