Assessing the contribution of South African Insurance Firms to Systemic Risk

Thulani Zulu, Mathias Manguzvane and Lumengo Bonga-Bonga

MPRA Paper from University Library of Munich, Germany

Abstract: In light of the crucial contribution insurance firms make to global investment, this paper examines the extent of systemic risks facing emerging market insurance, with a particular focus on South Africa, one of the African continent's most prominent emerging economies. Contrary to past studies, the paper relies on delta conditional value at risk (∆CoVaR) based dynamic conditional correlation (DCC)-GARCH model to this end. Moreover, the paper assesses how selected developed economies contribute to the systemic of the South African insurance industry. The results of the empirical analysis show that Santam, Sanlam, and Momentum Holdings account for the largest systemic risks. At the same time, the least contributors are Discovery and Liberty. Meanwhile, Australia and Japan appear to contribute the most to systemic risk in the South African insurance industry. Moreover, the paper finds that periods of economic turmoil significantly increased developed markets' systemic risk contributions to the South African insurance industry.

Keywords: Delta conditional value at risk; dcc-gjr-garch; systemically important financial institutions. (search for similar items in EconPapers)
JEL-codes: C58 F3 G22 (search for similar items in EconPapers)
Date: 2023
New Economics Papers: this item is included in nep-afr, nep-des, nep-fdg and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:116815

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