Univesity Ca' Foscari of Venice
Institutional Affiliation: Univesity Ca' Foscari of Venice
Information about this author at RePEc
NBER Working Papers and Publications
|July 2010||Econometric Measures of Systemic Risk in the Finance and Insurance Sectors|
with Mila Getmansky, Andrew W. Lo, Loriana Pelizzon: w16223
We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests. We find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic risk in the finance and insurance industries. These measures can also identify and quantify financial crisis periods, and seem to contain predictive power for the current financial crisis. Our results suggest that hedge funds can provide early indications of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds, banks, insurance companies, and brokers.
Published: Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, vol 104(3), pages 535-559.
|June 2010||Econometric Measures of Systemic Risk in the Finance and Insurance Sectors|
with Mila Getmansky, Andrew W. Lo, Loriana Pelizzon
in Market Institutions and Financial Market Risk, Mark Carey, Anil Kashyap, Raghuram Rajan, and René Stulz, organizers