Financial network systemic risk contributions

Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle

No 2012-053, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

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.

Keywords: Systemic risk contribution; systemic risk network; Value at Risk; network topology; two-step quantile regression; time-varying parameters (search for similar items in EconPapers)
JEL-codes: C21 C51 C63 G01 G18 G32 G38 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Financial Network Systemic Risk Contributions (2015)
Working Paper: Financial network systemic risk contributions (2013)
Working Paper: Financial network systemic risk contributions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2012-053

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