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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Gropp, Reint E. | en |
dc.contributor.author | Adams, Zeno | en |
dc.contributor.author | Füss, Roland | en |
dc.date.accessioned | 2010-08-11T09:09:36Z | - |
dc.date.available | 2010-08-11T09:09:36Z | - |
dc.date.issued | 2010 | - |
dc.identifier.uri | http://hdl.handle.net/10419/37338 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aVerein für Socialpolitik |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Modeling Financial Market Risk |xF1-V3 | en |
dc.subject.jel | G23 | en |
dc.subject.jel | C33 | en |
dc.subject.jel | G14 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | State-dependent sensitivity (SDS) value-at-risk | en |
dc.subject.keyword | systemic risk | en |
dc.subject.keyword | contagion | en |
dc.subject.keyword | quantile regression | en |
dc.subject.keyword | hedge funds | en |
dc.title | Systemic Risk, Contagion, and State-Dependent Sensitivities in Value-at-Risk Estimation: Evidence from Hedge Funds | - |
dc.type | Conference Paper | en |
dc.identifier.ppn | 654874697 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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