SRISK as a Measure of Systemic Risk for Insurers: Oversimplified and Inappropriate
18 Pages Posted: 15 Sep 2016 Last revised: 28 Sep 2016
Date Written: September 12, 2016
The SRISK measure has been used to measure the relative systemic risk for financial institutions, ranking some insurers as vulnerable as banks to large capital shortfalls in stressed macroeconomic environments. This paper argues that the assumptions underpinning the SRISK measure are inappropriate for insurers and hence do not depict an accurate representation of insurer systemic risk.
Keywords: SRISK, Systemic Risk, Insurers, Financial Crisis
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