Financial Network Systemic Risk Contributions

By Nikolaus Hautsch, Julia Schaumburg, Melanie Schienle. 2015

516 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/733f567e1c3a270cddd7914f449823c8c025b7c3

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Citations in the corpus

Extreme risk spillover network: application to financial institutions (2017, methodology): “These measures are widely used in the analysis of systemic risk, but Hautsch et al. (2015) point out that such measures as the SES and MES cannot capture the spillover effects driven by the topology of risk networks and may underestimate the systemic risk contribution when financial institutions…”
Single-Index-Based CoVaR With Very High-Dimensional Covariates (2018, background): “Furthermore, Hautsch, Schaumburg, and Schienle (2014) introduced an applicable measure of a firm’s systemic relevance, explicitly accounting for the company’s interconnectedness within the financial sector.”
A Network Approach to Portfolio Selection (2016, background): “…to the nodes and the links relate to the correlation of returns (Barigozzi and Brownlees, 2014; Billio et al., 2012; Bonanno et al., 2004; Diebold and Yilmaz, 2014; Hautsch et al., 2015; Mantegna, 1999; Onnela et al., 2003; Peralta, 2015; Tse et al., 2010; Vandewalle et al., 2001; Zareei, 2015).”
Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “Hautsch, Schaumburg, and Schienle (2015) define the systemic risk beta as the marginal effect of a firm’s VaR on the system’s VaR.”
Bayesian Tail Risk Interdependence Using Quantile Regression (2015, background): “…2008; Kuester et al., 2006; Taylor, 2008; Gerlach et al., 2011; Chen et al., 2012a,b,c); recently Adrian and Brunnermeier (2011), Chao et al. (2012), Fan et al. (2013), Hautsch et al. (2014), Chao et al. (2012) and Castro and Ferrari (2014) considered the same approach to also calculate the CoVaR.”
Why do some banks contribute more to global systemic risk? (2018, background): “Following Hou et al. (2011), we also exclude bank-years, if the number of zero return days is more than 80 percent in a given month of that year.”
NETS: Network estimation for time series (2019, unknown): “Email: m.barigozzi@lse.ac.uk Summary We model a large panel of time series as a vector autoregression where the autoregressive matrices and the inverse covariance matrix of the system innovations are assumed to be sparse.”
Systemic Risk and Bank Size (2018, unknown): “…in recent years and has led to the development of models of interbank lending and contagion through networks (Poledna et al., 2015; Kanno, 2015; Hautsch et al., 2015; Betz et al., 2016).1 Danielsson et al. (2016) question the reliability of current systemic risk measures on the basis that they…”
Syndication, Interconnectedness, and Systemic Risk (2018, unknown): “…Another way of interpreting this result is that interconnectedness of banks – that builds up during normal times – is a 6 Other market-based measures (e.g., based on stock return volatility) are developed in Diebold and Yilmaz (2014, 2015), Billio et al. (2012) and Hautsch et al. (2015).”
TENET: Tail-Event driven NETwork risk (2016, methodology): “Our choice of information set is more comprehensive than AB, and a similar motivation can be found in Hautsch et al. (2015).”