Insurers as Asset Managers and Systemic Risk

• 成果类型: Article
• 署名作者: Ellul, Andrew; Jotikasthira, Chotibhak; Kartasheva, Anastasia; Lundblad, Christian T.; Wagner, Wolf
• 署名单位: Indiana University System; Indiana University Bloomington; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Southern Methodist University; University of St Gallen; University of North Carolina; University of North Carolina Chapel Hill; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac056
• 发表日期: 2022
• 页码: 5483
• 关键词: market; SECURITIZATIONS; liquidation; INVESTMENT; industry; POLICY; sales

摘要

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.