Mean Variance Optimization of Non-Linear Systems and Worst-case Analysis



Table 1: Bank concentration ratios in industrial countries, 1980-1998

1980

1990

1998

Change
1980-1990

Change
1990-1998

Europe

Belgium

53.4

48.0

66.7

-5.4

18.7

France

n.a.

51.9

70.2

n.a.

18.3

Germany

n.a.

17.1

18.8

n.a.

1.7

Italy

n.a.

(25.9)

38.3

n.a.

12.4

Netherlands

n.a.

73.7

81.7

n.a.

8.0

Spain

38.1

38.3

(47.2)

0.2

8.9

Sweden

n.a.

62.0

84.0

n.a.

22.0

Switzerland

n.a.

53.2

(57.8)

n.a.

4.6

United Kingdom

n.a.

43.5

35.2

n.a.

-8.3

North America

Canada

n.a.

60.2

77.7

n.a.

17.5

United States

14.2

11.3

26.2

-2.9

14.0

Pacific Rim

Australia

76.5

72.1

73.9

-4.4

1.8

Japan

28.5

31.8

30.9

3.3

-0.9

Notes: Concentration ratios are defined as the share of the five largest banks in total
bank deposits (in %). Values in parentheses are for 1992 (Italy) or 1997 (Spain,
Switzerland). Changes are in percentage points (Spain and Switzerland 1990-1997,
Italy 1992-1998). n.a.=not available.
Source: Group of Ten, 2001

Table 2: Effects of a merger on loan rates and expected aggregate liquidity needs

2po low

'f. high

eɪɪ- high

I

Ω ↑
rL

III

Ω ↑
rL

c≡∙ low

Cc

II

Ω ↑
rL

IV

Ω ↑
rL I



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