Spillover effects among financial institutions: A state-dependent sensitivity value-at-risk approach
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- Adams, Zeno & Füss, Roland & Gropp, Reint, 2014. "Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(03), pages 575-598, June.
References listed on IDEAS
- King, Michael R. & Maier, Philipp, 2009. "Hedge funds and financial stability: Regulating prime brokers will mitigate systemic risks," Journal of Financial Stability, Elsevier, vol. 5(3), pages 283-297, September.
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- Reint Gropp & Marco Lo Duca & Jukka Vesala, 2009.
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More about this item
KeywordsRisk spillovers; state-dependent sensitivity value-at-risk (SDSVaR); quantile regression; financial institutions; hedge funds;
- G01 - Financial Economics - - General - - - Financial Crises
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-01-17 (All new papers)
- NEP-BAN-2014-01-17 (Banking)
- NEP-CFN-2014-01-17 (Corporate Finance)
- NEP-RMG-2014-01-17 (Risk Management)
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