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.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2014-066
- 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
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Systemic Risk
Systemic Risk Network
Generalized Quantile
Quantile Single-Index Regression
Value at Risk
CoVaR
Lasso
- Event
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Geistige Schöpfung
- (who)
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Härdle, Wolfgang Karl
Sirotko-Sibirskaya, Natalia
Wang, Weining
- Event
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Veröffentlichung
- (who)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2014
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
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
- Härdle, Wolfgang Karl
- Sirotko-Sibirskaya, Natalia
- Wang, Weining
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2014
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TENET: Tail-Event drivenNETwork risk
Tail Event Driven ASset allocation
TEDAS - Tail EventDriven ASsetAllocation
Tail Event Driven Networks of SIFIs
Tail event driven networks of SIFIs
Tail event driven networks of SIFIs
TEDAS - Tail Event Driven ASset Allocation
Tail event driven networks of SIFIs
Tail event driven financial risk modelling
Tail Event Driven Factor Augmented Dynamic Model
Tail event driven asset allocation strategies for high-dimensional portfolios
Tail event driven ASset allocation: Evidence from equity and mutual funds' markets
TENET: Tail-Event drivenNETwork risk
Tail Event Driven ASset allocation
TEDAS - Tail EventDriven ASsetAllocation
Tail Event Driven Networks of SIFIs
Tail event driven networks of SIFIs
Tail event driven networks of SIFIs
TEDAS - Tail Event Driven ASset Allocation
Tail event driven networks of SIFIs
Tail event driven financial risk modelling
Tail Event Driven Factor Augmented Dynamic Model
Tail event driven asset allocation strategies for high-dimensional portfolios