Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

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 interrelat...

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Veröffentlicht in:	NBER Working Paper Series 2010-07, p.16223
Hauptverfasser:	Billio, Monica, Lo, Andrew W, Getmansky Sherman, Mila, Pelizzon, Loriana
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset Pricing Banks Brokers Causality Econometrics Economic crisis Economic theory Economics Government sponsored enterprises Hedge funds Insurance companies Liquidity Monte Carlo simulation Principal components analysis Regulation of financial institutions Regulatory reform
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