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- W2948460023 abstract "This study identifies and quantifies the contribution of the listed financial institutions to systemic risk in the UK. A financial network is constructed based on conditional Value at Risk (CoVar), to show the interdependence between the financial institutions’ tail risk. The spillover effects from a distressed institution to another are also shown by the statistically significant pre-identified network. The study uses market and financial statements data of 10 of the largest and listed financial institutions in the UK from 2000 to 2015. It quantifies the institution’s contribution to systemic risk by the realized systemic beta. This study is the first empirical study in the field to use the quantile regression and financial net-works topology with data from the UK. The findings reveal that the significant highest systemic risk influencers in the UK are HSBC and Barclays while the least are RBS and Lloyds. It suggests policy implications for regulators to optimally utilize the supervision resources in the financial system." @default.
- W2948460023 created "2019-06-14" @default.
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- W2948460023 date "2016-01-01" @default.
- W2948460023 modified "2023-09-27" @default.
- W2948460023 title "Systemic Risk Contribution from Financial Network in the UK" @default.
- W2948460023 doi "https://doi.org/10.2139/ssrn.2938422" @default.
- W2948460023 hasPublicationYear "2016" @default.
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