Financial Network Systemic Risk Contributions
dc.contributor.author | Hautsch, Nikolaus | |
dc.contributor.author | Schaumburg, Julia | |
dc.contributor.author | Schienle, Melanie | |
dc.date.accessioned | 2017-06-16T00:43:39Z | |
dc.date.available | 2017-06-16T00:43:39Z | |
dc.date.created | 2012-11-16 | |
dc.date.issued | 2012-08-31 | |
dc.date.submitted | 2012-08-31 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/5078 | |
dc.description.abstract | 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 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.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Value at Risk | eng |
dc.subject | Systemic risk contribution | eng |
dc.subject | systemic risk network | eng |
dc.subject | network topology | eng |
dc.subject | two-step quantile regression | eng |
dc.subject | time-varying parameters | eng |
dc.subject.ddc | 310 Statistik | |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Financial Network Systemic Risk Contributions | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-100205699 | |
dc.identifier.doi | http://dx.doi.org/10.18452/4426 | |
local.edoc.container-title | Sonderforschungsbereich 649: Ökonomisches Risiko | |
local.edoc.pages | 57 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-volume | 2012 | |
local.edoc.container-issue | 53 | |
local.edoc.container-year | 2012 | |
local.edoc.container-erstkatid | 2195055-6 |