EconPapers    
Economics at your fingertips  
 

Portfolio similarity and asset liquidation in the insurance industry

Giulio Girardi, Kathleen Weiss Hanley, Stanislava (Stas) Nikolova, Loriana Pelizzon () and Mila Getmansky

No 224, SAFE Working Paper Series from Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt

Abstract: An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine similarity, and show that insurers with more similar portfolios have larger subsequent common sales. This relationship can be magnified for some insurers when they are regulatory capital constrained or markets are under stress. When faced with an exogenous liquidity shock, insurers with greater portfolio similarity have even larger common sales that impact prices. Our measure can be used by regulators to predict which institutions may contribute most to financial instability through the asset liquidation channel of risk transmission.

Keywords: Interconnectedness; Asset Liquidation; Similarity; Financial Stability; Insurance Companies; SIFI (search for similar items in EconPapers)
JEL-codes: G11 G18 G2 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk, nep-ias and nep-rmg
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/181754/1/1029682666.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:safewp:224

Access Statistics for this paper

More papers in SAFE Working Paper Series from Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2019-04-08
Handle: RePEc:zbw:safewp:224