In this paper we establish empirical evidence for the relationship between the systematic jump betas of financial institutions and two types of systemic risk index: a capital shortfall index and a interconnectedness index. Using high-frequency data for US financial sector stocks, we show that equity market jumps are positively related to capital shortfall and negatively related to interconnectedness. Higher potential capital shortfall measures of systemic risk lead to a greater sensitivity to systematic jumps, while increased interconnectedness leads to greater resistance. Our findings, along with indicators such as size and leverage, provide a means to identify the possible trade-offs that regulators might face when assessing the systemic risks of financial institutions, particularly in the context of the cross-multiple influences within the sector.

中文翻译：

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美国金融业的跳跃风险

在本文中，我们为金融机构的系统性跳跃贝塔系数与两类系统性风险指数：资本短缺指数和关联指数之间的关系建立了经验证据。使用美国金融部门股票的高频数据，我们表明股市跳涨与资本短缺正相关，与相互关联性负相关。系统性风险的潜在资本短缺指标越高，对系统性跳跃的敏感性越高，而相互关联性的增加导致更大的阻力。我们的发现以及规模和杠杆等指标提供了一种方法，可以确定监管机构在评估金融机构的系统性风险时可能面临的权衡，