Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2012
We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … effects and market and balance sheet information, we define the realized systemic risk beta as the total time-varying marginal … used to monitor companies' systemic importance allowing for a transparent macroprudential regulation. -- Systemic risk …