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Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie >
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http://hdl.handle.net/10419/37338
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Gropp, Reint | | en_US |
| dc.contributor.author | | Adams, Zeno | | en_US |
| dc.contributor.author | | Füss, Roland | | en_US |
| dc.date.accessioned | | 2010-08-11T09:09:36Z | | - |
| dc.date.available | | 2010-08-11T09:09:36Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/37338 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Verein für Socialpolitik Frankfurt a. M. | | en_US |
| dc.relation.ispartofseries | | Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Modeling Financial Market Risk F1-V3 | | en_US |
| dc.subject.jel | | G23 | | en_US |
| dc.subject.jel | | C33 | | en_US |
| dc.subject.jel | | G14 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | State-dependent sensitivity (SDS) value-at-risk | | en_US |
| dc.subject.keyword | | systemic risk | | en_US |
| dc.subject.keyword | | contagion | | en_US |
| dc.subject.keyword | | quantile regression | | en_US |
| dc.subject.keyword | | hedge funds | | en_US |
| dc.title | | Systemic Risk, Contagion, and State-Dependent Sensitivities in Value-at-Risk Estimation: Evidence from Hedge Funds | | en_US |
| dc.type | | Conference Paper | | en_US |
| dc.identifier.ppn | | 654874697 | | - |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie
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