Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for G‐SIIs vs Non‐G‐SIIs
研究了157家全球保险公司的尾部风险网络，构建了新的系统性风险指数，发现全球系统重要性保险公司（G‐SII）平均比非G‐SII更具系统性风险，尤其在金融危机期间，但也有一小部分非G‐SII比G‐SII更重要。
A bstract In this article, we investigate systemic risk of 157 insurers around the globe. We construct tail risk networks among these insurers using a single‐index model for quantile regressions with a variable selection technique. We develop a new network‐based systemic risk indices, taking into account expected tail losses of insurers, direct and indirect contagion effects, and the time‐varying strength of tail risk spillover. Our systemic risk indices successfully recognize global systemically important insurers (G‐SIIs). We find that on average G‐SIIs are more systemically relevant than non‐G‐SIIs, particularly during the recent U.S. financial crisis. We also find a small group of non‐G‐SIIs that are more important than G‐SIIs. Our results have significant implications for systemic risk regulation.