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- W3044890698 abstract "Common systemic risk measures focus on the instantaneous occurrence of triggering and systemic events. However, in this article we show that the distress of a systemically important institution may impact a market also after several days. This time-lagged dependence motivates our measure of systemic risk, the Conditional Shortfall Probability (CoSP), which is defined as the likelihood of a market's distress conditional on previous distress of an institution. CoSP is related to other common systemic risk measures, but is substantially more reliable and less driven by systematic risk. Our empirical results suggest, that the financial market is exposed to the systemic risk of systemically important banks on an average of 36 days, while systemically important brokers have a significantly longer and systemically important insurers a significantly shorter impact. Moreover, we show that brokers trigger the largest systemic risk but are exposed to the smallest, while insurers and the American real industry are exposed to the largest systemic risk." @default.
- W3044890698 created "2020-07-29" @default.
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- W3044890698 date "2021-09-16" @default.
- W3044890698 modified "2023-09-23" @default.
- W3044890698 title "Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk" @default.
- W3044890698 hasPublicationYear "2021" @default.
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