This paper investigates the systemic relevance of the insurance industry. We do it by analysing the systemic contribution of the insurance industry vis-á-vis other industries by applying three measures, namely the linear Granger causality test, conditional value at risk and marginal expected shortfall, to three groups, namely banks, insurers and non-financial companies listed in Europe over the last 14 years. Our evidence suggests that the insurance industry shows i) a persistent systemic relevance over time, ii) it plays a subordinate role in causing systemic risk compared to banks. In addition, iii) we do not find clear evidence on the higher systemic relevance of SIFI insurers compared to non-SIFIs.
Assessing Systemic Risk of the European Insurance Industry
Sottocornola, Matteo
2015-01-01
Abstract
This paper investigates the systemic relevance of the insurance industry. We do it by analysing the systemic contribution of the insurance industry vis-á-vis other industries by applying three measures, namely the linear Granger causality test, conditional value at risk and marginal expected shortfall, to three groups, namely banks, insurers and non-financial companies listed in Europe over the last 14 years. Our evidence suggests that the insurance industry shows i) a persistent systemic relevance over time, ii) it plays a subordinate role in causing systemic risk compared to banks. In addition, iii) we do not find clear evidence on the higher systemic relevance of SIFI insurers compared to non-SIFIs.File | Dimensione | Formato | |
---|---|---|---|
Assessing Systemic Risk of the European Insurance Industry.pdf
accesso aperto
Tipologia:
Documento in Post-print
Licenza:
Licenza non definita
Dimensione
983.26 kB
Formato
Adobe PDF
|
983.26 kB | Adobe PDF | Visualizza/Apri |
I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.