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Julia Schaumburg

Personal Details

First Name:Julia
Middle Name:
Last Name:Schaumburg
Suffix:
RePEc Short-ID:psc415

Affiliation

School of Business and Economics
Vrije Universiteit Amsterdam

Amsterdam, Netherlands
http://sbe.vu.nl/

:


RePEc:edi:fewvunl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Carsten Bormann & Melanie Schienle & Julia Schaumburg, 2014. "A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk," Tinbergen Institute Discussion Papers 14-024/III, Tinbergen Institute, revised 23 Jun 2014.
  2. Carsten Bormann & Melanie Schienle & Julia Schaumburg, 2014. "Beyond dimension two: A test for higher-order tail risk," SFB 649 Discussion Papers SFB649DP2014-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014. "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers 14-107/III, Tinbergen Institute.
  4. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2013. "Forecasting systemic impact in financial networks," SFB 649 Discussion Papers SFB649DP2013-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2011. "Financial Network Systemic Risk Contributions," SFB 649 Discussion Papers SFB649DP2011-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Julia Schaumburg, 2010. "Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory," SFB 649 Discussion Papers SFB649DP2010-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

Articles

  1. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
  2. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2014. "Forecasting systemic impact in financial networks," International Journal of Forecasting, Elsevier, vol. 30(3), pages 781-794.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014. "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers 14-107/III, Tinbergen Institute.

    Cited by:

    1. Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
    2. Leopoldo Catania & Anna Gloria Billé, 2016. "Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," CEIS Research Paper 375, Tor Vergata University, CEIS, revised 31 Mar 2016.
    3. Nicolas Debarsy & Cyrille Dossougoin & Cem Ertur & Jean-Yves Gnabo, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," Post-Print hal-01744629, HAL.
    4. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(03), pages 1371-1390, June.
    5. Francisco (F.) Blasques & Andre (A.) Lucas & Andries van Vlodrop, 2017. "Finite Sample Optimality of Score-Driven Volatility Models," Tinbergen Institute Discussion Papers 17-111/III, Tinbergen Institute.
    6. Ou Bianling & Zhao Xin & Wang Mingxi, 2015. "Power of Moran’s I Test for Spatial Dependence in Panel Data Models with Time Varying Spatial Weights Matrices," Journal of Systems Science and Information, De Gruyter, vol. 3(5), pages 463-471, October.
    7. Peter Schwendner & Martin Schuele & Thomas Ott & Martin Hillebrand, 2015. "European Government Bond Dynamics and Stability Policies: Taming Contagion Risks," Working Papers 8, European Stability Mechanism.
    8. Giovanni Angelini & Paolo Gorgi, 2018. "DSGE Models with Observation-Driven Time-Varying parameters," Tinbergen Institute Discussion Papers 18-030/III, Tinbergen Institute.
    9. Nicolas Debarsy & Zhenlin Yang, 2018. "Editorial for the special issue entitled: New advances in spatial econometrics: Interactions matter," Post-Print hal-01818725, HAL.
    10. Katarina Valaskova & Tomas Kliestik & Lucia Svabova & Peter Adamko, 2018. "Financial Risk Measurement and Prediction Modelling for Sustainable Development of Business Entities Using Regression Analysis," Sustainability, MDPI, Open Access Journal, vol. 10(7), pages 1-15, June.
    11. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    12. Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman, 2018. "Missing Observations in Observation-Driven Time Series Models," Tinbergen Institute Discussion Papers 18-013/III, Tinbergen Institute.
    13. David Ardia & Kris Boudt & Leopoldo Catania, 2016. "Generalized Autoregressive Score Models in R: The GAS Package," Papers 1609.02354, arXiv.org.
    14. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
    15. Bo Pieter Johannes Andree & Francisco Blasques & Eric Koomen, 2017. "Smooth Transition Spatial Autoregressive Models," Tinbergen Institute Discussion Papers 17-050/III, Tinbergen Institute.
    16. Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann, 2016. "Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads," Tinbergen Institute Discussion Papers 16-064/IV, Tinbergen Institute.

