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Title:Systemic Risk, Contagion, and State-Dependent Sensitivities in Value-at-Risk Estimation: Evidence from Hedge Funds PDF Logo
Authors:Gropp, Reint
Adams, Zeno
Füss, Roland
Issue Date:2010
Series/Report no.:Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Modeling Financial Market Risk F1-V3
Abstract:In this paper, we propose a state-dependent VaR (SDVaR) to estimate spill over effects among different financial institutions. We permit spill-over effects to change depending on the state of financial markets. We show that spill-over effects only exist during crisis periods; in calm times spill over effects tend to be zero. The results highlight that spill over probabilities that do not condition on the state of financial markets may substantially over- or understate the contribution of an asset class to systemic risk. Using this approach we show that hedge funds play a major role in the transmission of shocks to the other financial institutions.
Subjects:State-dependent sensitivity (SDS) value-at-risk
systemic risk
contagion
quantile regression
hedge funds
JEL:G23
C33
G14
Document Type:Conference Paper
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie

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