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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/56721
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| Title: | | Financial network systemic risk contributions  |
| 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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