Measuring Systemic Risk in the Finance and Insurance Sectors

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Financial Connections and Systemic Risk (2010, background): “For example, Boyson, Stahel and Stulz (2008) provide evidence of such externalities within the hedge fund sector, while 5 Billio et al. (2010) measure the interconnectedness among hedge funds, banks, brokers, and insurance companies and their impact on systemic risk.”
Modeling financial contagion using mutually exciting jump processes (2015, unknown): “In the context of risk management, Granger causality has been proposed as a measure of the degree of connectivity between markets and their potential to generate systemic risk (see Billio et al. (2010)).”
Systemic Co-Jumps (2017, unknown): “Bollerslev et al. (2008a) use common jumps to explain jumps in the aggregated market index and discuss that, for asset allocation, it is more important to be able to detect jumps occurring simultaneously among a large number of assets, because the effect of co-jumps in a pair of assets is negligible”