کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088815 | 1478329 | 2014 | 72 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Diversification and systemic risk
ترجمه فارسی عنوان
تنوع و ریسک سیستماتیک
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Portfolio diversification makes investors individually safer but creates connections between them through common asset holdings. Such connections create “endogenous covariances” between assets and investors, and enhance systemic risk by propagating shocks swiftly through the system. We provide a theoretical model in which shocks spread through constrained selling from N diversified portfolio investors in a network of asset holdings with home bias, and study the desirability of diversification by comparing the multivariate distribution of implied losses for every level of diversification. There may be a region on the parameter set for which the propagation effect dominates the individually safer one. We derive analytically the general element of the covariance between two assets i and j. We find agents may minimize their exposure to endogenous risk by spreading their wealth across more and more distant assets. The resulting network enhances systemic stability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 46, September 2014, Pages 85-106
Journal: Journal of Banking & Finance - Volume 46, September 2014, Pages 85-106
نویسندگان
Louis Raffestin,