TY  - BOOK
AU  - Billio,Monica
AU  - Getmansky,Mila
AU  - Lo,Andrew W.
AU  - Pelizzon,Loriana
ED  - National Bureau of Economic Research.
TI  - Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
T2  - NBER working paper series
PY  - 2010///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - July 2010; Hardcopy version available to institutional subscribers
N2  - We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests. We find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic risk in the finance and insurance industries.  These measures can also identify and quantify financial crisis periods, and seem to contain predictive power for the current financial crisis.  Our results suggest that hedge funds can provide early indications of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds, banks, insurance companies, and brokers
UR  - https://www.nber.org/papers/w16223
UR  - http://dx.doi.org/10.3386/w16223
ER  -