TY  - RPRT
A1  - Kraft, Holger
A1  - Schmidt, Alexander
T1  - Systemic risk in the financial sector: what can we learn from option markets? : [version 10 february 2014]
N2  - We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the spillover effects between individual company value-at-risks and the option-implied value-at-risk of a financial index. First, we study the spillover effect of increasing company risks on the financial sector. Second, we analyze which companies are mostly affected if the tail risk of the financial sector increases. Key metrics such as size, leverage, market-to-book ratio and earnings have a significant influence on the systemic risk profiles of financial institutions.
KW  - systemic risk
KW  - value-at-risk
KW  - equity options
KW  - implied volatility
KW  - panel vector autoregression
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/35010
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-350105
UR  - http://ssrn.com/abstract=2288073
IS  - version 10 february 2014
EP  - 43
ER  -