Insurance activities and systemic risk
- This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the insurance industry vis-à-vis other industries by applying 3 measures, namely the linear Granger causality test, conditional value at risk and marginal expected shortfall, on 3 groups, namely banks, insurers and non-financial companies listed in Europe over the last 14 years. We then analyze the determinants of the systemic risk contribution within the insurance industry by using balance sheet level data in a broader sample. Our evidence suggests that i) the insurance industry shows a persistent systemic relevance over time and plays a subordinate role in causing systemic risk compared to banks, and that ii) within the industry, those insurers which engage more in non-insurance-related activities tend to pose more systemic risk. In addition, we are among the first to provide empirical evidence on the role of diversification as potential determinant of systemic risk in the insurance industry. Finally, we confirm that size is also a significant driver of systemic risk, whereas price-to-book ratio and leverage display counterintuitive results.
Verfasserangaben: | Elia BerdinORCiDGND, Matteo Sottocornola |
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URN: | urn:nbn:de:hebis:30:3-392981 |
URL: | http://ssrn.com/abstract=2701821 |
DOI: | https://doi.org/10.2139/ssrn.2701821 |
Titel des übergeordneten Werkes (Englisch): | SAFE working paper series ; No. 121 |
Schriftenreihe (Bandnummer): | SAFE working paper (121) |
Verlag: | SAFE |
Verlagsort: | Frankfurt am Main |
Dokumentart: | Arbeitspapier |
Sprache: | Englisch |
Datum der Veröffentlichung (online): | 11.12.2015 |
Datum der Erstveröffentlichung: | 11.12.2015 |
Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Datum der Freischaltung: | 02.02.2016 |
Freies Schlagwort / Tag: | Insurance Activities; Systemic Risk; Systemically Important Financial Institutions |
Seitenzahl: | 51 |
HeBIS-PPN: | 372417671 |
Institute: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Lizenz (Deutsch): | Deutsches Urheberrecht |