Similar Search Results

Investment risk taking by institutional investors

Gorter, Janko; Bikker, Jacob A. - de Nederlandsche Bank - 2011

This paper is the first that formally compares investment risk taking by pension funds and insurance firms. Using a … take substantially less investment risk than pension funds, even though a market risk capital charge for insurers is yet …, reinsurance, underwriting risk and human and financial wealth per pension plan participant. Finally, and in line with the …

Persistent link: https://www.econbiz.de/10009018570

Momentum or Contrarian Investment Strategies:Evidence from Dutch institutional investors

Haan, Leo de; Kakes, Jan - de Nederlandsche Bank - 2010

This paper analyses investment strategies of three types of institutional investors pension funds, life insurers and … investor types tend to be contrarian traders, i.e. they buy past losers and sell past winners. Especially pension funds showed …

Persistent link: https://www.econbiz.de/10008518884

Extreme Stock Return Co-movements of Financial Institutions: Contagion or Interdependence?

Minderhoud, Koen - de Nederlandsche Bank - 2003

This paper investigates contagion of major financial institutions by focusing on extreme stock return co-movements. Our measure of contagion within banking and insurance sectors is the number of coincidences of daily extreme returns that cannot be explained by a linear propagation model of...

Persistent link: https://www.econbiz.de/10005101914

Systemic Risk in the Dutch Financial Sector

Minderhoud, Koen - de Nederlandsche Bank - 2003

This paper investigates systemic risk in the Dutch financial sector by focusing on extreme returns of the major financial institutions. Our measure of systemic risk is the number of coincidences of extreme returns that cannot be explained by a linear model of constant correlation. By using a...

Persistent link: https://www.econbiz.de/10005106754

Modelling Scenario Analysis and Macro Stress-testing

End, Jan Willem van den; Hoeberichts, Marco; Tabbae, Mostafa - de Nederlandsche Bank - 2006

Macro stress-testing has become an important tool to assess financial stability. This paper describes a tool kit for scenario analysis and macro stress-testing. It is based on a model which maps multivariate scenarios to banks' credit and interest rate risks by deterministic and stochastic...

Persistent link: https://www.econbiz.de/10005101857

Systemic risk and bank business models

Oordt, Maarten van; Zhou, Chen - de Nederlandsche Bank - 2014

In this study we disentangle two dimensions of banks' systemic risk: the level of bank tail risk and the linkage between a bank's tail risk and severe shocks in the financial system. We employ a measure of the systemic risk of financial institutions that can be decomposed into two subcomponents...

Persistent link: https://www.econbiz.de/10010945596

New Architectures in the Regulation and Supervision of Financial Markets and Institutions: The Netherlands

Prast, Henriëtte; Lelyveld, Iman van - de Nederlandsche Bank - 2004

In recent years, several European Union member states have modified the institutional design offinancial supervision. These reforms pose the question which considerations have led to the different models chosen in these countries. We analyse the considerations in the Netherlands leading to the...

Persistent link: https://www.econbiz.de/10005101800

Risk in Financial Conglomerates: Management and Supervision

Lelyveld, Iman van; Schilder, Arnold - de Nederlandsche Bank - 2002

Financial conglomerates, combining banking, securities trading, and insurance, have become an important part of the financial landscape in many countries. Cross-sector consolidation has been fostered by trends such as disintermediation, globalization, and deregulation creating new challenges for...

Persistent link: https://www.econbiz.de/10005021889

Do financial conglomerates create or destroy value? Evidence for the EU

Lelyveld, Iman van; Knot, Klaas - de Nederlandsche Bank - 2008

There is an ongoing debate whether firm focus creates or destroys shareholder value. Earlierliterature has shown significant diversification discounts: firms that engage in multiple activitiesare valued less. Various factors are important in the size of the discount, for example...

Persistent link: https://www.econbiz.de/10005106654

Insurance companies' trading behaviour during the European Sovereign debt crisis: Flight home or flight to quality?

Bijlsma, Melle; Vermeulen, Robert - de Nederlandsche Bank - 2015

This paper empirically investigates if insurers exhibited a flight home or flight to quality during the European sovereign debt crisis and other stages of the financial crisis. Our dataset consists of over sixty insurance companies, for which we separately observe trading behaviour and portfolio...

Persistent link: https://www.econbiz.de/10011212825

1
2
3
4
5
6
7
8
Next
Last