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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      <subfield code="a">Tail risk networks of insurers around the globe</subfield>
      <subfield code="b">: an empirical examination of systemic risk for G-SIIs vs non-G-SIIs</subfield>
      <subfield code="c">Hua Chen, Tao Sun</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="a">Riesgo sistémico</subfield>
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      <subfield code="a">Sun, Tao</subfield>
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      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">01/06/2020 Volumen 87 Número 2 - junio 2020 , p. 285-318</subfield>
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