**Contents**


## **About the Special Issue Editor**

**Weidong Tian** is currently a Professor of Finance and a Distinguished Professor of Risk Management and Insurance at the University of North Carolina, Charlotte. Dr. Tian served as a faculty member at the University of Waterloo and a visiting scholar at the Sloan School of Management at MIT. He also held various positions in financial institutions before joining UNC Charlotte. As a well-recognized expert in asset pricing models and risk management, his primary research interests are asset pricing, asset allocation, derivatives, and risk management. Dr. Tian has published over 30 articles in top and highly ranked academic journals in finance, mathematical finance, and risk management. The book he edited *Commercial Banking Risk Management: Regulation in the Wake of the Financial Crisis*, Palgrave Macmillan, is viewed as the most comprehensive in this area, and its Chinese translation was published in 2019.

## **Preface to "Systemic Risk and Reinsurance"**

Since the 2008–2009 financial crisis, it is widely recognized that there exist essential flaws in the supervisory system and that further regulatory measures must be established in the financial sector. Many proposals under consideration or already embraced by regulatory authorities focus on the "systemically important financial institutions" or banks "too big/connected to fail". However, insurers and banks played markedly different roles in the financial crisis. Therefore, it is essential to study the systemic risk for the insurer and the nature of systemic risk from the reinsurance perspective. It is also important to examine how insurance business models, such as capital insurance, provide an alternative approach to systemic risk.

This present volume provides some novel approaches to systemic risk. It commences with three articles on the dynamic of indirect connections between the insurance and banking sector, and other market indices from a scientific and network perspective. Denkowska and Wanat (2020) suggest a hybrid approach to the analysis of interlinkage dynamics based on combining the copula-DCC-GARCH model and minimum spanning trees (MST). Vodenska, Becker, Zhou, Jenett, Stanley, and Havlin (2016) construct a unique network of market indices and currencies in 56 countries, and study the community formations within the network before and after the crisis period. Hauton and Heam (2015) particularly address the insurance sector and the banking sector together, and their unique roles in a financial conglomerate.

Two articles on new capital requirements follow. From a reinsurance perspective, Panttser and Tian (2013) provide a comprehensive welfare analysis of capital insurance on financial institutions and insurance companies, which can be viewed as capital too-large-to-fail. On the other hand, Clemente, Savelli, and Zappa (2015) study the impact of reinsurance strategies on new capital requirements for premium risk in insurance companies.

Two articles focus on risk measures and optimality afterward. Li and Xu (2013) solve an optimal portfolio choice problem under a widely used CVaR constraint, and this CVaR regulatory constraint is implemented by both the banking sector and the insurance sector. Finally, Balbas et al. (2013) provides a general mathematical method to deal with the coherent risk and deviation measure in one integrated framework.

> **Weidong Tian** *Special Issue Editor*

*Article*
