| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16223 |
| 来源ID | Working Paper 16223 |
| Econometric Measures of Systemic Risk in the Finance and Insurance Sectors | |
| Monica Billio; Mila Getmansky; Andrew W. Lo; Loriana Pelizzon | |
| 发表日期 | 2010-07-22 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w16223 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573898 |
| 推荐引用方式 GB/T 7714 | Monica Billio,Mila Getmansky,Andrew W. Lo,et al. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16223.pdf（1076KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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