TY  - UNPD
A1  - Girardi, Giulio
A1  - Hanley, Kathleen W.
A1  - Nikolova, Stanislava
A1  - Pelizzon, Loriana
A1  - Getmansky, Mila
T1  - Portfolio similarity and asset liquidation in the insurance industry
T2  - SAFE working paper series ; No. 224
N2  - An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine similarity, and show that insurers with more similar portfolios have larger subsequent common sales. This relationship can be magnified for some insurers when they are regulatory capital constrained or markets are under stress. When faced with an exogenous liquidity shock, insurers with greater portfolio similarity have even larger common sales that impact prices. Our measure can be used by regulators to predict which institutions may contribute most to financial instability through the asset liquidation channel of risk transmission.
T3  - SAFE working paper - 224 
KW  - Interconnectedness
KW  - Asset Liquidation
KW  - Similarity
KW  - Financial Stability
KW  - Insurance Companies
KW  - SIFI
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/47236
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-472363
UR  - https://ssrn.com/abstract=3239362
IS  - This Draft: July 30, 2018
PB  - SAFE
CY  - Frankfurt am Main
ER  -