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Financial Network Systemic Risk Contributions(2015)
2019-05-16 08:57  

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.

1 Financial Network Systemic Risk Contributions.pdf

   

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