Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
收藏NBER2010-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w16223
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2010-07-01
