• versus Microprudential Regulation
  • Common Exposures
  • Contagion
  • Liquidity modeling
  • Mass lapses
  • macroprudential surveillance
  • Systemic amplifiers
  • Triggers
  • NAIC Liquidity Stress Testing (LST) Framework

Common Exposures

  • 269 For instance, in 1991 six major life insurers, each with over $4 billion in assets, failed as a result of their common exposures to commercial real estate and junk bonds.

See Scott Harrington, Policyholder Runs, Life Insurance Company Failures, and Insurance Solvency Regulation, 15 Cato Rev Bus & Govt 27, 27 (1992).

2014 - LR - Regulating Systemic Risk in Insurance - Daniel Schwarcz and Steven L. Schwarcz -73p

Contagion is often characterised by a transmission in the form of a liquidation of assets and is therefore also linked to the liquidity position of the insurer.

  • In extreme cases, a large part of the insurance sector could start partly or fully selling certain asset exposures at a distress price, i.e. a fire sale of assets.
  • Such fire sales could be amplified by, for example, mass lapses, procyclical behaviour or the liquidity needs of insurers with a high exposure to insurance products with potential systemic features and/or a large activity in certain derivatives markets characterised by margin calls. (p14)

2018 11 -  Macroprudential provisions, measures and instruments for insurance - European Systemic Risk Board