Zhang, Xuan, Kim, Minjoo 
ORCID: 0000-0002-5454-2257, Yan, Cheng and Zhao, Yang
(2024)
Default dependence in the insurance and banking sectors: A copula approach.
Journal of International Financial Markets, Institutions and Money, 91.
p. 101911.
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Default dependence in the insurance and banking sectors - a copula approach.pdf - Author Accepted Manuscript Available under License Creative Commons Attribution. Download (939kB) | Preview |
Abstract
We employ a time-varying asymmetric copula model that combines the generalized autoregressive score model with the generalized hyperbolic skewed t copula to capture the dynamics and asymmetry of default dependence between insurers and banks. We identify the term structure of default dependence between these two sectors. The short-term and long-term dependence of default risk rise and converge during financial crises. We explore the determinants of the time-series variation in default dependence. While traditional macro variables can explain only a small portion of the variation in default dependence, we find a significant negative correlation between default dependence and global geopolitical risk.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Brain Disorders |
| Divisions: | Faculty of Humanities and Social Sciences > School of Management |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 21 Dec 2023 08:22 |
| Last Modified: | 15 Mar 2024 16:07 |
| DOI: | 10.1016/j.intfin.2023.101911 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3177580 |
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