Abstract
This study explored the spillover effect of the banking sector on the systemic risk of the insurance sector. We selected 27 listed insurers from China, South Korea, Japan and Singapore, and built a double-CoVaR model based on monthly data for 2012–2021. We explored the impact mechanism by decomposing the spillover effect and conducted regression analysis to determine factors influencing net spillover. First, the banking sector has positive spillover on insurance systemic risk. Second, the banking sector affects insurance systemic risk mainly through direct risk spillover. Third, the size, asset similarity and leverage of insurers significantly impact net spillover. This paper contributes to the previous literature and regulation by providing a methodology for predicting risk spillovers using a new model and an up-to-date data.
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