Development of a Network Model for Identification and Regulation of Systemic Risk in the Financial System

 Research Projects in Risk Management

The Casualty Actuarial Society, Canadian Institute of Actuaries, and the Society of Actuaries' Joint Risk Management Section is pleased to make available a research report in which a network approach is taken to characterize the systemic risk of two nontraditional insurance industries: bond insurer industry and the CDS market. These industries were chosen since traditional insurance industries do not generate significant systemic risk. The report was authored by Risklighthouse, LLC.

Materials

Development of a Network Model for Identification and Regulation of Systemic Risk in the Financial System Report

Bond Insurer Network Model

CDS Network Model

Thank You

The Joint Risk Management Section would like to thank the following individuals for their input and review:

Edson Edwards
Glenn Meyers
Dave Sandberg
Jesse Schwartz
Henry Siegel
Steve Strommen
Robert Wolf
Steve Siegel, Research Actuary
Barbara Scott, Research Administrator

Questions Or Comments?

If you have comments or questions, please send an email to research@soa.org.

Disclaimer:
The report, its accompanying models, software tools and other associated documentation do not represent an official position, statement, or endorsement of the Sponsoring Organizations. The Sponsoring Organizations and the authors make no representation or warranty, expressed or implied, regarding the software as to quality, accuracy, reliability, suitability or otherwise, and DISCLAIM ANY EXPRESS OR IMPLIED WARRANTY OF MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE. The Sponsoring Organizations and the authors make no representation or warranty of non-infringement of proprietary rights of others with respect to the software. Further, the Sponsoring Organizations and the authors make no warranty that the software is free from errors, defects, worms, viruses or other elements or codes that manifest contaminating or destructive properties. The user assumes all risks relating to the use, outputs, analyses, results and performance of the software, regardless of whether the software is used alone or with other software. NEITHER THE SPONSORING ORGANIZATIONS NOR THE AUTHORS SHALL BE LIABLE FOR ANY LOSS OR DAMAGE ARISING FROM THE USE OF, RELIANCE ON, OR THE PERFORMANCE OF THE SOFTWARE OR ITS ACCOMPANYING INSTRUCTIONS OR DOCUMENTATION. IN NO EVENT SHALL THE SPONSORING ORGANIZATIONS OR THE AUTHORS BE LIABLE FOR ANY INDIRECT, INCIDENTAL OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS) EVEN IF APPRISED OF THE POSSIBILITY OF SUCH DAMAGES.