Measuring Systemic Risk in the Finance and Insurance Sectors ∗

@inproceedings{Billio2010MeasuringSR,
  title={Measuring Systemic Risk in the Finance and Insurance Sectors ∗},
  author={Monica Billio and Mila Getmansky and Andrew W. Lo and Loriana Pelizzon},
  year={2010}
}
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
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