  2. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2013. "Forecasting systemic impact in financial networks," SFB 649 Discussion Papers SFB649DP2013-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Matteo Barigozzi & Christian Brownlees, 2013. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona Graduate School of Economics.
    2. van de Leur, Michiel C.W. & Lucas, André & Seeger, Norman J., 2017. "Network, market, and book-based systemic risk rankings," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 84-90.
    3. Ben Craig & Martín Saldías, 2016. "Spatial Dependence and Data-Driven Networks of International Banks," IMF Working Papers 16/184, International Monetary Fund.
    4. Rebekka Gätjen & Melanie Schienle, 2015. "Measuring Connectedness of Euro Area Sovereign Risk," SFB 649 Discussion Papers SFB649DP2015-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Franziska L Ohnsorge & Marcin Wolski & Yuanyan S Zhang, 2014. "Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices," IMF Working Papers 14/81, International Monetary Fund.
    6. Fang, Libing & Sun, Boyang & Li, Huijing & Yu, Honghai, 2018. "Systemic risk network of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 190-206.
    7. Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," International Journal of Forecasting, Elsevier, vol. 33(4), pages 958-969.
    8. Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," Bank of England working papers 660, Bank of England.
    9. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
    10. Matteo Barigozzi & Marc Hallin, 2017. "A network analysis of the volatility of high dimensional financial series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(3), pages 581-605, April.
    11. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(03), pages 1371-1390, June.
    12. Paolo Giudici & Shatha Hashem, 2015. "Systemic risk of Islamic Banks," DEM Working Papers Series 103, University of Pavia, Department of Economics and Management.
    13. Kleinow, Jacob & Moreira, Fernando, 2016. "Systemic risk among European banks: A copula approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 27-42.
    14. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2016. "Systemic risk spillovers in the European banking and sovereign network," Working Paper Series in Economics 79, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
    15. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
    16. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017. "Estimation and model-based combination of causality networks," SAFE Working Paper Series 165, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    17. Poeschel, Friedrich, 2012. "Assortative matching through signals," IAB Discussion Paper 201215, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    18. Wang, Gang-Jin & Jiang, Zhi-Qiang & Lin, Min & Xie, Chi & Stanley, H. Eugene, 2018. "Interconnectedness and systemic risk of China's financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 1-18.
    19. Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018. "Measuring Network Systemic Risk Contributions: A Leave-one-out Approach," LEO Working Papers / DR LEO 2608, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    20. Gang-Jin Wang & Chi Xie & Kaijian He & H. Eugene Stanley, 2017. "Extreme risk spillover network: application to financial institutions," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1417-1433, September.
    21. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    22. Jacob Kleinow & Tobias Nell, 2015. "Determinants of systemically important banks: the case of Europe," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 7(4), pages 446-476, November.
    23. Constantin, Andreea & Peltonen, Tuomas A. & Sarlin, Peter, 2018. "Network linkages to predict bank distress," Journal of Financial Stability, Elsevier, vol. 35(C), pages 226-241.
    24. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.

