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

Abstract

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

Suggested Citation

Scott, Hal S. and Ricci, Kristin and Sarfatti, Aaron, SRISK as a Measure of Systemic Risk for Insurers: Oversimplified and Inappropriate (September 12, 2016). Available at SSRN: https://ssrn.com/abstract=2837784 or http://dx.doi.org/10.2139/ssrn.2837784

Hal S. Scott (Contact Author)

Harvard Law School ( email )

1557 Massachusetts Avenue
Cambridge, MA 02138
United States
617-495-4590 (Phone)
617-495-9593 (Fax)

Kristin Ricci

Oliver Wyman ( email )

1166 6th Avenue
New York City, NY
United States

Aaron Sarfatti

Oliver Wyman ( email )

1166 6th Avenue
New York City, NY
United States

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