Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/181754
Autor:innen: 
Girardi, Giulio
Hanley, Kathleen Weiss
Nikolova, Stanislava
Pelizzon, Loriana
Getmansky, Mila
Datum: 
2018
Schriftenreihe/Nr.: 
SAFE Working Paper No. 224
Verlag: 
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M.
Zusammenfassung: 
An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine similarity, and show that insurers with more similar portfolios have larger subsequent common sales. This relationship can be magnified for some insurers when they are regulatory capital constrained or markets are under stress. When faced with an exogenous liquidity shock, insurers with greater portfolio similarity have even larger common sales that impact prices. Our measure can be used by regulators to predict which institutions may contribute most to financial instability through the asset liquidation channel of risk transmission.
Schlagwörter: 
Interconnectedness
Asset Liquidation
Similarity
Financial Stability
Insurance Companies
SIFI
JEL: 
G11
G18
G2
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
845.84 kB





Publikationen in EconStor sind urheberrechtlich geschützt.