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 as well as 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. 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 supervision.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper ; No. 2013/20
- 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
-
time-varying systemic risk contribution
systemic risk network
network topology estimation
Value at Risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hautsch, Nikolaus
Schaumburg, Julia
Schienle, Melanie
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2013
- Handle
- URN
-
urn:nbn:de:hebis:30:3-324971
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hautsch, Nikolaus
- Schaumburg, Julia
- Schienle, Melanie
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2013
Ähnliche Objekte (12)
Financial network systemic risk contributions
Financial network systemic risk contributions
Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Forecasting systemic impact in financial networks
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
Testing multiplicative error models using conditional moment tests
Modelling Intraday Trading Activity Using Box-Cox-ACD Models
Modelling financial high frequency data using point processes
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
Financial network systemic risk contributions
Financial network systemic risk contributions
Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Forecasting systemic impact in financial networks
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
Testing multiplicative error models using conditional moment tests
Modelling Intraday Trading Activity Using Box-Cox-ACD Models
Modelling financial high frequency data using point processes
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
Financial network systemic risk contributions
Financial network systemic risk contributions
Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Forecasting systemic impact in financial networks
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
Testing multiplicative error models using conditional moment tests
Modelling Intraday Trading Activity Using Box-Cox-ACD Models
Modelling financial high frequency data using point processes
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery