Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors Abstract We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies. We find that all four sectors have become highly interrelated over the … Read more

Fannie Mae and Freddie Mac | An Inconvenient Truth

An Inconvenient Truth There is so much about Fannie Mae and Freddie Mac that we should be angry about. In their heyday, these strange hybrids — part corporation, part government agency — were the biggest bullies in Washington, quick to bludgeon critics who dared suggest that their dual missions of maximizing profits while making homeownership … Read more