TY  - UNPD
A1  - Hautsch, Nikolaus
A1  - Schaumburg, Julia
A1  - Schienle, Melanie
T1  - Financial network systemic risk contributions
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2013,20
N2  - 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.
T3  - CFS working paper series - 2013, 20 
KW  - time-varying systemic risk contribution
KW  - systemic risk network
KW  - network topology estimation
KW  - value at risk
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/32497
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-324971
N1  - This paper replaces former working paper versions with title “Quantifying Time-Varying Marginal Systemic Risk Contributions”.
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -