Individual and systematic risk in the Danish banking sector

A trade-off?

Victoria Zugrav, Johannes Kabderian Dreyer, Peter A. Schmid

Publikation: KonferencebidragKonferenceabstrakt til konferenceForskningpeer review

Abstrakt

This article discusses the relationship between bank risk and the overall stability of the financial system in the aftermath of the last global financial crisis of 2007. In order to measure the effects of different bank characteristics to individual and systematic risk, we collect panel data for the Danish banking sector from 2000 to 2015. Using financial data on 21 Danish banks accounting for 88% of total market share in Denmark, we reflect upon the contribution of these different variables to systematic risk. Our results suggest that variables such as size, leverage, noninterest income, tier 1 capital ratio, depository funding and organizational complexity are key variables on determining financial risk. However, particularly for the Danish case, bank size has different effects on individual and systematic risk: a negative effect on the former and a positive on the latter variables.
OriginalsprogEngelsk
Publikationsdato2017
StatusUdgivet - 2017
Begivenhed16th International Conference on Finance and Banking: Rethinking Risk in Financial Markets and Institutions - Hotel Mercure, Ostrava, Tjekkiet
Varighed: 11 okt. 201712 okt. 2017
Konferencens nummer: 16
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Konference

Konference16th International Conference on Finance and Banking
Nummer16
LokationHotel Mercure
LandTjekkiet
ByOstrava
Periode11/10/201712/10/2017
Internetadresse

Citer dette

Zugrav, V., Dreyer, J. K., & Schmid, P. A. (2017). Individual and systematic risk in the Danish banking sector: A trade-off?. Abstract fra 16th International Conference on Finance and Banking, Ostrava, Tjekkiet.