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 past decade, likely increasing the level of systemic risk in the finance and insurance industries through a complex and time-varying network of relationships. These measures can also identify and quantify financial crisis periods, and seem to contain predictive power in out-of-sample tests. Our results show an asymmetry in the degree of connectedness among the four sectors, with banks

Full paper below…

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4closureFraud.org

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

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Comments
3 Responses to “Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors”
  1. angry&NOT TAKING IT! says:

    goldmans sac & litton loan fleecing homeowners…were gonna need more pitchfork!!!

    http://mortgageexpertconsultant.blogspot.com/2011/12/seeking-investigations-into-goldman.html

  2. lvent says:

    It’s official, America has woken up!! Dylan Ratigan reported today that only 3% of Americans would vote for any of the Democratic candidates and only 2% would vote for any of the Republican candidates…Dylan said the choices between the two parties are like choosing heart disease or cancer and no one wants either!!!

  3. lvent says:

    They were just talking on CNBC about too many subprime car loans…The reporter said that this not un like home foreclosures…these are car foreclosures…Who ever is the last one holding the ball writes the bad debt off the books and gives the defaulted loan to a third party bill collector…They also said that subprime car loans make up 25% of car loans…sounds like what they did with the houses…I would guess that the majority of these defaults are not by subprime car buyers…just victims of a criminal enterprise that gambled on anthing it could get its hands on…A car cannot be compared to someone losing their home but then again…if you lose your job, your home and your car where do you go? These financial crooks need to be thrown in prison..!

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