Arbeitspapier
Forecasting systemic impact in financial networks
We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the 2008/9 financial crisis, we demonstrate how the approach can be used for timely systemic risk monitoring of large European banks and insurance companies. We predict firms' systemic relevance as the marginal impact of individual downside risks on systemic distress. The so-called systemic risk betas account for a company's position within the network of financial interdependencies in addition to its balance sheet characteristics and its exposure towards general market conditions. Relying only on publicly available daily market data, we determine time-varying systemic risk networks, and forecast systemic relevance on a quarterly basis. Our empirical findings reveal time-varying risk channels and firms' specific roles as risk transmitters and/or risk recipients.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2013-008
- Klassifikation
-
Wirtschaft
Financial Crises
- Thema
-
forecasting systemic risk contributions
time-varying systemic risk network
model selection with regularization in quantiles
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hautsch, Nikolaus
Schaumburg, Julia
Schienle, Melanie
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hautsch, Nikolaus
- Schaumburg, Julia
- Schienle, Melanie
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2013
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