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

In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). For four sets of maj...

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Veröffentlicht in:	Journal of financial and quantitative analysis 2014-06, Vol.49 (3), p.575-598
Hauptverfasser:	Adams, Zeno, Füss, Roland, Gropp, Reint
Format:	Artikel
Sprache:	eng
Schlagworte:	Commercial banks Financial institutions Hedge funds Insurance companies Investment banking Value
Online-Zugang:	Volltext
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