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

Recurso electrónico / Electronic resource
Registro MARC
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008  200507e20200601usa|||p |0|||b|eng d
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100  ‎$0‎MAPA20090011274‎$a‎Chen, Hua
24510‎$a‎Tail risk networks of insurers around the globe‎$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
7001 ‎$0‎MAPA20150014856‎$a‎Sun, Tao
7730 ‎$w‎MAP20077000727‎$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