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Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis

Author

Listed:
  • Jean‐François Bégin
  • Mathieu Boudreault
  • Delia Alexandra Doljanu
  • Geneviève Gauthier

Abstract

We develop a portfolio credit risk model that includes firm‐specific Markov‐switching regimes as well as individual stochastic and endogenous recovery rates. Using weekly credit default swap premiums for 35 financial firms, we analyze the credit risk of each of these companies and their statistical linkages, putting emphasis on the 2005–2012 period. Moreover, we study the systemic risk affecting both the banking and insurance subsectors.

Suggested Citation

  • Jean‐François Bégin & Mathieu Boudreault & Delia Alexandra Doljanu & Geneviève Gauthier, 2019. "Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 86(2), pages 263-296, June.
    • Handle: RePEc:bla:jrinsu:v:86:y:2019:i:2:p:263-296
    DOI: 10.1111/jori.12210
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    Cited by:

    1. Greg Niehaus & Jannes Rauch & Sabine Wende, 2019. "Regulation and the connectedness of insurers to the banking sector: International evidence," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(4), pages 393-420, December.
    2. Pedro Cadenas & Henryk Gzyl, 2021. "Diversification Can Control Probability of Default or Risk, but Not Both," JRFM, MDPI, vol. 14(2), pages 1-10, February.
    3. Marion Dupire & Christian Haddad & Regine Slagmulder, 2022. "The Importance of Board Risk Oversight in Times of Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 61(3), pages 319-365, June.

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