Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56721 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2011-072
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
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
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
5.76 MB





Publikationen in EconStor sind urheberrechtlich geschützt.