Bank-insurance risk spillovers : evidence from Europe

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20180005091</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20180326161128.0</controlfield>
    <controlfield tag="008">180221e20180101esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">921.9</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Bank-insurance risk spillovers</subfield>
      <subfield code="b">: evidence from Europe</subfield>
      <subfield code="c">Alberto Dreassi... [et al.]</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">We investigate cross-sector financial contagion o ver the period 2006-2014 for a sample of large European banks and insurers. We use CDS spreads and define contagion as correlation over and above what is explained by fundamental factors. Moreover, we assess the impact of different business models on contagion and the channels through which it spreads. We find that, for insurers, size and investment income raise contagion, while for banks capital adequacy, funding and income diversification are the most relevant factors . Furthermore, leverage is crucial in both sectors. We also provide evidence of the main risk transmission channels: the asset-holding and the guarantee channel for insurers and the additional collateral channel for banks. Our results offer new insight on how credit risk spillovers spread across sectors and call for further regulatory and supervisory effort in understanding if and where cross-industry similarities increase contagion risks.</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080579814</subfield>
      <subfield code="a">Crisis financiera</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080597641</subfield>
      <subfield code="a">Mercados financieros</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080611897</subfield>
      <subfield code="a">Perspectivas económicas</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080586294</subfield>
      <subfield code="a">Mercado de seguros</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080538217</subfield>
      <subfield code="a">Banca</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20100016923</subfield>
      <subfield code="a">Riesgo sistémico</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080587284</subfield>
      <subfield code="a">Reacción en cadena</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080608811</subfield>
      <subfield code="a">Supervisión financiera</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20150005243</subfield>
      <subfield code="a">Dreassi, Alberto</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077100215</subfield>
      <subfield code="t">Geneva papers on risk and insurance : issues and practice</subfield>
      <subfield code="d">Geneva : The Geneva Association, 1976-</subfield>
      <subfield code="x">1018-5895</subfield>
      <subfield code="g">01/01/2018 Volumen 43 Número 1 - enero 2018 , p. 72-96</subfield>
    </datafield>
  </record>
</collection>