We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a …-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …

contributions. For the purposes of surveillance and regulation of financial systems, network dependencies in extreme risks are more … sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how they are reflected … in estimated network statistics and systemic risk measures. Finally, our evidence provides an indication that the …

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest … sale externalities. The resulting network configurations exhibits a core-periphery structure, dis-assortative behavior and … low clustering coefficient. We measure systemic importance by means of network centrality and input-output metrics and the …

network are analyzed with Machine Learning, obtaining as push and pull bank variables solvency and bank income structure …This article begins with an analysis of banking flows in the euro zone, through a complex network, from 2006 to 2020 …. This analysis allows us to observe the topology of the network through different phases of the business cycle. It is …

network of large European banks. This multiplex network presents positive correlated multiplexity and a high similarity … systemic importance index for any bank into the contributions of each of the sub-networks, providing a useful tool for banking …

network of large European banks. This multiplex network presents positive correlated multiplexity and a high similarity … systemic importance index for any bank into the contributions of each of the sub-networks, providing a useful tool for banking … banks to illustrate that both the methodology and the specific level of network aggregation matter in the determination of …

network of large European banks. This multiplex network presents positive correlated multiplexity and a high similarity … systemic importance index for any bank into the contributions of each of the sub-networks, providing a useful tool for banking … banks to illustrate that both the methodology and the specific level of network aggregation matter in the determination of …

Brunnermeier (2011) based on the CoVaR and find that size is a predictor of a bank contribution to systemic risk, but it is not the …

. Second, higher bank capital requirements may aggravate contagion since they may incentivise banks to hold similar assets, and …

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest … interlinkages and fire sale externalities. The resulting network configuration exhibits a coreperiphery structure, dis …