Financial Network Systemic Risk Contributions
Nikolaus Hautsch (),
Julia Schaumburg () and
No SFB649DP2012-053, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649
We propose the realized systemic risk beta as a measure for financial companiesâ€™ contribution to systemic risk given network interdependence between firmsâ€™ 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 firmâ€™s Value-at-risk (VaR) on the systemâ€™s VaR. Suitable statistical inference reveals a multitude of relevant risk spillover channels and determines companiesâ€™ systemic importance in the U.S. financial system. Our approach can be used to monitor companiesâ€™ 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: G01 G18 G32 G38 C21 C51 C63 (search for similar items in EconPapers)
Pages: 53 pages
New Economics Papers: this item is included in nep-ban, nep-net and nep-rmg
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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:hum:wpaper:sfb649dp2012-053
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