Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/79626 
Year of Publication: 
2012
Series/Report no.: 
SFB 649 Discussion Paper No. 2012-053
Publisher: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Abstract: 
We propose the realized 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 realized systemic risk beta as the total 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

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