No. 922 - Comparing the systemic risk of Italian insurers and banks

by Michele Leonardo Bianchi and Federica Pallante (IVASS)
April 2025
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This study analyzes the contribution and exposure to systemic risk of Italian banks and insurance companies by estimating two indicators on a daily basis over the period 2007-23. The first indicator (delta conditional value-at-risk, ΔCoVaR) assesses the impact of severe declines in the stock prices of a single intermediary on the overall index of banks and insurance companies as well as on the general Italian stock market index. The second indicator (marginal expected shortfall, MES) measures the effect of a crash in the two indices on the stock prices of each intermediary.

The ΔCoVaR estimates show that sharp declines in the stock prices of the largest banks and insurance companies would have a similar impact on the banking and insurance system. Unsurprisingly, however, the MES estimates indicate that a shock affecting the financial system as a whole (where the banking component is predominant) would have a greater impact on banks than on insurance companies.

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  1. 15 April 2025
    No. 922 - Comparing the systemic risk of Italian insurers and banks
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