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dc.contributor.authorGropp, Reinten_US
dc.contributor.authorAdams, Zenoen_US
dc.contributor.authorFüss, Rolanden_US
dc.date.accessioned2010-08-11T09:09:36Z-
dc.date.available2010-08-11T09:09:36Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/37338-
dc.description.abstractIn 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.isoengen_US
dc.publisherVerein für Socialpolitik Frankfurt a. M.en_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Modeling Financial Market Risk F1-V3en_US
dc.subject.jelG23en_US
dc.subject.jelC33en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordState-dependent sensitivity (SDS) value-at-risken_US
dc.subject.keywordsystemic risken_US
dc.subject.keywordcontagionen_US
dc.subject.keywordquantile regressionen_US
dc.subject.keywordhedge fundsen_US
dc.titleSystemic Risk, Contagion, and State-Dependent Sensitivities in Value-at-Risk Estimation: Evidence from Hedge Fundsen_US
dc.typeConference Paperen_US
dc.identifier.ppn654874697-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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