Tail risk networks of insurers around the globe : an...

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Artículos Artículos Tail risk networks of insurers around the globe : an empirical examination of systemic risk for G-SIIs vs non-G-SIIs - Chen, Hua

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Título: Tail risk networks of insurers around the globe : an empirical examination of systemic risk for G-SIIs vs non-G-SIIs / Hua Chen, Tao Sun

Autor: Chen, Hua Icono con lupa

Notas: Sumario: In this article, we investigate systemic risk of 157 insurers around the globe. We construct tail risk networks among these insurers using a single-index model for quantile regressions with a variable selection technique. We develop a new network-based systemic risk indices, taking into account expected tail losses of insurers, direct and indirect contagion effects, and the time-varying strength of tail risk spillover. Our systemic risk indices successfully recognize global systemically important insurers (G-SIIs). We find that on average G-SIIs are more systemically relevant than non-G-SIIs, particularly during the recent U.S. financial crisis. We also find a small group of non-G-SIIs that are more important than G-SIIs. Our results have significant implications for systemic risk regulation.

Autores secundarios: Sun, Tao Icono con lupa

Otras clasificaciones: 7

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/

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