Caporale, Guglielmo Maria
[VerfasserIn]
;
Cerrato, Mario
[Sonstige Person, Familie und Körperschaft];
Zhang, Xuan
[Sonstige Person, Familie und Körperschaft]
Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
Erschienen in:CESifo Working Paper Series ; No. 5971
Umfang:
1 Online-Ressource (41 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2814915
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 30, 2016 erstellt
Beschreibung:
This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK. Compared to earlier studies, it uses a much larger sample including 30 years of data for 515 firms, and also considers a much wider set of possible determinants of credit risk. The empirical results suggest that macroeconomic and firm-specific factors both play important roles. Other key findings are the following: credit risk varies across firms depending on their business lines; there is default clustering in the GI industry; different reinsurance levels also affect the credit risk of insurance firms. The implications of these findings for regulators of GI firms under the coming Solvency II are discussed