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Article | 13-June-2021

A dynamic MST-deltaCoVaR model of systemic risk in the European insurance sector

This work is a response to the EIOPA paper entitled ‘Systemic risk and macroprudential policy in insurance’, which asserts that in order to evaluate the potential systemic risk (SR), the build-up of risk, especially risk arising over time, should be taken into account, as well as the interlinkages occurring in the financial sector and the whole economy. The topological indices of minimum spanning trees (MST) and the deltaCoVaR measure are the main tools used to analyse the systemic

Anna Denkowska, Stanisław Wanat

Statistics in Transition New Series, Volume 22 , ISSUE 2, 173–188

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