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Autor:innen: 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Bank of Canada Staff Working Paper No. 2021-50
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
This paper explores the extent to which correlated investments in the futures market concentrated systemic risk on large Canadian banks around the 2008 crisis. We find that core banks took positions against the periphery, increasing their systemic risk as a group. On the portfolio level, position similarity was the main systemic risk driver for core banks, while crossprice correlations drove the systemic risk of noncore banks. Core banks were more diversified, but their portfolios also overlapped more. By contrast, non-core banks were less diversified, but also overlapped less. This significantly nuances the debate on concentration versus diversification as systemic risk sources.
Schlagwörter: 
Financial markets
Financial institutions
JEL: 
G10
G20
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