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

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<dc:creator>Chen, Hua</dc:creator>
<dc:creator>Sun, Tao</dc:creator>
<dc:date>2020-06-01</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/171637.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Riesgo sistémico</dc:subject>
<dc:subject xml:lang="es">Empresas de seguros</dc:subject>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Mercado de seguros</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Tail risk networks of insurers around the globe : an empirical examination of systemic risk for G-SIIs vs non-G-SIIs</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/06/2020 Volumen 87 Número 2 - junio 2020 , p. 285-318</dc:relation>
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