Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/37338
Authors: 
Gropp, Reint
Adams, Zeno
Füss, Roland
Year of Publication: 
2010
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Modeling Financial Market Risk F1-V3
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.
Subjects: 
State-dependent sensitivity (SDS) value-at-risk
systemic risk
contagion
quantile regression
hedge funds
JEL: 
G23
C33
G14
Document Type: 
Conference Paper

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