| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12849 |
| DP12849 Insurers as Asset Managers and Systemic Risk | |
| Wolf Wagner; Anastasia Kartasheva; Jotikasthira Chotibhak; Andrew Ellul; Christian Lundblad | |
| 发表日期 | 2018-04-07 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. Using the U.S. life insurance industry as a laboratory, we present a model in which variable annuity (VA) guarantees and associated hedging operate within the regulatory capital framework to create incentives for insurers to overweight illiquid bonds ("reach-for-yield"). We then calibrate the model to insurer-level data, and show that the VA-writing insurers' collective allocation to illiquid bonds exacerbates system-wide fire sales in the event of negative asset shocks, plausibly erasing up to 20-70% of insurers' equity capital. |
| 主题 | Financial Economics |
| 关键词 | Inter-connectedness Insurance companies Systemic risk Financial stability |
| URL | https://cepr.org/publications/dp12849 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541659 |
| 推荐引用方式 GB/T 7714 | Wolf Wagner,Anastasia Kartasheva,Jotikasthira Chotibhak,et al. DP12849 Insurers as Asset Managers and Systemic Risk. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
