TY  - UNPD
A1  - Berdin, Elia
A1  - Sottocornola, Matteo
T1  - Insurance activities and systemic risk
N2  - 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.
T3  - ICIR Working Paper Series - No. 19/15 [12.2015] 
KW  - Systemic Risk
KW  - Insurance Activities
KW  - Systemically Important Financial Institutions
Y1  - 2015
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/77228
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-772281
UR  - https://www.icir.de/fileadmin/user_upload/editors/documents/working_papers/wp_19_berdin.pdf
PB  - Goethe University Frankfurt, International Center for Insurance Regulation (ICIR)
CY  - Frankfurt am Main
ER  -