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PSL Quarterly Review
Risk diversification is one of the many reasons for cross-sector mergers of financialinstitutes. This paper presents a fair-value type asset and liability model in order to identify diversification effects for financial conglomerates (PCs) under various shocks. My analysis for the Netherlands reveals that diversification effects on PCs of especially interest rate shocks are very strong. In principle, substantial diversificationeffects argue for lower capital requirements for PCs. However, theredoaj:99d13eb85db042aab1596a2feb58b79c fatcat:hie356yah5hxzlftamzmogacoa