The conditional dependence structure of insurance sector credit default swap indices

Go Tamakoshi and Shigeyuki Hamori

The North American Journal of Economics and Finance, 2014, vol. 30, issue C, 122-132

Abstract: This study assesses the dependence structure of insurance sector credit default swap indices, using a copula-GARCH approach. We use daily data of the US, EU, and UK insurance sectors, covering the period from January 2004 to June 2013. We find substantial increases in dependence during the financial crisis periods. Prior to the crises, various copulas are found to best fit each pair; specifically, asymmetric tail dependence is found for the UK–US pair, suggesting the possibility of large simultaneous losses. However, during the crisis periods, the Frank copula fits best, with no significant tail dependence detected, implying low systemic risks.

Keywords: Insurance sector CDS; Copulas; Financial crises; Systemic risk (search for similar items in EconPapers)
JEL-codes: C58 G01 G22 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:30:y:2014:i:c:p:122-132

DOI: 10.1016/j.najef.2014.09.002

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