Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
提出一种状态依赖的敏感性风险价值方法，量化金融机构间风险溢出的方向、大小和持续时间，发现市场波动时期溢出效应显著，商业银行和对冲基金是主要风险传递者。
Abstract 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.