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2011-11-03Buch DOI: 10.18452/4361
Calibration of self-decomposable Lévy models
dc.contributor.authorTrabs, Mathias
dc.date.accessioned2017-06-16T00:30:40Z
dc.date.available2017-06-16T00:30:40Z
dc.date.created2011-11-04
dc.date.issued2011-11-03
dc.date.submitted2011-11-03
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5013
dc.description.abstractWe propose the 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 and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm’s Value-at-risk (VaR) on the system’s VaR. Suitable 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 regulation.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectadaptationeng
dc.subjectEuropean optioneng
dc.subjectinfinite activity jump processeng
dc.subjectminimax rates non linear inverse problemeng
dc.subjectself-decomposabilityeng
dc.subject.ddc330 Wirtschaft
dc.titleCalibration of self-decomposable Lévy models
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100196266
dc.identifier.doihttp://dx.doi.org/10.18452/4361
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages50
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue73
local.edoc.container-year2011
local.edoc.container-erstkatid2195055-6

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