Arbeitspapier
Financial network systemic risk contributions
We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the realized systemic risk beta as the total time-varying marginal effect of a firm's Value-at-risk (VaR) on the system's VaR. Suitable statistical inference reveals a multitude of relevant risk spillover channels and determines companies' systemic importance in the U.S. financial system. Our approach can be used to monitor companies' systemic importance allowing for a transparent macroprudential regulation.
- Language
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Englisch
- Bibliographic citation
-
Series: SFB 649 Discussion Paper ; No. 2012-053
- Classification
-
Wirtschaft
Financial Crises
General Financial Markets: Government Policy and Regulation
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Corporate Finance and Governance: Government Policy and Regulation
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Model Construction and Estimation
Computational Techniques; Simulation Modeling
- Subject
-
Systemic risk contribution
systemic risk network
Value at Risk
network topology
two-step quantile regression
time-varying parameters
Bank
Finanzsektor
Unternehmensnetzwerk
Systemrisiko
Risikomaß
USA
- Event
-
Geistige Schöpfung
- (who)
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Hautsch, Nikolaus
Schaumburg, Julia
Schienle, Melanie
- Event
-
Veröffentlichung
- (who)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hautsch, Nikolaus
- Schaumburg, Julia
- Schienle, Melanie
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2012
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