Portfolio Similarity and Asset Liquidation in the Insurance Industry
Öffnen
Datum
2018-07-30
Autor
Girardi, Giulio
Hanley, Kathleen Weiss
Nikolova, Stanislava
Pelizzon, Loriana
Getmansky, Mila
SAFE No.
224
Metadata
Zur Langanzeige
Zusammenfassung
An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine similarity, and show that insurers with more similar portfolios have larger subsequent common sales. This relationship can be magnified for some insurers when they are regulatory capital constrained or markets are under stress. When faced with an exogenous liquidity shock, insurers with greater portfolio similarity have even larger common sales that impact prices. Our measure can be used by regulators to predict which institutions may contribute most to financial instability through the asset liquidation channel of risk transmission.
Forschungsbereich
Systemic Risk Lab
Financial Institutions
Financial Institutions
Schlagworte
interconnectedness, asset liquidation, similarity, financial stability, insurance companies, sifi
JEL-Klassifizierung
G11, G18, G2
Thema
Corporate Governance
Systematic Risk
Financial Markets
Systematic Risk
Financial Markets
Beziehungen
1
Publikationstyp
Working Paper
Link zur Publikation
Collections
- LIF-SAFE Working Papers [334]