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dc.creatorGirardi, Giulio
dc.creatorHanley, Kathleen Weiss
dc.creatorNikolova, Stanislava
dc.creatorPelizzon, Loriana
dc.creatorGetmansky, Mila
dc.date.accessioned2021-09-28T09:35:02Z
dc.date.available2021-09-28T09:35:02Z
dc.date.issued2018-07-30
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2326
dc.description.abstractAn 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.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectSystemic Risk Lab
dc.subjectFinancial Institutions
dc.titlePortfolio Similarity and Asset Liquidation in the Insurance Industry
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1487?S&P RatingXpress
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1383?DataScope
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1491?SDC
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1366?CCM
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1379?CRSP
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1466?NAIC
dc.source.filename224_SSRN-id3239362
dc.identifier.safeno224
dc.subject.keywordsinterconnectedness
dc.subject.keywordsasset liquidation
dc.subject.keywordssimilarity
dc.subject.keywordsfinancial stability
dc.subject.keywordsinsurance companies
dc.subject.keywordssifi
dc.subject.jelG11
dc.subject.jelG18
dc.subject.jelG2
dc.subject.topic1reflect
dc.subject.topic1endow
dc.subject.topic1basis
dc.subject.topic2gai
dc.subject.topic2instability
dc.subject.topic2identify
dc.subject.topic3corporate
dc.subject.topic3municipal
dc.subject.topic3asset
dc.subject.topic1nameCorporate Governance
dc.subject.topic2nameSystematic Risk
dc.subject.topic3nameFinancial Markets
dc.identifier.doi10.2139/ssrn.3239362


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