Individual, Systematic and Systemic Risks in the Danish Banking Sector

Johannes Kabderian Dreyer, Peter A. Schmid, Victoria Zugrav

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Resumé

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.
OriginalsprogEngelsk
TidsskriftFinance a Uver
Vol/bind68
Udgave nummer4
Sider (fra-til)320-350
Antal sider31
ISSN0015-1920
StatusUdgivet - 2018

Citer dette

Dreyer, Johannes Kabderian ; Schmid, Peter A. ; Zugrav, Victoria. / Individual, Systematic and Systemic Risks in the Danish Banking Sector. I: Finance a Uver. 2018 ; Bind 68, Nr. 4. s. 320-350.
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Dreyer, JK, Schmid, PA & Zugrav, V 2018, 'Individual, Systematic and Systemic Risks in the Danish Banking Sector', Finance a Uver, bind 68, nr. 4, s. 320-350.

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 tidsskriftTidsskriftartikelForskningpeer review

TY - JOUR

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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.

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KW - systematic risk

KW - systemic risk

KW - bank size

KW - financial regulation

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JO - Finance a Uver

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