Template-type: ReDif-Paper 1.0
Author-Name: Bos, J.W.B.
Author-workplace-name: Finance
Author-Name: Lamers, M.
Author-workplace-name: ICIS
Author-Name: Purice, V.
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.
Series: GSBE Research Memoranda
Creation-Date: 20140101
Number: 014
File-URL: https://cris.maastrichtuniversity.nl/ws/files/1550963/guid-40e607a6-cb1c-4d0f-969f-abbd4f1b0c96-ASSET1.0.pdf
File-Format: application/pdf
File-Size: 2935363
Handle: Repec:unm:umagsb:2014014
DOI: 10.26481/umagsb.2014014