Journal
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
Volume 49, Issue 3, Pages 575-598Publisher
CAMBRIDGE UNIV PRESS
DOI: 10.1017/S0022109014000325
Keywords
-
Categories
Ask authors/readers for more resources
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 major financial institutions (commercial banks, investment banks, hedge funds, and insurance companies), we show that while small during normal times, equivalent shocks lead to considerable spillover effects in volatile market periods. Commercial banks and, especially, hedge funds appear to play a major role in the transmission of shocks to other financial institutions.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available