Abstract
The current sovereign debt crisis in the Euro-Zone is a cause of major concern for European insurers. Especially the fears about increased sovereign credit risk in Italy—leading to higher risk premia—may result in major difficulties because many insurance companies have invested in Italian government bonds. Therefore, this paper examines the relationship between German and Italian government bond yields using techniques of cointegration analysis. Furthermore, implications for insurance companies and regulators (focussing on Solvency II) are discussed.
Zusammenfassung
Die aktuelle Staatsschuldenkrise in der Euro-Zone löst große Bedenken in der europäischen Versicherungswirtschaft aus. Vor allem die Sorgen bezüglich eines größeren Kreditrisikos des Staates Italien – welche zu erhöhten Risikoprämien führen – können Probleme bei Versicherern auslösen, da viele Unternehmen italienische Staatsanleihen gekauft haben. Folglich betrachtet diese Studie den Zusammenhang zwischen den Renditen deutscher und italienischer Papiere. Dabei werden Techniken der Kointegrationsanalyse genutzt. Zudem erfolgt die Diskussion der Implikationen der Ergebnisse für die Versicherungswirtschaft und für den Regulator (unter besonderer Berücksichtigung von Solvency II).
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Basse, T., Friedrich, M. & Kleffner, A. Italian government debt and sovereign credit risk: an empirical exploration and some thoughts about consequences for European insurers. ZVersWiss 101, 571–579 (2012). https://doi.org/10.1007/s12297-012-0208-0
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DOI: https://doi.org/10.1007/s12297-012-0208-0