Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach

By Zeno Adams, Roland Füss, Reint Gropp. Journal of Financial and Quantitative Analysis, 2014

138 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/889b50a493172c9e03c4faa67a2bcc32abc83faf

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Gangjin Wang
2. Chi Xie
3. Thorsten Glück
4. Zeno Adams
5. Kaijian He
6. H. Eugene Stanley
7. Ladislav Kristoufek
8. Ling-Yun He

In Finance

1. Thorsten Glück
2. Chi Xie
3. Gangjin Wang
4. Zeno Adams
5. Kaijian He
6. H. Eugene Stanley
7. Ladislav Kristoufek

Citations in the corpus

• Financialization in commodity markets: A passing trend or the new normal? (2015, methodology): “We thereby apply an empirical approach based on risk spillovers (Adams et al., 2014).”
• Extreme risk spillover network: application to financial institutions (2017, background): “Our work is also closely related to the research of Adams et al. (2014), who extend the CoVaR measure and develop a state-dependent sensitivity VaR method to investigate risk spillovers across four financial sectors (commercial banks, investment banks, hedge funds and insurance companies).”