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Abstract:
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Systemic risk of financial institutions has gained great attention since financial debacle. Risk analysis on each company has considered the contagion effect across the whole market. In order to monitor the specific factors of several firms in industries with influence of other securities in the stock market, the co-movement Value-at-Risk of each company is introduced as a single-number risk measurement. Estimation model is built by using quantile regression. Moreover, according to the volatility of returns data over time and dynamics of systemic risk, the model is extended to include the autoregressive terms of returns. The model is applied to investigate the marginal contributions of firm-level characteristics and market conditions to the overall risk of individual firm belonging to the Standard and Poor's Composite Index. The companies in financial and industrial sector move with the market under extreme conditions are found to be the ones have the high leverage level.
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