Arbeitspapier
TENET: Tail-Event driven NETwork risk
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a single-index model for a generalized quantile regression framework. We can thus include more financial institutions into the analysis, to measure their interdependencies in tails and, at the same time, to take into account non-linear relationships between them. A empirical application on a set of 200 publicly traded U. S. nancial institutions provides useful rankings of systemic exposure and systemic contribution at various stages of financial crisis. Network analysis, its behaviour and dynamics, allows us to characterize a role of each sector in the financial crisis and yields a new perspective of the nancial markets at the U. S. financial market 2007 - 2012.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2014-066
- Klassifikation
-
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
- Thema
-
Systemic Risk
Systemic Risk Network
Generalized Quantile
Quantile Single-Index Regression
Value at Risk
CoVaR
Lasso
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Härdle, Wolfgang Karl
Sirotko-Sibirskaya, Natalia
Wang, Weining
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Härdle, Wolfgang Karl
- Sirotko-Sibirskaya, Natalia
- Wang, Weining
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2014
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