Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
systemic risk monitoring of large European banks and insurance companies. We predict firms’ systemic relevance as the marginal … impact of individual downside risks on systemic distress. The so-called systemic risk betas account for a company’s position … general market conditions. Relying only on publicly available daily market data, we determine time-varying systemic risk …