Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2011
and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm's Value-at-risk … at Risk ; network topology ; two-step quantile regression ; time-varying parameters … importance allowing for a transparent macroprudential regulation. -- Systemic risk contribution ; systemic risk network ; Value …