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Assessing the contribution of South African Insurance Firms to Systemic Risk

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Listed:
  • Zulu, Thulani
  • Manguzvane, Mathias Mandla
  • Bonga-Bonga, Lumengo

Abstract

In light of the crucial contribution insurance firms make to global investment, this paper examines the extent of systemic risks facing emerging market insurance, with a particular focus on South Africa, one of the African continent's most prominent emerging economies. Contrary to past studies, the paper relies on delta conditional value at risk (∆CoVaR) based dynamic conditional correlation (DCC)-GARCH model to this end. Moreover, the paper assesses how selected developed economies contribute to the systemic of the South African insurance industry. The results of the empirical analysis show that Santam, Sanlam, and Momentum Holdings account for the largest systemic risks. At the same time, the least contributors are Discovery and Liberty. Meanwhile, Australia and Japan appear to contribute the most to systemic risk in the South African insurance industry. Moreover, the paper finds that periods of economic turmoil significantly increased developed markets' systemic risk contributions to the South African insurance industry.

Suggested Citation

  • Zulu, Thulani & Manguzvane, Mathias Mandla & Bonga-Bonga, Lumengo, 2023. "Assessing the contribution of South African Insurance Firms to Systemic Risk," MPRA Paper 116815, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:116815
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    References listed on IDEAS

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    Cited by:

    1. Xiang, Youtao & Borjigin, Sumuya, 2024. "Investment network and stock’s systemic risk contribution: Evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 113-132.

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    More about this item

    Keywords

    Delta conditional value at risk; dcc-gjr-garch; systemically important financial institutions.;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F3 - International Economics - - International Finance
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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