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Photo du rédacteurHélène Dufour

Measuring Capital at Risk with Financial Contagion: Two-Sector Model with Banks and Insurers

Interdependent economic shocks, modeled through a two-sector approach (banks and insurers), impact the financial system by amplifying initial shocks via feedback mechanisms. Stress tests on UK data show improved profit expectations and reduced tail losses post-COVID-19, with insurers more vulnerable to credit risks and banks to fire sale losses.


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