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- W3125515521 abstract "In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all US financial companies with publicly traded equity options, we extract their option-implied value-at-risks (VaRs) and measure the spillover effects between individual company VaRs and the option-implied VaR of an US financial index. First, we study the spillover effect of increasing company risks on the financial sector. Second, we analyze which companies are most affected if the tail risk of the financial sector increases. We find that key accounting and market valuation metrics such as size, leverage, balance sheet composition, market-to-book ratio and earnings have a significant influence on the systemic risk profile of a financial institution. In contrast to earlier studies, the employed panel vector autoregression (PVAR) estimator allows for a causal interpretation of the results." @default.
- W3125515521 created "2021-02-01" @default.
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- W3125515521 date "2013-01-01" @default.
- W3125515521 modified "2023-09-27" @default.
- W3125515521 title "Systemic risk in the financial sector: What can se learn from option markets?" @default.
- W3125515521 hasPublicationYear "2013" @default.
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