Please use this identifier to cite or link to this item:
Adams, Zeno
Füss, Roland
Gropp, Reint
Year of Publication: 
Series/Report no.: 
SAFE Working Paper Series 20
In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system of quantile regressions for four sets of major financial institutions (commercial banks, investment banks, hedge funds, and insurance companies) we show that while small during normal times, equivalent shocks lead to considerable spillover effects in volatile market periods. Commercial banks and, especially, hedge funds appear to play a major role in the transmission of shocks to other financial institutions. Using daily data, we can trace out the spillover effects over time in a set of impulse response functions and find that they reach their peak after 10 to 15 days.
Risk spillovers
state-dependent sensitivity value-at-risk (SDSVaR)
quantile regression
financial institutions
hedge funds
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
468.21 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.