Measuring Systemic Risk in the Finance and Insurance Sectors ∗

  title={Measuring Systemic Risk in the Finance and Insurance Sectors ∗},
  author={Monica Billio and Mila Getmansky and Andrew W. Lo and Loriana Pelizzon},
A significant contributing factor to the Financial Crisis of 2007–2009 was the apparent interconnectedness among hedge funds, banks, brokers, and insurance companies, which amplified shocks into systemic events. In this paper, we propose five measures of systemic risk based on statistical relations among the market returns of these four types of financial institutions. Using correlations, cross-autocorrelations, principal components analysis, regime-switching models, and Granger causality tests… CONTINUE READING
Highly Cited
This paper has 18 citations. REVIEW CITATIONS
14 Citations
109 References
Similar Papers


Publications citing this paper.
Showing 1-10 of 14 extracted citations


Publications referenced by this paper.
Showing 1-10 of 109 references

Funding Liquidity Risk in a Quantitative Model of Systemic Stability,

  • Aikman, David, +7 authors Matthew Willison
  • 2009
Highly Influential
4 Excerpts

New Directions in Financial Sector and Sovereign Risk Management

  • Gray, Dale, Andreas A. Jobst
  • Journal of Investment Management
  • 2010

2009,”Hedge Funds and Financial Stability: Regulating Prime Brokers Will Mitigate Systemic Risks,

  • King Michael, Philipp Maier
  • Journal of Financial Stability
  • 2009

A Framework for Assessing the Systemic Risk of Major Financial institutions

  • Huang, Xin, Hao Zhou, Haibin Zhu
  • Journal of Banking and Finance
  • 2009

CoVaR”, Princeton University Working Paper

  • Adrian, Tobias, Markus
  • Brunnermeier,
  • 2009

Similar Papers

Loading similar papers…