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首页> 外文期刊>Journal of regulatory economics >Operational risk management and regulatory investment constraints on portfolio allocation: evidence from property and casualty insurers
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Operational risk management and regulatory investment constraints on portfolio allocation: evidence from property and casualty insurers

机译：操作风险管理和投资组合分配方面的监管投资约束：财产和意外保险公司的证据

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摘要

We examine an insurer's portfolio allocation choice in the context of a regulatory environment where investment in specific asset classes is constrained. We use a year- and insurer- specific proxy, the Investment Regulatory Stringency Index, to show that property and casualty insurers operating in more stringent regulatory environments allocate a smaller proportion of their investment portfolio to taxable assets. Given the market conditions, the environmental risks, and the economic pressure of the period under study, theory suggests the demand for taxable securities would otherwise be greater. We infer from this result that regulation is restricting investment in taxable assets in an undesirable manner. This result is consistent with prior literature. Lastly, we find that operational risk management can mitigate the investment constraints imposed by regulation.
机译：我们在特定资产类别的投资受到限制的监管环境下检查保险公司的投资组合分配选择。我们使用特定于年度和保险公司的代理人，即“投资监管严格性指数”来表明，在更严格的监管环境中运营的财产和意外伤害保险公司将其投资组合中的一小部分分配给应税资产。考虑到市场条件，环境风险和所研究时期的经济压力，理论认为应税证券的需求将会更大。从这一结果我们可以得出结论，法规以不希望的方式限制了应税资产的投资。该结果与现有文献一致。最后，我们发现运营风险管理可以减轻法规施加的投资约束。

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