How dark is the dark side of diversification?

IF 5.7 Q1 BUSINESS, FINANCE Journal of Risk Finance Pub Date : 2020-12-22 DOI:10.1108/JRF-07-2020-0161
Pedro E. Cadenas, H. Gzyl, Hyunu Park
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引用次数: 5

Abstract

This paper aims to illustrate, within the context of a well-known linear diversification model, that risk management as exerted by banks and regulators ultimately depends on how risk is assessed and conceptualized. The two risk metrics used are the probability of bank failure and value at risk (VaR). The paper also extends the results of the model by incorporating an explicit analysis of correlation of the bank's portfolios.,The paper is based on a well-known model of linear diversification of two banking institutions developed by Wagner (2010) in the Journal of Financial Intermediation. The authors added considerations that were unexplored by Wagner and derived the corresponding logical and practical implications.,The authors found that depending on which of the two risk metrics being used, the way diversification is perceived and risk is managed may differ. This situation may very well end-up generating different incentives for banks and regulators. The authors suggest a general rationale for considering how to think about the apparent dilemma and the challenges faced by regulators. The authors also offer an explicit analysis of correlation for the bank's portfolios.,The results are dependent on the particular aspects of the model, so the research results may lack generality in other contexts.,Despite the limitations already mentioned, the paper illustrates some relevant points within the open debate about risk measurement and diversification.,This paper contributes to the open discussion of diversification, risk perception and systemic crisis.
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多元化的黑暗面有多暗?
本文旨在说明,在一个众所周知的线性多样化模型的背景下,银行和监管机构所施加的风险管理最终取决于如何评估和概念化风险。使用的两个风险度量是银行倒闭的概率和风险价值(VaR)。本文还通过纳入对银行投资组合相关性的明确分析,扩展了模型的结果。本文基于Wagner(2010)在《金融中介杂志》(Journal of Financial Intermediation)上提出的两家银行机构线性多元化的著名模型。作者补充了瓦格纳未探索的考虑因素,并推导出相应的逻辑和实际含义。作者发现,根据所使用的两种风险指标中的哪一种,多样化的感知和风险管理方式可能会有所不同。这种情况很可能最终会给银行和监管机构带来不同的激励。两位作者提出了一个考虑如何看待监管机构面临的明显困境和挑战的基本原理。作者还提供了对银行投资组合相关性的明确分析。结果依赖于模型的特定方面,因此研究结果在其他情况下可能缺乏通用性。尽管已经提到了局限性,但本文还是阐述了关于风险度量和分散的公开辩论中的一些相关观点。本文对多元化、风险认知和系统性危机的开放讨论做出了贡献。
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来源期刊
Journal of Risk Finance
Journal of Risk Finance BUSINESS, FINANCE-
CiteScore
6.20
自引率
6.70%
发文量
37
期刊介绍: The Journal of Risk Finance provides a rigorous forum for the publication of high quality peer-reviewed theoretical and empirical research articles, by both academic and industry experts, related to financial risks and risk management. Articles, including review articles, empirical and conceptual, which display thoughtful, accurate research and be rigorous in all regards, are most welcome on the following topics: -Securitization; derivatives and structured financial products -Financial risk management -Regulation of risk management -Risk and corporate governance -Liability management -Systemic risk -Cryptocurrency and risk management -Credit arbitrage methods -Corporate social responsibility and risk management -Enterprise risk management -FinTech and risk -Insurtech -Regtech -Blockchain and risk -Climate change and risk
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