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2012-08-31Buch DOI: 10.18452/4426
Financial Network Systemic Risk Contributions
dc.contributor.authorHautsch, Nikolaus
dc.contributor.authorSchaumburg, Julia
dc.contributor.authorSchienle, Melanie
dc.date.accessioned2017-06-16T00:43:39Z
dc.date.available2017-06-16T00:43:39Z
dc.date.created2012-11-16
dc.date.issued2012-08-31
dc.date.submitted2012-08-31
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5078
dc.description.abstractWe 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 and 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. 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.subjectValue at Riskeng
dc.subjectSystemic risk contributioneng
dc.subjectsystemic risk networkeng
dc.subjectnetwork topologyeng
dc.subjecttwo-step quantile regressioneng
dc.subjecttime-varying parameterseng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleFinancial Network Systemic Risk Contributions
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100205699
dc.identifier.doihttp://dx.doi.org/10.18452/4426
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages57
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2012
local.edoc.container-issue53
local.edoc.container-year2012
local.edoc.container-erstkatid2195055-6

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