The Chinese stock market crash in June 2015 has demonstrated necessary to improve understanding of systemic risk from … the perspective of financial network. This study constructs a tail risk network to present overall systemic risk of … Selection Operator (LASSO) method of high-dimensional models, our results show that firm's idiosyncratic risk can be affected by …

After the Global Financial Crisis (GFC), systemic risk measurement became crucial for policy makers as well as for … multilayer approach, which provides additional insights on the decomposition of systemic risk. In this paper, we apply a … multilayer network analysis to study systemic risk in the Peruvian banking system by utilizing DebtRank centrality. The main …

between these two approaches has enriched our understanding of systemic financial risk. After presenting a brief summary of … key terminology, we review models for leverage and endogenous risk dynamics. We then review the network aspects of … systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding …

system. The method also allows for what-if analyses to optimize the risk exposures, and to plan an emergency strategy in case …

measures already applied in the systemic risk literature which do not take into account the structure of a contagion mechanism … of the Hungarian interbank lending network and besides, network measures as systemic risk indicators are analyzed on …

systemic risk, but can be explained by risk shifting. Risk shifting motivates banks to correlate their failures with their … counterparties, even though it creates systemic risk …