Systemic Risk and Financial Consolidation : Are they Related? /
We argue that firm interdependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We find a positive trend in stock return correlations net of diversification effects for a sample of U.S. Large and Complex Banking Organizations over 1988-99. This fi...
| Hoofdauteur: | |
|---|---|
| Andere auteurs: | |
| Formaat: | Tijdschrift |
| Taal: | English |
| Gepubliceerd in: |
Washington, D.C. :
International Monetary Fund,
2002.
|
| Reeks: | IMF Working Papers; Working Paper ;
No. 2002/055 |
| Online toegang: | Full text available on IMF |