TY  - UNPD
A1  - Kraft, Holger
A1  - Schmidt, Alexander
T1  - Systemic risk in the financial sector: what can we learn from option markets? : [version 12 july 2013]
T2  - SAFE working paper series ; No. 25
N2  - 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.
T3  - SAFE working paper - 25 
KW  - Systemic risk
KW  - Value-at-risk
KW  - Equity options
KW  - Implied volatility
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/31409
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-314099
UR  - http://ssrn.com/abstract=2294349
IS  - version 12 july 2013
EP  - 36
CY  - Frankfurt am Main
ER  -