  3. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2011. "Financial Network Systemic Risk Contributions," SFB 649 Discussion Papers SFB649DP2011-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Chang, Carolyn W. & Li, Xiaodan & Lin, Edward M.H. & Yu, Min-Teh, 2018. "Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 273-284.
    2. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Nucera, Federico, 2016. "The information in systemic risk rankings," Working Paper Series 1875, European Central Bank.
    3. Paolo Giudici & Laura Parisi, 2016. "Bail in or Bail out? The Atlante example from a systemic risk perspective," DEM Working Papers Series 124, University of Pavia, Department of Economics and Management.
    4. Eric Jondeau & Michael Rockinger, 2013. "Systemic Risk in Europe," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-6.
    5. Matteo Barigozzi & Christian Brownlees, 2013. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona Graduate School of Economics.
    6. Bierth, Christopher & Irresberger, Felix & Weiß, Gregor N.F., 2015. "Systemic risk of insurers around the globe," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 232-245.
    7. Shih-Kang Chao & Wolfgang Karl Härdle & Hien Pham-Thu, 2014. "Credit Risk Calibration based on CDS Spreads," SFB 649 Discussion Papers SFB649DP2014-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    8. Paolo Giudici & Laura Parisi, 2016. "CoRisk: measuring systemic risk through default probability contagion," DEM Working Papers Series 116, University of Pavia, Department of Economics and Management.
    9. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
    10. Rebekka Gätjen & Melanie Schienle, 2015. "Measuring Connectedness of Euro Area Sovereign Risk," SFB 649 Discussion Papers SFB649DP2015-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    11. Samuel Ronnqvist & Peter Sarlin, 2013. "From Text to Bank Interrelation Maps," Papers 1306.3856, arXiv.org.
    12. Lining Yu & Wolfgang Karl Härdle & Lukas Borke & Thijs Benschop, 2017. "FRM: a Financial Risk Meter based on penalizing tail events occurrence," SFB 649 Discussion Papers SFB649DP2017-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    13. Borghesi, Simone & Flori, Andrea, 2016. "EU ETS Facets in the Net: How Account Types Influence the Structure of the System," MITP: Mitigation, Innovation and Transformation Pathways 232214, Fondazione Eni Enrico Mattei (FEEM).
    14. Fang, Libing & Sun, Boyang & Li, Huijing & Yu, Honghai, 2018. "Systemic risk network of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 190-206.
    15. Ostap Okhrin & Alexander Ristig & Jeffrey Sheen & Stefan Trück, 2015. "Conditional Systemic Risk with Penalized Copula," SFB 649 Discussion Papers SFB649DP2015-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    16. Patrick Cheridito & Ulrich Horst & Michael Kupper & Traian A. Pirvu, 2011. "Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences," SFB 649 Discussion Papers SFB649DP2011-083, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    17. Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," International Journal of Forecasting, Elsevier, vol. 33(4), pages 958-969.
    18. Bostandzic, Denefa & Weiß, Gregor N.F., 2018. "Why do some banks contribute more to global systemic risk?," Journal of Financial Intermediation, Elsevier, vol. 35(PA), pages 17-40.
    19. Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," Bank of England working papers 660, Bank of England.
    20. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
    21. Matteo Barigozzi & Marc Hallin, 2017. "A network analysis of the volatility of high dimensional financial series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(3), pages 581-605, April.
    22. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
    23. Peralta, Gustavo & Zareei, Abalfazl, 2016. "A network approach to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 157-180.
    24. Victor Chernozhukov & Wolfgang K. Hardle & Chen Huang & Weining Wang, 2018. "LASSO-Driven Inference in Time and Space," Papers 1806.05081, arXiv.org, revised Aug 2018.
    25. Lenka Zbonakova & Wolfgang Karl Härdle & Weining Wang, 2016. "Time Varying Quantile Lasso," SFB 649 Discussion Papers SFB649DP2016-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    26. Samuel Ronnqvist & Peter Sarlin, 2014. "Bank Networks from Text: Interrelations, Centrality and Determinants," Papers 1406.7752, arXiv.org, revised Jul 2015.
    27. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(03), pages 1371-1390, June.
    28. Brownlees, Christian & Engle, Robert F., 2017. "SRISK: a conditional capital shortfall measure of systemic risk," ESRB Working Paper Series 37, European Systemic Risk Board.
    29. Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016. "TENET: Tail-Event driven NETwork risk," Journal of Econometrics, Elsevier, vol. 192(2), pages 499-513.
    30. Huang, Wei-Qiang & Zhuang, Xin-Tian & Yao, Shuang & Uryasev, Stan, 2016. "A financial network perspective of financial institutions’ systemic risk contributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 183-196.
    31. Tobias Eckernkemper, 2018. "Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(1), pages 63-117.
    32. Bernardi Mauro & Roy Cerqueti & Arsen Palestini, 2016. "Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall," Papers 1608.02365, arXiv.org.
    33. Paolo Giudici & Laura Parisi, 2019. "Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution," Risks, MDPI, Open Access Journal, vol. 7(1), pages 1-25, January.
    34. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2016. "Systemic risk spillovers in the European banking and sovereign network," Working Paper Series in Economics 79, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
    35. Carlos Castro & Stijn Ferrari, 2011. "Measuring and testing for the systemically important financial institutions," Documentos de Trabajo 008779, Universidad del Rosario.
    36. Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018. "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 205-230.
    37. PIERRET, Diane, 2013. "The systemic risk of energy markets," CORE Discussion Papers 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    38. Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2011. "Continuous Equilibrium under Base Preferences and Attainable Initial Endowments," SFB 649 Discussion Papers SFB649DP2011-082, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    39. Casarin, Roberto & Costola, Michele & Yenerdag, Erdem, 2018. "Financial bridges and network communities," SAFE Working Paper Series 208, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    40. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
