Systemic risk: Time-lags and persistence

Arbeitspapier

Common systemic risk measures focus on the instantaneous occurrence of triggering and systemic events. However, systemic events may also occur with a time-lag to the triggering event. To study this contagion period and the resulting persistence of institutions' systemic risk we develop and employ the Conditional Shortfall Probability (CoSP), which is the likelihood that a systemic market event occurs with a specific time-lag to the triggering event. Based on CoSP we propose two aggregate systemic risk measures, namely the Aggregate Excess CoSP and the CoSP-weighted time-lag, that reflect the systemic risk aggregated over time and average time-lag of an institution's triggering event, respectively. Our empirical results show that 15% of the financial companies in our sample are significantly systemically important with respect to the financial sector, while 27% of the financial companies are significantly systemically important with respect to the American non-financial sector. Still, the aggregate systemic risk of systemically important institutions is larger with respect to the financial market than with respect to non-financial markets. Moreover, the aggregate systemic risk of insurance companies is similar to the systemic risk of banks, while insurers are also exposed to the largest aggregate systemic risk among the financial sector.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ICIR Working Paper Series ; No. 20/16

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets ; Financial Institutions and Services: General
• Thema: Contagion Period ; Spillover Effects ; Systemic Risk ; Financial Crisis ; Financial Markets

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kubitza, Christian ; Gründl, Helmut
• Ereignis: Veröffentlichung
• (wer): Goethe University Frankfurt, International Center for Insurance Regulation (ICIR)
• (wo): Frankfurt a. M.
• (wann): 2016

Weitere Informationen

• Handle: http://hdl.handle.net/10419/141822
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