Arbeitspapier
Spillover effects among financial institutions: A state-dependent sensitivity value-at-risk approach
In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system of quantile regressions for four sets of major financial institutions (commercial banks, investment banks, hedge funds, and insurance companies) we show that while small during normal times, equivalent shocks lead to considerable spillover effects in volatile market periods. Commercial banks and, especially, hedge funds appear to play a major role in the transmission of shocks to other financial institutions. Using daily data, we can trace out the spillover effects over time in a set of impulse response functions and find that they reach their peak after 10 to 15 days.
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 20
- Klassifikation
-
Wirtschaft
Financial Crises
General Financial Markets: General (includes Measurement and Data)
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
- Thema
-
Risk spillovers
state-dependent sensitivity value-at-risk (SDSVaR)
quantile regression
financial institutions
hedge funds
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Adams, Zeno
Füss, Roland
Gropp, Reint E.
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
- (wo)
-
Frankfurt a. M.
- (wann)
-
2013
- DOI
-
doi:10.2139/ssrn.2267853
- Handle
- URN
-
urn:nbn:de:hebis:30:3-305737
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Adams, Zeno
- Füss, Roland
- Gropp, Reint E.
- Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
Entstanden
- 2013
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