Systemic Risk in the Dutch Financial Sector

被引：0
|
作者：
K. Minderhoud
机构：
来源：
De Economist | 2006年 / 154卷
关键词：
extreme returns; financial institutions; systemic risk; C15; G20;
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暂无
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学科分类号：
摘要：
This paper investigates systemic risk in the Dutch financial sector by focusing on extreme return co-movements of the major financial institutions. In particular, we use a Monte Carlo simulation experiment conditioned on both a fat and a thin tailed underlying return distribution to test the potential for systemic risk. We find evidence of a strong potential for systemic risk, which has emerged after the major mergers in the end of the 1980s and early 1990s.
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页码：177 / 195
页数：18
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