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Financial Network Systemic Risk Contributions

Nikolaus Hautsch (), Julia Schaumburg () and Melanie Schienle

No SFB649DP2012-053, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

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: G01 G18 G32 G38 C21 C51 C63 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2012-08
New Economics Papers: this item is included in nep-ban, nep-net and nep-rmg
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Related works:
Journal Article: Financial Network Systemic Risk Contributions (2015) Downloads
Working Paper: Financial network systemic risk contributions (2013) Downloads
Working Paper: Financial Network Systemic Risk Contributions (2011) Downloads
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