Berdin, Elia; Sottocornolay, Matteo - 2015 - This version: December 2015
This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the … value at risk and marginal expected shortfall, on 3 groups, namely banks, insurers and non-financial companies listed in … Europe over the last 14 years. We then analyze the determinants of the systemic risk contribution within the insurance …