Individual and systematic risk in the Danish banking sector: A trade-off?

Victoria Zugrav; Johannes Kabderian Dreyer; Peter A.  Schmid

Individual and systematic risk in the Danish banking sector: A trade-off?

Victoria Zugrav, Johannes Kabderian Dreyer, Peter A. Schmid

Institut for Samfundsvidenskab og Erhverv

Publikation: Konferencebidrag › Konferenceabstrakt til konference › Forskning › peer review

Abstract

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.

Originalsprog	Engelsk
Publikationsdato	2017
Status	Udgivet - 2017
Begivenhed	16th International Conference on Finance and Banking: Rethinking Risk in Financial Markets and Institutions - Hotel Mercure, Ostrava, Tjekkiet Varighed: 11 okt. 2017 → 12 okt. 2017 Konferencens nummer: 16 http://www.icfb.cz/

Konference

Konference	16th International Conference on Finance and Banking
Nummer	16
Lokation	Hotel Mercure
Land/Område	Tjekkiet
By	Ostrava
Periode	11/10/2017 → 12/10/2017
Internetadresse	http://www.icfb.cz/

Citer dette

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title = "Individual and systematic risk in the Danish banking sector: A trade-off?",

abstract = "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.",

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T1 - Individual and systematic risk in the Danish banking sector

T2 - 16th International Conference on Finance and Banking

AU - Zugrav, Victoria

AU - Dreyer, Johannes Kabderian

AU - Schmid, Peter A.

N1 - Conference code: 16

PY - 2017

Y1 - 2017

N2 - 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.

AB - 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.

M3 - Conference abstract for conference

Y2 - 11 October 2017 through 12 October 2017

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