Systemic Risk, Contagion, and State-Dependent Sensitivities in Value-at-Risk Estimation: Evidence from Hedge Funds

Konferenzbeitrag

In this paper, we propose a state-dependent VaR (SDVaR) to estimate spill over effects among different financial institutions. We permit spill-over effects to change depending on the state of financial markets. We show that spill-over effects only exist during crisis periods; in calm times spill over effects tend to be zero. The results highlight that spill over probabilities that do not condition on the state of financial markets may substantially over- or understate the contribution of an asset class to systemic risk. Using this approach we show that hedge funds play a major role in the transmission of shocks to the other financial institutions.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Modeling Financial Market Risk ; No. F1-V3

Classification and Topics

• Classification: Wirtschaft ; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: State-dependent sensitivity (SDS) value-at-risk ; systemic risk ; contagion ; quantile regression ; hedge funds

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gropp, Reint E. ; Adams, Zeno ; Füss, Roland
• Event: Veröffentlichung
• (who): Verein für Socialpolitik
• (where): Frankfurt a. M.
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/37338
• Last update: 10.03.2025, 11:45 AM CET