We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market as well as balance sheet information, we define the realized systemic risk beta as the total time …

Nelson-Siegel factors, and capture time-varying risk inherent to the yield curve. The model is estimated using Markov chain … capture yield curve risk. Including them in forecasting regressions for bond return premia increases the forecasting R …