论文标题
多样化的黑暗面有多黑？
How dark is the dark side of diversification?
论文作者
论文摘要
瓦格纳（Wagner，2010年）普遍认为，银行机构的多元化有助于金融体系的稳定性，发现多元化实际上使系统危机更有可能。正如瓦格纳所断言，虽然是事实，但多元化投资组合的联合默认值的可能性更大。我们认为，作为常见的实践，对诸如VAR这样的风险度量进行了研究。我们发现，当银行使用VAR时，多元化确实会降低个人和系统性风险。反过来，这为银行和监管机构产生了不同的激励措施。
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.
