Tail risk networks of insurers around the globe : an empirical examination of systemic risk for G-SIIs vs non-G-SIIs
Contenido multimedia no disponible por derechos de autor o por acceso restringido. Contacte con la institución para más información.
| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20200015789 | ||
| 003 | MAP | ||
| 005 | 20200507160234.0 | ||
| 008 | 200507e20200601usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a7 | ||
| 100 | $0MAPA20090011274$aChen, Hua | ||
| 245 | 1 | 0 | $aTail risk networks of insurers around the globe$b: an empirical examination of systemic risk for G-SIIs vs non-G-SIIs$cHua Chen, Tao Sun |
| 520 | $aIn 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. | ||
| 650 | 4 | $0MAPA20100016923$aRiesgo sistémico | |
| 650 | 4 | $0MAPA20080590567$aEmpresas de seguros | |
| 650 | 4 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 4 | $0MAPA20080586294$aMercado de seguros | |
| 700 | 1 | $0MAPA20150014856$aSun, Tao | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g01/06/2020 Volumen 87 Número 2 - junio 2020 , p. 285-318 |