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A Dynamic MST- deltaCovar Model Of Systemic Risk In The European Insurance Sector

Author

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  • Anna Denkowska
  • Stanis{l}aw Wanat
Abstract
This work is an answer to the EIOPA 2017 report. It follows from the latter that in order to assess the potential systemic risk we should take into account the build-up of risk and in particular the risk that arises in time, as well as the interlinkages in the financial sector and the whole economy. Our main tools used to analyse the systemic risk dynamics in the European insurance sector during the years 2005-2019 are the topological indices of minimum spanning trees (MST) and the deltaCoVaR measure. We address the following questions: 1) What is the contribution to systemic risk of each of the 28 largest European insurance companies whose list includes also those appearing on the G-SIIs list? 2) Does the analysis of the deltaCoVaR of those 28 insurance companies and the conclusions we draw agree with the our claims from our latest article [Wanat S., Denkowska A. 2019]. In clear: does the most important contribution to systemic risk come from the companies that have the highest betweenness centrality or the highest degree in the MST obtained?

Suggested Citation

  • Anna Denkowska & Stanis{l}aw Wanat, 2019. "A Dynamic MST- deltaCovar Model Of Systemic Risk In The European Insurance Sector," Papers 1912.05641, arXiv.org.
    • Handle: RePEc:arx:papers:1912.05641
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    References listed on IDEAS

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    Cited by:

    1. Anna Denkowska & Stanisław Wanat, 2021. "A dynamic MST-deltaCoVaR model of systemic risk in the European insurance sector," Statistics in Transition New Series, Polish Statistical Association, vol. 22(2), pages 173-188, June.
    2. Anna Denkowska & Stanisław Wanat, 2020. "A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector," Risks, MDPI, vol. 8(2), pages 1-22, April.

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