    41. Edward Denbee & Christian Julliard & Ye Li & Kathy Yuan, 2014. "Network Risk and Key Players: A Structural Analysis of Interbank Liquidity," FMG Discussion Papers dp734, Financial Markets Group.
    42. Cai, Jian & Eidam, Frederik & Saunders, Anthony & Steffen, Sascha, 2018. "Syndication, interconnectedness, and systemic risk," Journal of Financial Stability, Elsevier, vol. 34(C), pages 105-120.
    43. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017. "Estimation and model-based combination of causality networks," SAFE Working Paper Series 165, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    44. Paolo Giudici & Peter Sarlin & Alessandro Spelta, 2016. "The multivariate nature of systemic risk: direct and common exposures," DEM Working Papers Series 118, University of Pavia, Department of Economics and Management.
    45. Huang, Wei-Qiang & Wang, Dan, 2018. "A return spillover network perspective analysis of Chinese financial institutions’ systemic importance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 405-421.
    46. Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," Journal of Financial Stability, Elsevier, vol. 13(C), pages 75-94.
    47. Peltonen, Tuomas A. & Sarlin, Peter & Piloiu, Andreea, 2015. "Network linkages to predict bank distress," Working Paper Series 1828, European Central Bank.
    48. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    49. Polanski, Arnold & Stoja, Evarist, 2015. "Extreme risk interdependence," Bank of England working papers 563, Bank of England.
    50. Raffaele Fiocco, 2012. "Competition and regulation with product differentiation," Journal of Regulatory Economics, Springer, vol. 42(3), pages 287-307, December.
    51. Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle & Yarema Okhrin, 2017. "Tail event driven networks of SIFIs," SFB 649 Discussion Papers SFB649DP2017-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    52. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2013. "Forecasting systemic impact in financial networks," SFB 649 Discussion Papers SFB649DP2013-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    53. Mauro Bernardi & Lea Petrella, 2015. "Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(2), pages 1-29, April.
    54. Wang, Gang-Jin & Jiang, Zhi-Qiang & Lin, Min & Xie, Chi & Stanley, H. Eugene, 2018. "Interconnectedness and systemic risk of China's financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 1-18.
    55. Weiß, Gregor N.F. & Mühlnickel, Janina, 2014. "Why do some insurers become systemically relevant?," Journal of Financial Stability, Elsevier, vol. 13(C), pages 95-117.
    56. Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018. "Measuring Network Systemic Risk Contributions: A Leave-one-out Approach," LEO Working Papers / DR LEO 2608, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    57. Sarlin, Peter & Rönnqvist, Samuel, 2016. "Bank networks from text: interrelations, centrality and determinants," Working Paper Series 1876, European Central Bank.
    58. Trenca Ioan & Petria Nicolae & Corovei Emilia, 2015. "Idiosyncratic Risk And Systemic Risk In The European Banking System," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 912-919, July.
    59. Alexandre Belloni & Victor Chernozhukov & Abhishek Kaul, 2017. "Confidence bands for coefficients in high dimensional linear models with error-in-variables," CeMMAP working papers CWP22/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    60. Samuel Rönnqvist & Peter Sarlin, 2015. "Bank networks from text: interrelations, centrality and determinants," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1619-1635, October.
    61. Alena MyÅ¡iÄ ková & Song Song & Piotr Majer & Peter N.C. Mohr & Hauke R. Heekeren & Wolfgang K. Härdle, 2011. "Risk Patterns and Correlated Brain Activities. Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers SFB649DP2011-085, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    62. Yu, Jia-Wei & Xie, Wen-Jie & Jiang, Zhi-Qiang, 2018. "Early warning model based on correlated networks in global crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1335-1343.
    63. Daning Hu & Gerhard Schwabe & Xiao Li, 2015. "Systemic risk management and investment analysis with financial network analytics: research opportunities and challenges," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-9, December.
    64. Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018. "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers 626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    65. Kraft, Holger & Schmidt, Alexander, 2013. "Systemic risk in the financial sector: What can se learn from option markets?," SAFE Working Paper Series 25, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    66. Gang-Jin Wang & Chi Xie & Kaijian He & H. Eugene Stanley, 2017. "Extreme risk spillover network: application to financial institutions," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1417-1433, September.
    67. Varotto, Simone & Zhao, Lei, 2018. "Systemic risk and bank size," Journal of International Money and Finance, Elsevier, vol. 82(C), pages 45-70.
    68. Luca Barbaglia & Christophe Croux & Ines Wilms, 2017. "Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach," Papers 1708.02073, arXiv.org.
    69. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    70. Shih-Kang Chao & Wolfgang Karl Härdle & Weining Wang, 2012. "Quantile Regression in Risk Calibration," SFB 649 Discussion Papers SFB649DP2012-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    71. Paolo Giudici & Laura Parisi, 2015. "Modeling Systemic Risk with Correlated Stochastic Processes," DEM Working Papers Series 110, University of Pavia, Department of Economics and Management.
    72. Frank Emmert-Streib & Aliyu Musa & Kestutis Baltakys & Juho Kanniainen & Shailesh Tripathi & Olli Yli-Harja & Herbert Jodlbauer & Matthias Dehmer, 2017. "Computational Analysis of the structural properties of Economic and Financial Networks," Papers 1710.04455, arXiv.org.
    73. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
    74. Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".
    75. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.

