Systemic risk of portfolio diversification

DOI10.1016/J.ECONLET.2021.110091zbMATH Open1471.91611OpenAlexW3198946702MaRDI QIDQ2236296FDOQ2236296

Authors: Kohei Maehashi 

Publication date: 22 October 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110091

Recommendations

• Systemic risk-driven portfolio selection
• Diversification and systemic risk in the banking system
• Portfolio diversification and systemic risk in interbank networks
• Diversification of aggregate dependent risks
• COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?
• Systemic risk in financial systems
• Insights to systematic risk and diversification across a joint probability distribution
• Dependence structure of risk factors and diversification effects
• Note—Naive Diversification and Portfolio Risk—A Note
• Risks of large portfolios

zbMATH Keywords

systemic riskstress testbipartite networknetwork reconstruction

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Filling in the blanks: network structure and interbank contagion
• Analytical maximum-likelihood method to detect patterns in real networks
• Reconstructing and stress testing credit networks

Cited In (6)

• Diversification and systemic risk in the banking system
• Systemic risk of optioned portfolio: controllability and optimization
• COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?
• Systemic Portfolio Diversification
• Risk amplification effect of multilayer financial networks: feedback mechanism or cyclic structure?
• When does portfolio compression reduce systemic risk?

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