Diversification at Financial Institutions and Systemic Crises

By Wolf Wagner. 2010

578 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/875f90698f5f1e74535c789c41dbc9af3320fa30

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Citations in the corpus

The Impact of Off-Balance-Sheet Activities on Banks Returns: An Application of the ARCH-M to Canadian Data (2010, background): “This risk-return worsening is also partly 3 See also Wagner 2006, Wagner 2009, Coval 2009a, and Coval 2009b. Note, however, that these authors do not necessarily refer to the correlation of the share of noninterest income with aggregate shocks (both macroeconomic and financial) but rather to bank…”
Cross-Border Banking in Europe: Implications for Financial Stability and Macroeconomic Policies (2011, background): “This can increase the risk of systemic failures even though individual bank failures become less likely due to diversification benefits (see Kahn and Santos, 2010, Allen, Babus and Carletti, 2010, Wagner, 2010a).”
ESBies: Safety in the Tranches (2017, unknown): “In the spirit of Wagner (2010), full diversification (without tranching) by individual institutions can facilitate contagion across countries.”
Systemic Risk in Financial Networks: A Survey (2020, unknown): “For example, Wagner (2010) considers two banks and two assets, and makes the observation that if both banks fully diversify their portfolios by equally dividing it between the two assets, their portfolios end up being perfectly correlated.”
Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012, unknown): “We assume banks’ equity levels (and thus the levels of financial robustness) are subject to idiosyncratic shocks, along the lines of previous works (Allen and Gale, 2001; Allen and Babus, 2009; Allen et al., 2011; Wagner, 2010; Castiglionesi and Navarro, 2010).”
Incentives to Innovate and Financial Crises (2012, unknown): “See Wagner (2010).”
Financial Connections and Systemic Risk (2010, background): “If, as in several other papers, such as Wagner (2010) and Ibragimov, Jaffee and Walden (2010), we were to assume that they were increasing in the number of defaults, the clustered network would be less attractive but our qualitative results would be similar.”
Syndication, Interconnectedness, and Systemic Risk (2018, unknown): “…that interconnectedness can increase systemic risk through various forms of financial contagion, because of common exposures in times of crises (Allen et al., 2009; Castiglionesi and Navarro, 2010; Ibragimov et al., 2011; Wagner, 2010).3 The first channel relies on direct linkages between banks.”
Asset commonality, debt maturity and systemic risk. (2012, unknown): “If, as in several other papers, such as Wagner (2010) and Ibragimov, Jaffee and Walden (2010), we were to assume that they were increasing in the number of defaults, the clustered structure would be less attractive but our qualitative results would be similar.”
Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “As pointed out by Wagner (2010), there is a trade-off between ensuring that all banks have the same prudent behavior, and encouraging heterogeneity in risk-taking.”
Financial Networks and Contagion (2014, methodology): “Data on the cross-holdings are for the end of December 2011 from the BIS (Bank for International Settlements) Quarterly Review (Table 9B). The data used for this exercise are the consolidated foreign claims of banks from one country on debt obligations of another (58)See Upper (2011) for a nice revi”
Banks’ Noninterest Income and Systemic Risk (2020, background): “Wagner (2010) suggests that systemic risk can be higher when one bank’s premature liquidating of assets increases the failure probability of another bank.”
Is There a Competition-Stability Trade-Off in European Banking? (2017, unknown): “This can also simply be the result of reduction in portfolio risks by complete diversification, which induces less diversity in the system and more correlated institutions (Wagner, 2010).”
Some Borrowers Are More Equal than Others: Bank Funding Shocks and Credit Reallocation* (2019, unknown): “…results emphasize that not only systemic risk and financial stability issues should be taken into account when studying the welfare implications of bank portfolio diversification (e.g., Acharya, 2009; Wagner, 2010), but that it could also be relevant to consider the impact on firm credit supply.”