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2013-01-30Buch DOI: 10.18452/4448
Forecasting systemic impact in financial networks
dc.contributor.authorHautsch, Nikolaus
dc.contributor.authorSchaumburg, Julia
dc.contributor.authorSchienle, Melanie
dc.date.accessioned2017-06-16T00:48:03Z
dc.date.available2017-06-16T00:48:03Z
dc.date.created2013-02-25
dc.date.issued2013-01-30
dc.date.submitted2013-01-30
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5100
dc.description.abstractWe propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the 2008/9 financial crisis, we demonstrate how the approach can be used for timely systemic risk monitoring of large European banks and insurance companies. We predict firms’ systemic relevance as the marginal impact of individual downside risks on systemic distress. The so-called systemic risk betas account for a company’s position within the network of financial interdependencies in addition to its balance sheet characteristics and its exposure towards general market conditions. Relying only on publicly available daily market data, we determine time-varying systemic risk networks, and forecast systemic relevance on a quarterly basis. Our empirical findings reveal time-varying risk channels and firms’ specific roles as risk transmitters and/or risk recipients.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectmodel selection with regularization in quantileseng
dc.subjectForecasting systemic risk contributionseng
dc.subjecttime-varying systemic risk networkeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleForecasting systemic impact in financial networks
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100207417
dc.identifier.doihttp://dx.doi.org/10.18452/4448
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages28
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2013
local.edoc.container-issue8
local.edoc.container-year2013
local.edoc.container-erstkatid2195055-6

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