TY  - UNPD
A1  - Betz, Frank
A1  - Hautsch, Nikolaus
A1  - Peltonen, Tuomas
A1  - Schienle, Melanie
T1  - Systemic risk spillovers in the European banking and sovereign network : [Version September 10, 2014]
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 467
N2  - We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The framework is applied to a system of 51 large European banks and 17 sovereigns through the period 2006 to 2013, utilizing both equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis and how it is reflected in network statistics and systemic risk measures. Illustrating the usefulness of the framework as a monitoring tool, we provide indication for the fragmentation of the European financial system having peaked and that recovery has started.
T3  - CFS working paper series - 467 
KW  - systemic risk contribution
KW  - tail dependence
KW  - network topology
KW  - sovereignbank linkages
KW  - Value-at-Risk
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/35086
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-350865
UR  - http://ssrn.com/abstract=2504400
IS  - September 10, 2014
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -