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dc.creatorAdams, Zeno
dc.creatorFüss, Roland
dc.creatorGropp, Reint E.
dc.date.accessioned2021-09-28T09:17:04Z
dc.date.available2021-09-28T09:17:04Z
dc.date.issued2012-09-01
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2121
dc.description.abstractIn this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system of quantile regressions for four sets of major financial institutions (commercial banks, investment banks, hedge funds, and insurance companies) we show that while small during normal times, equivalent shocks lead to considerable spillover effects in volatile market periods. Commercial banks and, especially, hedge funds appear to play a major role in the transmission of shocks to other financial institutions. Using daily data, we can trace out the spillover effects over time in a set of impulse response functions and find that they reach their peak after 10 to 15 days.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectSystemic Risk Lab
dc.subjectFinancial Institutions
dc.titleSpillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1375?Commercial Bank Index
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1439?Investment Bank Index
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1427?HFRX
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1438?Insurance Company Index
dc.source.filename20_SSRN-id2267853_pub
dc.identifier.safeno20
dc.subject.keywordsrisk spillovers
dc.subject.keywordsstate-dependent sensitivity value-at-risk (sdsvar)
dc.subject.keywordsquantile regression
dc.subject.keywordsfinancial institutions
dc.subject.keywordshedge funds
dc.subject.jelG01
dc.subject.jelG10
dc.subject.jelG24
dc.subject.topic1testimony
dc.subject.topic1mortgage
dc.subject.topic1dekabank
dc.subject.topic2euro
dc.subject.topic2die
dc.subject.topic2sofern
dc.subject.topic3brown
dc.subject.topic3graph
dc.subject.topic3http
dc.subject.topic1nameCorporate Governance
dc.subject.topic2nameFiscal Stability
dc.subject.topic3nameSystematic Risk
dc.identifier.doi10.2139/ssrn.2267853


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Attribution-ShareAlike 4.0 International
Except where otherwise noted, this item's license is described as Attribution-ShareAlike 4.0 International