Financial network systemic risk contributions
- 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.
| Author: | Nikolaus HautschORCiDGND, Julia Schaumburg, Melanie SchienleORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-324971 |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2013,20 |
| Series (Serial Number): | CFS working paper series (2013, 20) |
| Publisher: | Center for Financial Studies |
| Place of publication: | Frankfurt, M. |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2013 |
| Year of first Publication: | 2013 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2013/12/16 |
| Tag: | network topology estimation; systemic risk network; time-varying systemic risk contribution; value at risk |
| Note: | This paper replaces former working paper versions with title “Quantifying Time-Varying Marginal Systemic Risk Contributions”. |
| HeBIS-PPN: | 349976538 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Classification: | C Mathematical and Quantitative Methods / C2 Single Equation Models; Single Variables / C21 Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions (Updated!) |
| C Mathematical and Quantitative Methods / C5 Econometric Modeling / C51 Model Construction and Estimation | |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
