Insurance and Interconnectedness in the Financial Services Industry

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are input variables. However, there are stopping rules based on the percentage of total variation explained by components. We decompose the covariance matrix of monthly portfolio returns using principal components analysis. For example, if the first K principal components explain most of the variability in returns, the model is:
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Page 1 and 2: Insurance and Interconnectedness in
Page 3 and 4: Insurance and Interconnectedness in
Page 5 and 6: elationships with banks and expansi
Page 7 and 8: Life insurers **************** Inse
Page 9 and 10: Financial guarantee insurers Financ
Page 11: • Within the insurance industry,
Page 15 and 16: are considered significant (Tabachn
Page 17 and 18: We graph the first two principal co
Page 19 and 20: directionality is reversed in the c
Page 21 and 22: REFERENCES Acharya, Viral V., Lasse
Page 23 and 24: TABLE 1 Principal Components Analys
Page 25 and 26: Table 2, Panel B, continued Eigenve
Page 27 and 28: TABLE 3, CONTINUED PANEL E PROPERTY
Page 29 and 30: TABLE 4, CONTINUED PANEL E PROPERTY
Page 31 and 32: FIGURE 2 Proportion of insurance as
Page 33 and 34: FIGURE 4 Principal components analy
Page 35: FIGURE 6 Variation explained by pri

Insurance and Interconnectedness in the Financial Services Industry

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