A1347
Title: Common asset holdings and systemic vulnerability across multiple types of financial institution
Authors: Paolo Barucca - University College London (United Kingdom) [presenting]
Laura Silvestri - Bank of England (United Kingdom)
Tahir Mahmood - Bank of England (United Kingdom)
Abstract: One way systemic risk can crystallise is through fire sales of commonly held assets. Fire sale vulnerabilities across different types of financial institutions, including non-banks, are examined. We undertake an in-depth empirical analysis of the interconnections between European open-ended investment funds and the UK regulated banks and insurance companies through their common asset holdings. The aim is first to combine regulatory holding-level asset data for banks and insurers with private data for open-ended investment funds. Our results show the existence of a significant overlap between the equity and debt portfolios of different types of financial institutions. We characterise financial institutions of different types in terms of their concentration profile, portfolio similarity and vulnerability to fire sales, providing evidence for the existence of a price-mediated channel of contagion between banks, insurance companies and investments funds.
