多元化的黑暗面有多黑暗？
How dark is the dark side of diversification?
摘要：
人们普遍认为，银行机构的多元化有助于金融体系的稳定，但Wagner（2010）发现，多元化实际上使系统性危机更有可能发生。瓦格纳认为，分散化投资组合的联合违约概率更大，这是事实;但我们认为，作为一种常见的做法，分散化的影响是用风险价值（VaR）这样的风险度量来检验的。我们发现，当银行使用风险值，多元化确实降低了个人和系统性风险。这反过来又为银行和监管机构带来了一套不同的激励机制。
英文摘要：
Against the widely held belief that diversification at banking institutions contributes to the stability of the financial system, Wagner (2010) found that diversification actually makes systemic crisis more likely. While it is true, as Wagner asserts, that the probability of joint default of the diversified portfolios is larger; we contend that, as common practice, the effect of diversification is examined with respect to a risk measure like VaR. We find that when banks use VaR, diversification does reduce individual and systemic risk. This, in turn, generates a different set of incentives for banks and regulators.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
