Financial Network Systemic Risk Contributions

Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle

Review of Finance, 2015, vol. 19, issue 2, 685-738

Abstract: We propose the realized systemic risk beta as a measure of 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. Statistical inference reveals a multitude of relevant risk spillover channels and determines companies’ systemic importance in the US financial system. Our approach can be used to monitor companies’ systemic importance, enabling transparent macroprudential supervision.

Date: 2015
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Citations: View citations in EconPapers (204)

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Working Paper: Financial network systemic risk contributions (2013)
Working Paper: Financial network systemic risk contributions (2012)
Working Paper: Financial network systemic risk contributions (2011)
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