Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/87703 
Year of Publication: 
2013
Series/Report no.: 
CFS Working Paper No. 2013/20
Publisher: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
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.
Subjects: 
time-varying systemic risk contribution
systemic risk network
network topology estimation
Value at Risk
JEL: 
G01
G18
G32
G38
C21
C51
C63
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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