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Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
Open accessAbstract
We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests.We find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic risk in the finance and insurance industries.These measures can also identify and quantify financial crisis periods, and seem to contain predictive power for the current financial crisis.Our results suggest that hedge funds can provide early indications of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds, banks, insurance companies, and brokers.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Cited by
Systemic risk measurement: Multivariate GARCH estimation of CoVaR
Girardi, G., & Tolga Ergün, A. (2013) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2013.02.027 · Cited by 650
A Survey of Systemic Risk Analytics
Bisias, D., Flood, M. D., Lo, A. W., & Valavanis, S. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.1983602 · Cited by 331
Self-citationPoverty Alleviation Strategies in Eastern China Lead to Critical Ecological Dynamics
Zhang, K., Dearing, J. A., Dawson, T. P., Dong, X., Yang, X., & Zhang, W. (2015) · Science of The Total Environment · doi:10.1016/j.scitotenv.2014.10.096 · Cited by 94
Metadata
- Authors
- Billio, M., Getmansky, M., Lo, A., & Pelizzon, L.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 2010-07
- OpenAlex
- W2111906441
- Cited by
- 274
- References
- 1
- Type
- report
- Language
- en
- Open access
- green
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