Essays On Systemic Risk And Financial Regulation
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Essays on Systemic Risk and Financial Regulation
Author | : David Antonius Pankoke |
Publisher | : |
Total Pages | : 0 |
Release | : 2015 |
Genre | : |
ISBN | : |
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The first paper with the title "Systemic Risk in the Insurance Sector: Review and Directions for Future Research" is written by Martin Eling and David Pankoke. This paper reviews the extant research on systemic risk in the insurance sector and outlines new areas of research in this field. We summarize and classify 43 theoretical and empirical research papers from both academia and practitioner organizations. The survey reveals that traditional insurance activity in the life, non-life, and reinsurance sectors neither contributes to systemic risk, nor increases insurers' vulnerability to impairments of the financial system. However, non-traditional activities (e.g., CDS underwriting) might increase vulnerability and life insurers might be more vulnerable than non-life insurers due to higher leverage. Whether non-traditional activities also contribute to systemic risk is not entirely clear; however, the activities with the potential to contribute to systemic risk include underwriting financial derivatives, providing financial guarantees, and short-term funding. This paper is of interest not only to academics, but is also highly relevant for the industry, regulators, and policymakers. We submitted the paper to the Risk Management and Insurance Review where it is in the third round of the review process. The second paper of this dissertation has the title "Sophisticated vs. Simple Systemic Risk Measures" and is single-authored. This paper evaluates whether sophisticated or simple systemic risk measures are more suitable to identify institutions which contribute to systemic risk. As sophisticated systemic risk measures I consider CoVaR, Marginal Expected Shortfall (MES), SRISK and Granger-Causality Networks. As simple systemic risk measures I consider the market capitalization, total debt, leverage and stock market returns of an institution as well as the correlation between stock market returns of an institution and the market.
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