Search results1 – 2 of 2
This paper aims to analyze systemic risk in and the effect of capital regulation on the European insurance sector. In particular, the evolution of an exposure measure…
This paper aims to analyze systemic risk in and the effect of capital regulation on the European insurance sector. In particular, the evolution of an exposure measure (SRISK) and a contribution measure (Delta CoVaR) are analyzed from 1985 to 2016.
With the help of multivariate regressions, the main drivers of systemic risk are identified.
The paper finds an increasing degree of interconnectedness between banks and insurance that correlates with systemic risk exposure. Interconnectedness peaks during periods of crisis but has a long-term influence also during normal times. Moreover, the paper finds that the insurance sector was greatly affected by spillovers from the process of capital regulation in banking. While European insurance companies initially at the start of the Basel process of capital regulation were well capitalized according to the SRISK measure, they started to become capital deficient after the implementation of the model-based approach in banking with increasing speed thereafter.
These findings are highly relevant for the ongoing global process of capital regulation in the insurance sector and potential reforms of Solvency II. Systemic risk is a leading threat to the stability of the global financial system and keeping it under control is a main challenge for policymakers and supervisors.
This paper provides novel tools for supervisors to monitor risk exposures in the insurance sector while taking into account systemic feedback from the financial system and the banking sector in particular. These tools also allow an evidence-based policy evaluation of regulatory measures such as Solvency II.
Before providing an overview of the conference with the above title and this Special Issue, this paper aims to present a view of the meaning of systemic risk, factors that…
Before providing an overview of the conference with the above title and this Special Issue, this paper aims to present a view of the meaning of systemic risk, factors that affect systemic risk and measures of systemic risk. Thereafter, the conference presentations and the papers in this issue are summarized.
Characteristics and measures of systemic risk are reviewed. Conference papers and presentations are summarized.
While some aspects of systemic risk of a financial institution can be measured, an important aspect associated with contagion through markets is not easily captured by simple measures.
The conference and the papers in this issue contribute to the policy debate about sources and characteristics of systemic risk.