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- W3123426409 abstract "Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. Using the U.S. life insurance industry as a laboratory, we present a model in which variable annuity (VA) guarantees and associated hedging operate within the regulatory capital framework to create incentives for insurers to overweight illiquid bonds (reach-for-yield). We then calibrate the model to insurer-level data, and show that the VA-writing insurers' collective allocation to illiquid bonds exacerbates system-wide fire sales in the event of negative asset shocks, plausibly erasing up to 20-70% of insurers' equity capital." @default.
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- W3123426409 date "2018-01-01" @default.
- W3123426409 modified "2023-10-16" @default.
- W3123426409 title "Insurers as Asset Managers and Systemic Risk" @default.
- W3123426409 doi "https://doi.org/10.2139/ssrn.3723422" @default.
- W3123426409 hasPublicationYear "2018" @default.
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