Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model

Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model

Risk diversification is one of the many reasons for cross-sector mergers of financialinstitutes. This paper presents a fair-value type asset and liability model in order to identify diversification effects for financial conglomerates (PCs) under various shocks. My analysis for the Netherlands reveal...

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Bibliographic Details
Main Author: Jacob A. Bikker
Format: Article
Language:English
Published: Associazione Economia civile 2002-12-01
Series:PSL Quarterly Review
Subjects:
merger
Online Access:http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9915/9797
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spelling doaj-99d13eb85db042aab1596a2feb58b79c2020-11-24T22:41:24ZengAssociazione Economia civilePSL Quarterly Review2037-36352037-36432002-12-0155223363389Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities modelJacob A. BikkerRisk diversification is one of the many reasons for cross-sector mergers of financialinstitutes. This paper presents a fair-value type asset and liability model in order to identify diversification effects for financial conglomerates (PCs) under various shocks. My analysis for the Netherlands reveals that diversification effects on PCs of especially interest rate shocks are very strong. In principle, substantial diversificationeffects argue for lower capital requirements for PCs. However, there are other non-negligible risks run by PCs to consider, namely contagion risk, regulatory arbitrage andcross-sector and TBTF moral hazard risks, which have not yet been quantified. http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9915/9797merger
collection DOAJ
language English
format Article
sources DOAJ
author Jacob A. Bikker
spellingShingle Jacob A. Bikker
Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model
PSL Quarterly Review
merger
author_facet Jacob A. Bikker
author_sort Jacob A. Bikker
title Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model
title_short Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model
title_full Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model
title_fullStr Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model
title_full_unstemmed Cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model
title_sort cross-sector diversification in financial conglomerates: simulations with a fair-value assets and liabilities model
publisher Associazione Economia civile
series PSL Quarterly Review
issn 2037-3635
2037-3643
publishDate 2002-12-01
description Risk diversification is one of the many reasons for cross-sector mergers of financialinstitutes. This paper presents a fair-value type asset and liability model in order to identify diversification effects for financial conglomerates (PCs) under various shocks. My analysis for the Netherlands reveals that diversification effects on PCs of especially interest rate shocks are very strong. In principle, substantial diversificationeffects argue for lower capital requirements for PCs. However, there are other non-negligible risks run by PCs to consider, namely contagion risk, regulatory arbitrage andcross-sector and TBTF moral hazard risks, which have not yet been quantified.
topic merger
url http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9915/9797
work_keys_str_mv AT jacobabikker crosssectordiversificationinfinancialconglomeratessimulationswithafairvalueassetsandliabilitiesmodel
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