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Title:Financial network systemic risk contributions PDF Logo
Authors:Hautsch, Nikolaus
Schaumburg, Julia
Schienle, Melanie
Issue Date:2011
Series/Report no.:SFB 649 discussion paper 2011-072
Abstract:We propose the 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 and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm's Value-at-risk (VaR) on the system's VaR. Suitable 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 regulation.
Subjects:systemic risk contribution
systemic risk network
Value at Risk
network topology
two-step quantile regression
time-varying parameters
JEL:G01
G18
G32
G38
C21
C51
C63
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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