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Portfolio Similarity and Asset Liquidation in the Insurance Industry
(2018-07-30)
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 ...
Networks in Risk Spillovers: A Multivariate GARCH Perspective
(2018-08-01)
We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity ...