Systemic risk of portfolio diversification

DOI10.1016/J.ECONLET.2021.110091MaRDI QIDQ2236296zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

systemic riskstress testbipartite networknetwork reconstruction

Mathematics Subject Classification ID

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

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

Cites work

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