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Interconnectedness and systemic risk: hedge funds, banks, insurance companies

Author

Listed:
  • Monica Billio

    (Università Ca’ Foscari Venezia)

  • Loriana Pelizzon

    (Università Ca’ Foscari Venezia)

Abstract

The European financial market has an high degree of interconnectedness among hedge funds, banks, brokers and insurance companies, that can be used as an indicator to predict an emerging systemic crisis and its intensity.The relations are cross-country as well as cross-industry, with a primary role played, in the risk propagation, by hedge funds. For these reasons it is necessary to continue the trend of supervisory bodies aggregation and, for banks, insurance companies and other financial institutions, to integrate risk management models with connectivity indicators

Suggested Citation

  • Monica Billio & Loriana Pelizzon, 2014. "Interconnectedness and systemic risk: hedge funds, banks, insurance companies," BANCARIA, Bancaria Editrice, vol. 6, pages 81-91, June.
    • Handle: RePEc:ban:bancar:v:06:y:2014:m:june:p:81-91
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    File URL: http://www.bancaria.it/en/interconnectedness-and-systemic-risk-hedge-funds-banks-insurance-companies
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    Cited by:

    1. Deborah Miori & Mihai Cucuringu, 2022. "SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis," Papers 2209.08825, arXiv.org.

    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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