We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high …-dimensional and interconnected financial system. Tail risk dependencies and systemic risk contributions are estimated using a … penalized two-stage fixed-effects quantile approach, which explicitly links time-varying interconnectedness to systemic risk …

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market as well as balance sheet information, we define the realized systemic risk beta as the total time …

We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a … high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two …-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The …

We propose the systemic risk beta as a measure for financial companies' contribution to systemic risk given network … interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market … and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm's Value-at-risk …

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market and balance sheet information, we define the realized systemic risk beta as the total time-varying marginal …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

In order to integrate and facilitate the research, calculation and analysis methods around the Financial Risk Meter … quantile lasso regression methods for risk analysis based on NASDAQ data, Yahoo Finance data and some macro variables. The … derived "Risk Analytics" can help to forecast and evaluate the systemic risk for the corresponding markets. The visualization …

different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for …