Resumé
| Originalsprog | Engelsk |
|---|---|
| Tidsskrift | Finance a Uver |
| Vol/bind | 68 |
| Udgave nummer | 4 |
| Sider (fra-til) | 320-350 |
| Antal sider | 31 |
| ISSN | 0015-1920 |
| Status | Udgivet - 2018 |
Citer dette
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Individual, Systematic and Systemic Risks in the Danish Banking Sector. / Dreyer, Johannes Kabderian; Schmid, Peter A. ; Zugrav, Victoria.
I: Finance a Uver, Bind 68, Nr. 4, 2018, s. 320-350.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
TY - JOUR
T1 - Individual, Systematic and Systemic Risks in the Danish Banking Sector
AU - Dreyer, Johannes Kabderian
AU - Schmid, Peter A.
AU - Zugrav, Victoria
PY - 2018
Y1 - 2018
N2 - This article discusses the relationship between micro-prudential variables and bank risk. For this purpose, we collect panel data on 21 Danish banks accounting for 88% of total market share in Denmark from 2000 to 2015 and reflect upon the contribution of these different variables to bank individual, systematic and systemic risks. Our results suggest that the factors size, capitalization, funding structure, organizational complexity and degree of market-based activities are key risk determinants. Moreover, we find evidence that the Danish case is relatively peculiar with respect to the effects of bank size and of degree of market-based activities: Bank size contributes positively to systematic and systemic risks, but not to individual risk. Degree of market-based activities contributes to counteract individual risk, but on the other hand intensifies systematic and systemic risks. The Danish case could be taken as an example for other small economies with a highly concentrated banking sector.
AB - This article discusses the relationship between micro-prudential variables and bank risk. For this purpose, we collect panel data on 21 Danish banks accounting for 88% of total market share in Denmark from 2000 to 2015 and reflect upon the contribution of these different variables to bank individual, systematic and systemic risks. Our results suggest that the factors size, capitalization, funding structure, organizational complexity and degree of market-based activities are key risk determinants. Moreover, we find evidence that the Danish case is relatively peculiar with respect to the effects of bank size and of degree of market-based activities: Bank size contributes positively to systematic and systemic risks, but not to individual risk. Degree of market-based activities contributes to counteract individual risk, but on the other hand intensifies systematic and systemic risks. The Danish case could be taken as an example for other small economies with a highly concentrated banking sector.
KW - individual risk
KW - systematic risk
KW - systemic risk
KW - bank size
KW - financial regulation
M3 - Journal article
VL - 68
SP - 320
EP - 350
JO - Finance a Uver
JF - Finance a Uver
SN - 0015-1920
IS - 4
ER -