Financial network systemic risk contributions

  • 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 as well as 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. 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 supervision.

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Metadaten
Author:Nikolaus HautschORCiDGND, Julia Schaumburg, Melanie SchienleORCiDGND
URN:urn:nbn:de:hebis:30:3-324971
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2013,20
Series (Serial Number):CFS working paper series (2013, 20)
Publisher:Center for Financial Studies
Place of publication:Frankfurt, M.
Document Type:Working Paper
Language:English
Year of Completion:2013
Year of first Publication:2013
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2013/12/16
Tag:network topology estimation; systemic risk network; time-varying systemic risk contribution; value at risk
Note:
This paper replaces former working paper versions with title “Quantifying Time-Varying Marginal Systemic Risk Contributions”.
HeBIS-PPN:349976538
Institutes:Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C2 Single Equation Models; Single Variables / C21 Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions (Updated!)
C Mathematical and Quantitative Methods / C5 Econometric Modeling / C51 Model Construction and Estimation
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht