Template-type: ReDif-Paper 1.0
Author-Name: Bos J.W.B. 
Author-Name: Lamers M.A.J. 
Author-Name: Purice V. 
Author-workplace-name: GSBE
Title: Carrying the (paper) burden: A portfolio view of systemic risk and optimal bank size
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: Optimization Techniques; Programming Models; Dynamic Analysis; Financial Markets and the Macroeconomy; Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy; Banks; Depository Institutions; Micro Finance Institutions; Mortgages; 
Classification-JEL: C61; E44; E63; G21; .
Series:  Research Memorandum
Creation-Date: 2014
Number: 014
File-URL: http://pub.maastrichtuniversity.nl/40e607a6-cb1c-4d0f-969f-abbd4f1b0c96
File-Format: application/pdf
File-Size: 2936325
Handle: RePEc:unm:umagsb:2014014