25 Years IWH

cover_journal-of-financial-and-Quantitative-Analysis.gif

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 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.

30. May 2014

Authors Z. Adams R. Füss Reint E. Gropp

Whom to contact

For Researchers

Stefanie Müller
Stefanie Müller
Press Officer

If you have any further questions please contact me.

+49 345 7753-720 Request per E-Mail

For Journalists

Stefanie Müller
Stefanie Müller
Press Officer

If you have any further questions please contact me.

+49 345 7753-720 Request per E-Mail
Mitglied der Leibniz-Gemeinschaft LogoTotal-Equality-LogoWeltoffen Logo