Abstract
This work aims at offering a parsimonious off-site evaluation approach for insurance sector. In a way, it computes an index for systemic risk of the whole insurance industry. Methodology consists the adaption of two well-known credit portfolio risk models: CreditMetrics and CreditRisk+. Main frame is built on CreditRisk+ single sector model and is enhanced by simulations following the CreditMetrics simulation based approach. It is shown that implementing the methodology developed at this paper, authority is able to follow the level of risk associated with the financial status of the sector and order the firms in terms of their riskiness. Moreover, methodology also allows users to compute the individual risk contribution of each insurance company.
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