The latest financial crisis has stressed the need of understanding the world financial system as a network of interconnected institutions, where financial linkages play a fundamental role in the spread of systemic risks. In this paper we propose to enrich the topological perspective of network...

The paper examines the relationships among market assets during stressful times, using two recently proposed econometric modeling techniques for tail risk measurement: the extreme downside hedge (EDH) and the extreme downside correlation (EDC). We extend both measures taking into account the...

This paper investigates how to improve statistical-based credit scoring of SMEs involved in P2P lending. The methodology discussed in the paper is a factor network-based segmentation for credit score modeling. The approach first constructs a network of SMEs where links emerge from comovement of...

This paper extends the extreme downside correlations and hedge (EDC and EDH) methodology of Harris et al. (2019) to model the tail risk co-movement of financial assets under severe firm-level and market conditions. The model is applied to analyze both systematic and systemic exposures in the...

This paper extends the extreme downside correlation (EDC) and extreme downside hedge (EDH) methodology to model the interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market conditions. The model is applied to analyze both...

This paper presents the estimation methods of the Bayesian Graphical Vector Auto-regression with and without innovations such as external regressors (BG-VARX) and Bayesian Graphical Systems Equation Modelling (BG-SEM), which are developed to examine risk network structures embedded in...