Centro de Documentación de Fundación MAPFRE - Tail risk networks of insurers around the globe : an empirical examination of systemic risk for G-SIIs vs non-G-SIIs

MAP20200015789

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

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

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

1. Riesgo sistémico . 2. Empresas de seguros . 3. Gerencia de riesgos . 4. Mercado de seguros . I. Sun, Tao . II. Título.