Insurers as Asset Managers and Systemic Risk
Insurers as Asset Managers and Systemic Risk
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保险公司作为资产管理者和系统性风险
DOI：
10.2139/ssrn.3096147
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
W. Wagner
中科院分区：
文献类型：
--
作者：
Chotibhak Jotikasthira;A. Ellul;A. Kartasheva;C. Lundblad;W. Wagner
金融中介机构经常提供类似于价外看跌期权的担保，使它们面临不可分散的尾部风险。我们提出了一个模型的背景下，美国人寿保险业的监管框架激励价值最大化的保险公司对冲变额年金（VA）的保证，虽然不完美，并转移风险到高风险和非流动性债券。我们校准模型的保险公司层面的数据，并确定VA引起的变化，保险公司的风险敞口。在发生重大资产和担保冲击且缺乏监管干预的情况下，这些共同风险敞口加剧了全系统范围内为维持资本充足率而进行的甩卖，不可避免地抹去了保险公司一半以上的股本。
Financial intermediaries often provide guarantees resembling out-of-the-money put options, exposing them to undiversifiable tail risk. We present a model in the context of the U.S. life insurance industry in which the regulatory framework incentivizes value-maximizing insurers to hedge variable annuity (VA) guarantees, though imperfectly, and shifts risks into high-risk and illiquid bonds. We calibrate the model to insurer-level data and identify the VA-induced changes in insurers’ risk exposures. In the event of major asset and guarantee shocks and absent regulatory intervention, these shared exposures exacerbate system-wide fire sales to maintain capital ratios, plausibly erasing over half of insurers’ equity capital.