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Individual, Systematic and Systemic Risks in the Danish Banking Sector


  • Johannes K. Dreyer

    () (Roskilde University, Roskilde, Denmark)

  • Peter A. Schmid

    (FOM Hochschule für Oekonomie & Management, Essen, Germany)

  • Victoria Zugrav

    (Roskilde University, Roskilde, Denmark)


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.

Suggested Citation

  • Johannes K. Dreyer & Peter A. Schmid & Victoria Zugrav, 2018. "Individual, Systematic and Systemic Risks in the Danish Banking Sector," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(4), pages 320-350, September.
  • Handle: RePEc:fau:fauart:v:68:y:2018:i:4:p:320-350

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    References listed on IDEAS

    1. Blau, Benjamin M. & Brough, Tyler J. & Thomas, Diana W., 2013. "Corporate lobbying, political connections, and the bailout of banks," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3007-3017.
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    8. Ariel M. Viale & Jeff Madura, 2014. "Learning Banks' Exposure To Systematic Risk: Evidence From The Financial Crisis Of 2008," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 37(1), pages 75-98, February.
    9. Cuestas, Juan Carlos & Lucotte, Yannick & Reigl, Nicolas, 2017. "Banking sector concentration, competition and financial stability: the case of the Baltic countries," Bank of Estonia Working Papers wp2017-7, Bank of Estonia, revised 11 Sep 2017.
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    12. Johannes Kabderian Dreyer & Peter Alfons Schmid, 2015. "Fiscal federalism in monetary unions: hypothetical fiscal transfers within the Euro-zone," International Review of Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 506-532, July.
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    More about this item


    individual risk; systematic risk; systemic risk; bank size; financial regulation;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation


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