Financial network systemic risk contributions

Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle

No 2013/20, CFS Working Paper Series from Center for Financial Studies (CFS)

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 as well as 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 U.S. financial system. Our approach can be used to monitor companies' systemic importance allowing for a transparent macroprudential supervision.

Keywords: time-varying systemic risk contribution; systemic risk network; network topology estimation; Value at Risk (search for similar items in EconPapers)
JEL-codes: C21 C51 C63 G01 G18 G32 G38 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ban, nep-net and nep-rmg
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Citations: View citations in EconPapers (35)

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Related works:
Journal Article: Financial Network Systemic Risk Contributions (2015)
Working Paper: Financial network systemic risk contributions (2012)
Working Paper: Financial network systemic risk contributions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:201320

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