Forecasting systemic impact in financial networks ∗

@inproceedings{Hautsch2013ForecastingSI,
  title={Forecasting systemic impact in financial networks ∗},
  author={Nikolaus Hautsch and Julia Schaumburg and Melanie Schienle},
  year={2013}
}
We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the 2008/9 financial crisis, we demonstrate how the approach can be used for timely systemic risk monitoring of large European banks and insurance companies. We predict firms’ systemic relevance as the marginal impact of individual downside risks on systemic distress. The so-called systemic risk betas account for a company’s position within the… CONTINUE READING