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Author
Denkowska Anna (Cracow University of Economics), Wanat Stanisław (Cracow University of Economics, Poland)
Title
A Dynamic MST-deltaCoVaR Model of Systemic Risk in the European Insurance Sector
Source
Statistics in Transition, 2021, vol. 22, nr 2, s. 173-188, wykr., bibliogr. 20 poz.
Keyword
Ryzyko systemowe, Sektor ubezpieczeniowy, Pomiar ryzyka, Miernik ryzyka (VaR), Wyniki badań
Systemic risk, Insurance sector, Risk measures, VaR method, Research results
Note
summ.
Abstract
This work is a response to the EIOPA paper entitled 'Systemic risk and macroprudential policy in insurance', which asserts that in order to evaluate the potential systemic risk (SR), the build-up of risk, especially risk arising over time, should be taken into account, as well as the interlinkages occurring in the financial sector and the whole economy. The topological indices of minimum spanning trees (MST) and the deltaCoVaR measure are the main tools used to analyse the systemic risk dynamics in the European insurance sector in the years 2005-2019. The article analyses the contribution of each of the 28 largest European insurance companies, including those appearing on the G-SIIs list, to systemic risk. Moreover, the paper aims to determine whether the most important contribution to systemic risk is made by companies with the highest betweenness centrality or the highest degree in the obtained MST.(original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
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Bibliography
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ISSN
1234-7655
Language
eng
URI / DOI
http://dx.doi.org/10.21307/stattrans-2021-022
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