  4. Julia Schaumburg, 2010. "Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory," SFB 649 Discussion Papers SFB649DP2010-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Her-Jiun Sheu & Chien-Ling Cheng, 2011. "Systemic risk in Taiwan stock market," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(5), pages 895-914, August.
    2. Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers 1306.2834, arXiv.org, revised Nov 2013.
    3. Ioan Trenca & Simona Mutu & Nicolae Petria, 2011. "Econometric Models Used For Managing The Market Risk In The Romanian Banking System," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 2011, pages 115-123, july.
    4. Shih-Kang Chao & Wolfgang Karl Härdle & Weining Wang, 2012. "Quantile Regression in Risk Calibration," SFB 649 Discussion Papers SFB649DP2012-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Lesedi Mabitsela & Eben Maré & Rodwell Kufakunesu, 2015. "Quantification of VaR: A Note on VaR Valuation in the South African Equity Market," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(1), pages 1-24, February.

Articles

  1. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
    See citations under working paper version above.
  2. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2014. "Forecasting systemic impact in financial networks," International Journal of Forecasting, Elsevier, vol. 30(3), pages 781-794.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (8) 2010-04-17 2011-11-07 2012-09-09 2013-02-08 2013-11-22 2014-10-03 2015-02-16 2015-04-25. Author is listed
  2. NEP-BAN: Banking (4) 2011-11-07 2012-09-09 2013-02-08 2013-11-22. Author is listed
  3. NEP-ECM: Econometrics (4) 2010-04-17 2014-10-03 2015-02-16 2015-04-25. Author is listed
  4. NEP-NET: Network Economics (4) 2011-11-07 2012-09-09 2013-02-08 2013-11-22. Author is listed
  5. NEP-URE: Urban & Real Estate Economics (3) 2014-11-12 2015-02-16 2015-04-25. Author is listed
  6. NEP-FOR: Forecasting (2) 2010-04-17 2013-02-08. Author is listed
  7. NEP-CFN: Corporate Finance (1) 2013-02-08
  8. NEP-ETS: Econometric Time Series (1) 2015-04-25
  9. NEP-MAC: Macroeconomics (1) 2015-04-25
  10. NEP-ORE: Operations Research (1) 2014-10-03
  11. NEP-REG: Regulation (1) 2011-11-07

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