Systemic risk in the financial sector: what can we learn from option markets? : [version 12 july 2013]
- In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all US financial companies with publicly traded equity options, we extract their option-implied value-at-risks (VaRs) and measure the spillover effects between individual company VaRs and the option-implied VaR of an US financial index. First, we study the spillover effect of increasing company risks on the financial sector. Second, we analyze which companies are most affected if the tail risk of the financial sector increases. We find that key accounting and market valuation metrics such as size, leverage, balance sheet composition, market-to-book ratio and earnings have a significant influence on the systemic risk profile of a financial institution. In contrast to earlier studies, the employed panel vector autoregression (PVAR) estimator allows for a causal interpretation of the results.
Volltext Dateien herunterladen
Weitere Dienste
| Verfasserangaben: | Holger KraftGND, Alexander Schmidt |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-314099 |
| URL: | http://ssrn.com/abstract=2294349 |
| DOI: | https://doi.org/10.2139/ssrn.2294349 |
| Titel des übergeordneten Werkes (Deutsch): | SAFE working paper series ; No. 25 |
| Schriftenreihe (Bandnummer): | SAFE working paper (25) |
| Verlagsort: | Frankfurt am Main |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2013 |
| Jahr der Erstveröffentlichung: | 2014 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 20.08.2013 |
| Freies Schlagwort / Tag: | Equity options; Implied volatility; Systemic risk; Value-at-risk |
| Ausgabe / Heft: | version 12 july 2013 |
| Seitenzahl: | 41 |
| Letzte Seite: | 36 |
| HeBIS-PPN: | 348849494 |
| Institute: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
