How to measure interconnectedness between banks, insurers and financial conglomerates

DOI10.1515/STRM-2014-1177zbMath1414.91198OpenAlexW2494810031MaRDI QIDQ2520728

Gaël Hauton, Jean-Cyprien Héam

Publication date: 16 December 2016

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://publications.banque-france.fr/sites/default/files/medias/documents/rue-de-la-banque_04_2015-03_en.pdf

zbMATH Keywords

systemic riskinterconnectednessinsurersconglomerate

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Deterministic network models in operations research (90B10)

Cites Work

• Power-law partial correlation network models
• Dynamic risk exposures in hedge funds
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Systemic Risk in Financial Systems
• Stationarity, non-stationarity and early warning signals in economic networks
• ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE
• On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
• The reluctance to borrow from the Fed
• Unnamed Item

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