Systemic Risk in the European Insurance Sector
Fuente:
arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Acceso en línea: | |
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| _version_ | 1866915996589096960 |
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| author | Bonaccolto, Giovanni Borri, Nicola Consiglio, Andrea Di Giorgio, Giorgio |
| author_facet | Bonaccolto, Giovanni Borri, Nicola Consiglio, Andrea Di Giorgio, Giorgio |
| contents | This paper studies systemic-risk connectedness in the European insurance sector at three levels of granularity: across major segments of financial markets, across insurance subsectors, and across individual insurance companies. Using a common connectedness framework applied to returns, volatility, value-at-risk, and expected shortfall, we document that insurers are an important component of systemic-risk connectedness, especially during stress episodes. We also provide reduced-form evidence on economically relevant channels in the European institutional setting: aggregate insurer spillovers co-move with term spreads, sovereign spreads, and funding stress, and firm-level insurer-to-bank spillovers vary with sovereign risk and domestic sovereign-bond home bias in a way consistent with a balance-sheet channel. The analysis further reveals substantial heterogeneity across subsectors and identifies a stable core of systemically central insurers in firm-level networks. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2505_02635 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Systemic Risk in the European Insurance Sector Bonaccolto, Giovanni Borri, Nicola Consiglio, Andrea Di Giorgio, Giorgio Computational Finance General Finance This paper studies systemic-risk connectedness in the European insurance sector at three levels of granularity: across major segments of financial markets, across insurance subsectors, and across individual insurance companies. Using a common connectedness framework applied to returns, volatility, value-at-risk, and expected shortfall, we document that insurers are an important component of systemic-risk connectedness, especially during stress episodes. We also provide reduced-form evidence on economically relevant channels in the European institutional setting: aggregate insurer spillovers co-move with term spreads, sovereign spreads, and funding stress, and firm-level insurer-to-bank spillovers vary with sovereign risk and domestic sovereign-bond home bias in a way consistent with a balance-sheet channel. The analysis further reveals substantial heterogeneity across subsectors and identifies a stable core of systemically central insurers in firm-level networks. |
| title | Systemic Risk in the European Insurance Sector |
| topic | Computational Finance General Finance |
| url | https://arxiv.org/abs/2505.02635 |